QUESO::MetropolisHastingsSG< P_V, P_M > Class Template Reference

A templated class that represents a Metropolis-Hastings generator of samples. More...

#include <MetropolisHastingsSG.h>

Public Member Functions
const BaseTKGroup< P_V, P_M > &	transitionKernel () const
	Returns the underlying transition kernel for this sequence generator. More...
Constructor/Destructor methods
	MetropolisHastingsSG (const char *prefix, const MhOptionsValues *alternativeOptionsValues, const BaseVectorRV< P_V, P_M > &sourceRv, const P_V &initialPosition, const P_M *inputProposalCovMatrix)
	Constructor. More...
	MetropolisHastingsSG (const char *prefix, const MhOptionsValues *alternativeOptionsValues, const BaseVectorRV< P_V, P_M > &sourceRv, const P_V &initialPosition, double initialLogPrior, double initialLogLikelihood, const P_M *inputProposalCovMatrix)
	Constructor. More...
	MetropolisHastingsSG (const MLSamplingLevelOptions &mlOptions, const BaseVectorRV< P_V, P_M > &sourceRv, const P_V &initialPosition, const P_M *inputProposalCovMatrix)
	Constructor. More...
	MetropolisHastingsSG (const MLSamplingLevelOptions &mlOptions, const BaseVectorRV< P_V, P_M > &sourceRv, const P_V &initialPosition, double initialLogPrior, double initialLogLikelihood, const P_M *inputProposalCovMatrix)
	Constructor. More...
	~MetropolisHastingsSG ()
	Destructor. More...
Statistical methods
void	generateSequence (BaseVectorSequence< P_V, P_M > &workingChain, ScalarSequence< double > *workingLogLikelihoodValues, ScalarSequence< double > *workingLogTargetValues)
	Method to generate the chain. More...
void	getRawChainInfo (MHRawChainInfoStruct &info) const
	Gets information from the raw chain. More...

Private Member Functions
void	commonConstructor ()
	Reads the options values from the options input file. More...
void	generateFullChain (const P_V &valuesOf1stPosition, unsigned int chainSize, BaseVectorSequence< P_V, P_M > &workingChain, ScalarSequence< double > *workingLogLikelihoodValues, ScalarSequence< double > *workingLogTargetValues)
	This method generates the chain. More...
void	adapt (unsigned int positionId, BaseVectorSequence< P_V, P_M > &workingChain)
	Adaptive Metropolis method that deals with adapting the proposal covariance matrix. More...
bool	delayedRejection (unsigned int positionId, const MarkovChainPositionData< P_V > &currentPositionData, MarkovChainPositionData< P_V > &currentCandidateData)
	Does delayed rejection. More...
void	readFullChain (const std::string &inputFileName, const std::string &inputFileType, unsigned int chainSize, BaseVectorSequence< P_V, P_M > &workingChain)
	This method reads the chain contents. More...
void	updateAdaptedCovMatrix (const BaseVectorSequence< P_V, P_M > &subChain, unsigned int idOfFirstPositionInSubChain, double &lastChainSize, P_V &lastMean, P_M &lastAdaptedCovMatrix)
	This method updates the adapted covariance matrix. More...
double	alpha (const std::vector< MarkovChainPositionData< P_V > * > &inputPositions, const std::vector< unsigned int > &inputTKStageIds)
	Calculates acceptance ratio. More...
bool	acceptAlpha (double alpha)
	Decides whether or not to accept alpha. More...
int	writeInfo (const BaseVectorSequence< P_V, P_M > &workingChain, std::ofstream &ofsvar) const
	Writes information about the Markov chain in a file. More...
void	transformInitialCovMatrixToGaussianSpace (const BoxSubset< P_V, P_M > &boxSubset)

