AdaptiveMCMCHandler.h

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#pragma once
 
// MaCh3 Includes
#include "Manager/Manager.h"
#include "Parameters/ParameterHandlerUtils.h"
 
_MaCh3_Safe_Include_Start_ //{
#include "Math/DistFunc.h"
_MaCh3_Safe_Include_End_ //}
 
 
class AdaptiveMCMCHandler
{
 public:
  AdaptiveMCMCHandler();
 
  virtual ~AdaptiveMCMCHandler();
 
  void Print() const;
 
  bool InitFromConfig(const YAML::Node &adapt_manager, const std::string &matrix_name_str,
                      const std::vector<std::string> *parameter_names,
                      const std::vector<double> *parameters,
                      const std::vector<double> *fixed,
                      const std::vector<bool> *param_skip_adapt_flags,
                      const TMatrixDSym* throwMatrix,
                      const double initial_scale_);
 
  void CreateNewAdaptiveCovariance();
 
  void SetAdaptiveBlocks(const std::vector<std::vector<int>> &block_indices);
 
  void SaveAdaptiveToFile(const std::string &outFileName, const std::string &systematicName, const bool is_final = false);
 
  void SetThrowMatrixFromFile(const std::string &matrix_file_name,
                              const std::string &matrix_name,
                              const std::string &means_name,
                              bool &use_adaptive);
 
  void CheckMatrixValidityForAdaption(const TMatrixDSym *covMatrix) const;
 
  void UpdateAdaptiveCovariance();
 
  bool IndivStepScaleAdapt() const;
 
  bool UpdateMatrixAdapt();
 
  bool AdaptionUpdate() const;
 
  bool SkipAdaption() const;
 
  int GetParIndex(const std::string& name) const {
    // HH: Adapted from ParameterHandlerBase.cpp
    int index = M3::_BAD_INT_;
    for (size_t i = 0; i < _ParamNames->size(); i++) {
      if(name == _ParamNames->at(i)) {
        index = static_cast<int>(i);
        break;
      }
    }
    return index;
  }
 
  std::vector<int> GetParIndicesFromNames(const std::vector<std::string>& param_names) const {
    std::vector<int> indices;
    for (const auto& name : param_names) {
      int index = GetParIndex(name);
      if (index != M3::_BAD_INT_) {
        indices.push_back(index);
      } else {
        MACH3LOG_ERROR("Parameter name {} not found in parameter list", name);
        throw MaCh3Exception(__FILE__, __LINE__);
      }
    }
    return indices;
  }
 
  void SetParams(const std::vector<double> *params)
  {
    _fCurrVal = params;
  }
 
  void SetFixed(const std::vector<double> *fix)
  {
    _fFixedPars = fix;
  }
 
  int GetNFixed() const
  {
    if (!_fFixedPars)
    {
      return 0;
    }
    int n_fixed = 0;
    for (int i = 0; i < static_cast<int>(_fFixedPars->size()); i++)
    {
      if ((*_fFixedPars)[i] < 0)
      {
        n_fixed++;
      }
    }
    return n_fixed;
  }
 
  int GetNumParams() const
  {
    return static_cast<int>(_fCurrVal->size());
  }
 
  bool IsFixed(const int ipar) const
  {
    if (!_fFixedPars)
    {
      return false;
    }
    return ((*_fFixedPars)[ipar] < 0);
  }
 
  double CurrVal(const int par_index) const;
 
  int GetTotalSteps() const
  {
    return total_steps;
  }
 
  void SetTotalSteps(const int nsteps)
  {
    total_steps = nsteps;
  }
 
  void IncrementNSteps()
  {
    total_steps++;
  }
 
  void IncrementAcceptedSteps()
  {
    prev_step_accepted = true;
  }
 
  const TMatrixDSym *GetAdaptiveCovariance() const
  {
    return adaptive_covariance;
  }
 
  std::vector<double> GetParameterMeans() const
  {
    return par_means;
  }
 
  std::string GetOutFileName() const
  {
    return output_file_name;
  }
 
  double GetAdaptionScale() const
  {
    return adaption_scale;
  }
 
  bool GetUseRobbinsMonro() const
  {
    return use_robbins_monro;
  }
 
  void UpdateRobbinsMonroScale();
 
private:
  void CalculateRobbinsMonroStepLength();
 
  int start_adaptive_throw;
 
  int start_adaptive_update;
 
  int end_adaptive_update;
 
  int adaptive_update_step;
 
  int adaptive_save_n_iterations;
 
  std::string output_file_name;
 
  std::vector<int> adapt_block_matrix_indices;
 
  std::vector<int> adapt_block_sizes;
 
  // Variables directedly linked to adaption
  std::vector<double> par_means;
 
  TMatrixDSym *adaptive_covariance;
 
  int total_steps;
 
  double adaption_scale;
 
  double initial_scale;
 
  const std::vector<double> *_fFixedPars;
 
  const std::vector<double> *_fCurrVal;
 
  const std::vector<std::string> *_ParamNames;
 
  int acceptance_rate_batch_size;
 
  bool use_robbins_monro;
 
  double target_acceptance;
 
  double c_robbins_monro;
 
  int n_rm_restarts;
 
  int total_rm_restarts;
 
  bool prev_step_accepted;
 
  const std::vector<bool>* _param_skip_adapt_flags;
 
  const TMatrixDSym* initial_throw_matrix;
 
  bool initial_throw_matrix_saved = false;
};