/usr/include/openturns/RandomWalkMetropolisHastings.hxx is in libopenturns-dev 1.2-2.
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/**
* @file RandomWalkMetropolisHastings.hxx
* @brief RandomWalkMetropolisHastings updates the chain
*
* Copyright (C) 2005-2013 EDF-EADS-Phimeca
*
* This library is free software: you can redistribute it and/or modify
* it under the terms of the GNU Lesser General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* This library is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU Lesser General Public License for more details.
*
* You should have received a copy of the GNU Lesser General Public
* along with this library. If not, see <http://www.gnu.org/licenses/>.
*
* @author schueller
* @date 2012-02-17 19:35:43 +0100 (Fri, 17 Feb 2012)
*/
#ifndef OPENTURNS_RANDOMWALKMETROPOLISHASTINGS_HXX
#define OPENTURNS_RANDOMWALKMETROPOLISHASTINGS_HXX
#include "OTprivate.hxx"
#include "MCMC.hxx"
#include "CalibrationStrategy.hxx"
#include "Interval.hxx"
#include "ResourceMap.hxx"
BEGIN_NAMESPACE_OPENTURNS
/**
* @class RandomWalkMetropolisHastings
*
* @brief The class implements the concept of comparison operator defined in Sampler.
*
* @see Sampler
*/
class RandomWalkMetropolisHastings
: public MCMC
{
CLASSNAME;
public:
typedef Collection<Distribution> DistributionCollection;
typedef PersistentCollection<Distribution> DistributionPersistentCollection;
typedef Collection<CalibrationStrategy> CalibrationStrategyCollection;
typedef PersistentCollection<CalibrationStrategy> CalibrationStrategyPersistentCollection;
/** Default constructor */
RandomWalkMetropolisHastings();
/** Constructor with parameters*/
RandomWalkMetropolisHastings(const Distribution & prior,
const Distribution & conditional,
const NumericalSample & observations,
const NumericalPoint & initialState,
const DistributionCollection & proposal);
/** Constructor with parameters*/
RandomWalkMetropolisHastings(const Distribution & prior,
const Distribution & conditional,
const NumericalMathFunction & model,
const NumericalSample & observations,
const NumericalPoint & initialState,
const DistributionCollection & proposal);
/** String converter */
virtual String __repr__() const;
/* Here is the interface that all derived class must implement */
/** Virtual constructor */
virtual RandomWalkMetropolisHastings * clone() const;
/** @copydoc Sampler::getRealization() const */
virtual NumericalPoint getRealization() const;
/** Calibration strategy accessor */
void setCalibrationStrategy(const CalibrationStrategy & calibrationStrategy);
void setCalibrationStrategyPerComponent(const CalibrationStrategyCollection & calibrationStrategy);
CalibrationStrategyCollection getCalibrationStrategyPerComponent() const;
/** Proposal accessor */
void setProposal(const DistributionCollection & proposal);
DistributionCollection getProposal() const;
/** Acceptance rate accessor*/
NumericalPoint getAcceptanceRate() const;
/** Method save() stores the object through the StorageManager */
void save(Advocate & adv) const;
/** Method load() reloads the object from the StorageManager */
void load(Advocate & adv);
private:
/// proposal densities of the markov chain
DistributionPersistentCollection proposal_;
/// how to calibrate the each chain component
CalibrationStrategyPersistentCollection calibrationStrategy_;
/// number of samples
mutable UnsignedLong samplesNumber_;
/// number of samples accepted
mutable Indices acceptedNumber_;
}; /* class RandomWalkMetropolisHastings */
END_NAMESPACE_OPENTURNS
#endif /* OPENTURNS_RANDOMWALKMETROPOLISHASTINGS_HXX */
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