Private Attributes
const BaseEnvironment &	m_env
const VectorSpace< P_V, P_M > &	m_vectorSpace
const BaseJointPdf< P_V, P_M > &	m_targetPdf
P_V	m_initialPosition
P_M	m_initialProposalCovMatrix
bool	m_nullInputProposalCovMatrix
unsigned int	m_numDisabledParameters
std::vector< bool >	m_parameterEnabledStatus
ScopedPtr< const ScalarFunctionSynchronizer < P_V, P_M > >::Type	m_targetPdfSynchronizer
SharedPtr< BaseTKGroup< P_V, P_M > >::Type	m_tk
SharedPtr< Algorithm< P_V, P_M > >::Type	m_algorithm
unsigned int	m_positionIdForDebugging
unsigned int	m_stageIdForDebugging
std::vector< unsigned int >	m_idsOfUniquePositions
std::vector< double >	m_logTargets
std::vector< double >	m_alphaQuotients
double	m_lastChainSize
ScopedPtr< P_V >::Type	m_lastMean
ScopedPtr< P_M >::Type	m_lastAdaptedCovMatrix
unsigned int	m_numPositionsNotSubWritten
MHRawChainInfoStruct	m_rawChainInfo
ScopedPtr< const MhOptionsValues >::Type	m_optionsObj
ScopedPtr < MetropolisHastingsSGOptions > ::Type	m_oldOptions
bool	m_computeInitialPriorAndLikelihoodValues
double	m_initialLogPriorValue
double	m_initialLogLikelihoodValue
bool	m_userDidNotProvideOptions
unsigned int	m_latestDirtyCovMatrixIteration

I/O methods
void	print (std::ostream &os) const
	TODO: Prints the sequence. More...
std::ostream &	operator<< (std::ostream &os, const MetropolisHastingsSG< P_V, P_M > &obj)

Detailed Description

template<class P_V = GslVector, class P_M = GslMatrix>
class QUESO::MetropolisHastingsSG< P_V, P_M >

A templated class that represents a Metropolis-Hastings generator of samples.

This class implements a Metropolis-Hastings generator of samples. 'SG' stands for 'Sequence Generator'. Options reading is handled by class 'MetropolisHastingsOptions'. If options request data to be written in the output file (MATLAB .m format only, for now), the user can check which MATLAB variables are defined and set by running 'grep zeros <OUTPUT file="" name>="">' after the solution procedures ends. The names of the variables are self explanatory.

Definition at line 126 of file MetropolisHastingsSG.h.

Constructor & Destructor Documentation

template<class P_V , class P_M >

QUESO::MetropolisHastingsSG< P_V, P_M >::MetropolisHastingsSG	(	const char *	prefix,
		const MhOptionsValues *	alternativeOptionsValues,
		const BaseVectorRV< P_V, P_M > &	sourceRv,
		const P_V &	initialPosition,
		const P_M *	inputProposalCovMatrix
	)

Constructor.

This method reads the options from the options input file. It calls commonConstructor().

Requirements:

1. the image set of the vector random variable 'sourceRv' should belong to a vector space of dimension equal to the size of the vector 'initialPosition' and
2. if 'inputProposalCovMatrix' is not NULL, is should be square and its size should be equal to the size of 'initialPosition'.

If alternativeOptionsValues is NULL and an input file is specified, the constructor reads input options that begin with the string '<prefix>mh_'. For instance, if 'prefix' is 'pROblem_775_ip_', then the constructor will read all options that begin with 'pROblem_775_ip_mh_'.

If alternativeOptionsValues is not NULL, the input file is ignored and construction copies the object pointed to by alternativeOptionsValues to and stores the copy internally. Users may delete the object poined to by alternativeOptionsValues. Users cannot change the options object after MetropolisHastingsSG has been constructed.

Options reading is handled by class 'MetropolisHastingsOptions'.

Parameters

prefix	Prefix
alternativeOptionsValues	Options (if no input file)
sourceRv	The source RV
initialPosition	Initial chain position
inputProposalCovMatrix	Proposal cov. matrix

Definition at line 141 of file MetropolisHastingsSG.C.

References QUESO::queso_require_equal_to_msg.

  :
  m_env                       (sourceRv.env()),
  m_vectorSpace               (sourceRv.imageSet().vectorSpace()),
  m_targetPdf                 (sourceRv.pdf()),
  m_initialPosition           (initialPosition),
  m_initialProposalCovMatrix  (m_vectorSpace.zeroVector()),
  m_nullInputProposalCovMatrix(inputProposalCovMatrix == NULL),
  m_numDisabledParameters     (0), // gpmsa2
  m_parameterEnabledStatus    (m_vectorSpace.dimLocal(),true), // gpmsa2
  m_targetPdfSynchronizer     (new ScalarFunctionSynchronizer<P_V,P_M>(m_targetPdf,m_initialPosition)),
  m_tk                        (),
  m_algorithm                 (),
  m_positionIdForDebugging    (0),
  m_stageIdForDebugging       (0),
  m_idsOfUniquePositions      (0),//0.),
  m_logTargets                (0),//0.),
  m_alphaQuotients            (0),//0.),
  m_lastChainSize             (0),
  m_lastMean                  (),
  m_lastAdaptedCovMatrix      (),
  m_numPositionsNotSubWritten (0),
  m_optionsObj                (),
  m_computeInitialPriorAndLikelihoodValues(true),
  m_initialLogPriorValue      (0.),
  m_initialLogLikelihoodValue (0.),
  m_userDidNotProvideOptions(false),
  m_latestDirtyCovMatrixIteration(0)
{
  if (inputProposalCovMatrix != NULL) {
    m_initialProposalCovMatrix = *inputProposalCovMatrix;
  }

  // If user provided options, copy their object
  if (alternativeOptionsValues != NULL) {
    m_optionsObj.reset(new MhOptionsValues(*alternativeOptionsValues));
  }
  else {
    // Otherwise, we create one with the default
    m_optionsObj.reset(new MhOptionsValues(&m_env, prefix));
  }

  if (m_optionsObj->m_help != "") {
    if (m_env.subDisplayFile() && !m_optionsObj->m_totallyMute) {
      *m_env.subDisplayFile() << (*m_optionsObj) << std::endl;
    }
  }

  if ((m_env.subDisplayFile()                   ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "Entering MetropolisHastingsSG<P_V,P_M>::constructor(1)"
                            << ": prefix = " << prefix
                            << ", alternativeOptionsValues = " << alternativeOptionsValues
                            << ", m_env.optionsInputFileName() = " << m_env.optionsInputFileName()
                            << ", m_initialProposalCovMatrix = " << m_initialProposalCovMatrix
                            << std::endl;
  }

  queso_require_equal_to_msg(sourceRv.imageSet().vectorSpace().dimLocal(), initialPosition.sizeLocal(), "'sourceRv' and 'initialPosition' should have equal dimensions");

  if (inputProposalCovMatrix) {
    queso_require_equal_to_msg(sourceRv.imageSet().vectorSpace().dimLocal(), inputProposalCovMatrix->numRowsLocal(), "'sourceRv' and 'inputProposalCovMatrix' should have equal dimensions");
    queso_require_equal_to_msg(inputProposalCovMatrix->numCols(), inputProposalCovMatrix->numRowsGlobal(), "'inputProposalCovMatrix' should be a square matrix");
  }

  commonConstructor();

  if ((m_env.subDisplayFile()                   ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "Leaving MetropolisHastingsSG<P_V,P_M>::constructor(1)"
                            << std::endl;
  }
}

template<class P_V , class P_M >

QUESO::MetropolisHastingsSG< P_V, P_M >::MetropolisHastingsSG	(	const char *	prefix,
		const MhOptionsValues *	alternativeOptionsValues,
		const BaseVectorRV< P_V, P_M > &	sourceRv,
		const P_V &	initialPosition,
		double	initialLogPrior,
		double	initialLogLikelihood,
		const P_M *	inputProposalCovMatrix
	)

Constructor.

Parameters

prefix	Prefix
alternativeOptionsValues	Options (if no input file)
sourceRv	The source RV
initialPosition	Initial chain position
initialLogPrior	Initial chain prior
initialLogLikelihood	Initial chain likelihood
inputProposalCovMatrix	Proposal cov. matrix

Definition at line 221 of file MetropolisHastingsSG.C.

References QUESO::queso_require_equal_to_msg.

  :
  m_env                       (sourceRv.env()),
  m_vectorSpace               (sourceRv.imageSet().vectorSpace()),
  m_targetPdf                 (sourceRv.pdf()),
  m_initialPosition           (initialPosition),
  m_initialProposalCovMatrix  (m_vectorSpace.zeroVector()),
  m_nullInputProposalCovMatrix(inputProposalCovMatrix == NULL),
  m_numDisabledParameters     (0), // gpmsa2
  m_parameterEnabledStatus    (m_vectorSpace.dimLocal(),true), // gpmsa2
  m_targetPdfSynchronizer     (new ScalarFunctionSynchronizer<P_V,P_M>(m_targetPdf,m_initialPosition)),
  m_tk                        (),
  m_algorithm                 (),
  m_positionIdForDebugging    (0),
  m_stageIdForDebugging       (0),
  m_idsOfUniquePositions      (0),//0.),
  m_logTargets                (0),//0.),
  m_alphaQuotients            (0),//0.),
  m_lastChainSize             (0),
  m_lastMean                  (),
  m_lastAdaptedCovMatrix      (),
  m_numPositionsNotSubWritten (0),
  m_optionsObj                (),
  m_computeInitialPriorAndLikelihoodValues(false),
  m_initialLogPriorValue      (initialLogPrior),
  m_initialLogLikelihoodValue (initialLogLikelihood),
  m_userDidNotProvideOptions(false),
  m_latestDirtyCovMatrixIteration(0)
{
  if (inputProposalCovMatrix != NULL) {
    m_initialProposalCovMatrix = *inputProposalCovMatrix;
  }

  // If user provided options, copy their object
  if (alternativeOptionsValues != NULL) {
    m_optionsObj.reset(new MhOptionsValues(*alternativeOptionsValues));
  }
  else {
    // Otherwise we create one
    m_optionsObj.reset(new MhOptionsValues(&m_env, prefix));
  }

  if (m_optionsObj->m_help != "") {
    if (m_env.subDisplayFile() && !m_optionsObj->m_totallyMute) {
      *m_env.subDisplayFile() << (*m_optionsObj) << std::endl;
    }
  }

  if ((m_env.subDisplayFile()                   ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "Entering MetropolisHastingsSG<P_V,P_M>::constructor(2)"
                            << ": prefix = " << prefix
                            << ", alternativeOptionsValues = " << alternativeOptionsValues
                            << ", m_env.optionsInputFileName() = " << m_env.optionsInputFileName()
                            << ", m_initialProposalCovMatrix = " << m_initialProposalCovMatrix
                            << std::endl;
  }

  queso_require_equal_to_msg(sourceRv.imageSet().vectorSpace().dimLocal(), initialPosition.sizeLocal(), "'sourceRv' and 'initialPosition' should have equal dimensions");

  if (inputProposalCovMatrix) {
    queso_require_equal_to_msg(sourceRv.imageSet().vectorSpace().dimLocal(), inputProposalCovMatrix->numRowsLocal(), "'sourceRv' and 'inputProposalCovMatrix' should have equal dimensions");
    queso_require_equal_to_msg(inputProposalCovMatrix->numCols(), inputProposalCovMatrix->numRowsGlobal(), "'inputProposalCovMatrix' should be a square matrix");
  }

  commonConstructor();

  if ((m_env.subDisplayFile()                   ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "Leaving MetropolisHastingsSG<P_V,P_M>::constructor(2)"
                            << std::endl;
  }
}

template<class P_V , class P_M >

QUESO::MetropolisHastingsSG< P_V, P_M >::MetropolisHastingsSG	(	const MLSamplingLevelOptions &	mlOptions,
		const BaseVectorRV< P_V, P_M > &	sourceRv,
		const P_V &	initialPosition,
		const P_M *	inputProposalCovMatrix
	)

Constructor.

Definition at line 303 of file MetropolisHastingsSG.C.

References QUESO::MetropolisHastingsSG< P_V, P_M >::commonConstructor(), QUESO::MetropolisHastingsSG< P_V, P_M >::m_env, QUESO::MetropolisHastingsSG< P_V, P_M >::m_initialProposalCovMatrix, QUESO::MetropolisHastingsSG< P_V, P_M >::m_oldOptions, QUESO::MetropolisHastingsSG< P_V, P_M >::m_optionsObj, and QUESO::BaseEnvironment::subDisplayFile().

  :
  m_env                       (sourceRv.env()),
  m_vectorSpace               (sourceRv.imageSet().vectorSpace()),
  m_targetPdf                 (sourceRv.pdf()),
  m_initialPosition           (initialPosition),
  m_initialProposalCovMatrix  (m_vectorSpace.zeroVector()),
  m_nullInputProposalCovMatrix(inputProposalCovMatrix == NULL),
  m_numDisabledParameters     (0), // gpmsa2
  m_parameterEnabledStatus    (m_vectorSpace.dimLocal(),true), // gpmsa2
  m_targetPdfSynchronizer     (new ScalarFunctionSynchronizer<P_V,P_M>(m_targetPdf,m_initialPosition)),
  m_tk                        (),
  m_algorithm                 (),
  m_positionIdForDebugging    (0),
  m_stageIdForDebugging       (0),
  m_idsOfUniquePositions      (0),//0.),
  m_logTargets                (0),//0.),
  m_alphaQuotients            (0),//0.),
  m_lastChainSize             (0),
  m_lastMean                  (),
  m_lastAdaptedCovMatrix      (),
  m_computeInitialPriorAndLikelihoodValues(true),
  m_initialLogPriorValue      (0.),
  m_initialLogLikelihoodValue (0.),
  m_userDidNotProvideOptions(true),
  m_latestDirtyCovMatrixIteration(0)
{
  // We do this dance because one of the MetropolisHastingsSGOptions
  // constructors takes one of the old-style MLSamplingLevelOptions options
  // objects.
  //
  // We do a copy and then pull out the raw values from m_ov.  We also need it
  // as a member (m_oldOptions) because otherwise m_ov will die when the
  // MetropolisHastingsSGOptions instance dies.
  m_oldOptions.reset(new MetropolisHastingsSGOptions(mlOptions));
  m_optionsObj.reset(new MhOptionsValues(m_oldOptions->m_ov));

  if (inputProposalCovMatrix != NULL) {
    m_initialProposalCovMatrix = *inputProposalCovMatrix;
    if ((m_env.subDisplayFile()                   ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::constructor(3)"
                              << ": just set m_initialProposalCovMatrix = " << m_initialProposalCovMatrix
                              << std::endl;
    }
  }
  if ((m_env.subDisplayFile()                   ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "Entering MetropolisHastingsSG<P_V,P_M>::constructor(3)"
                            << std::endl;
  }

  commonConstructor();

  if ((m_env.subDisplayFile()                   ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "Leaving MetropolisHastingsSG<P_V,P_M>::constructor(3)"
                            << std::endl;
  }
}

template<class P_V , class P_M >

QUESO::MetropolisHastingsSG< P_V, P_M >::MetropolisHastingsSG	(	const MLSamplingLevelOptions &	mlOptions,
		const BaseVectorRV< P_V, P_M > &	sourceRv,
		const P_V &	initialPosition,
		double	initialLogPrior,
		double	initialLogLikelihood,
		const P_M *	inputProposalCovMatrix
	)

Constructor.

Definition at line 369 of file MetropolisHastingsSG.C.

References QUESO::MetropolisHastingsSG< P_V, P_M >::commonConstructor(), QUESO::MetropolisHastingsSG< P_V, P_M >::m_env, QUESO::MetropolisHastingsSG< P_V, P_M >::m_initialProposalCovMatrix, QUESO::MetropolisHastingsSG< P_V, P_M >::m_oldOptions, QUESO::MetropolisHastingsSG< P_V, P_M >::m_optionsObj, and QUESO::BaseEnvironment::subDisplayFile().

  :
  m_env                       (sourceRv.env()),
  m_vectorSpace               (sourceRv.imageSet().vectorSpace()),
  m_targetPdf                 (sourceRv.pdf()),
  m_initialPosition           (initialPosition),
  m_initialProposalCovMatrix  (m_vectorSpace.zeroVector()),
  m_nullInputProposalCovMatrix(inputProposalCovMatrix == NULL),
  m_numDisabledParameters     (0), // gpmsa2
  m_parameterEnabledStatus    (m_vectorSpace.dimLocal(),true), // gpmsa2
  m_targetPdfSynchronizer     (new ScalarFunctionSynchronizer<P_V,P_M>(m_targetPdf,m_initialPosition)),
  m_tk                        (),
  m_algorithm                 (),
  m_positionIdForDebugging    (0),
  m_stageIdForDebugging       (0),
  m_idsOfUniquePositions      (0),//0.),
  m_logTargets                (0),//0.),
  m_alphaQuotients            (0),//0.),
  m_lastChainSize             (0),
  m_lastMean                  (),
  m_lastAdaptedCovMatrix      (),
  m_computeInitialPriorAndLikelihoodValues(false),
  m_initialLogPriorValue      (initialLogPrior),
  m_initialLogLikelihoodValue (initialLogLikelihood),
  m_userDidNotProvideOptions(true),
  m_latestDirtyCovMatrixIteration(0)
{
  // We do this dance because one of the MetropolisHastingsSGOptions
  // constructors takes one of the old-style MLSamplingLevelOptions options
  // objects.
  //
  // We do a copy and then pull out the raw values from m_ov.  We also need it
  // as a member (m_oldOptions) because otherwise m_ov will die when the
  // MetropolisHastingsSGOptions instance dies.
  m_oldOptions.reset(new MetropolisHastingsSGOptions(mlOptions));
  m_optionsObj.reset(new MhOptionsValues(m_oldOptions->m_ov));

  if (inputProposalCovMatrix != NULL) {
    m_initialProposalCovMatrix = *inputProposalCovMatrix;
    if ((m_env.subDisplayFile()                   ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::constructor(4)"
                              << ": just set m_initialProposalCovMatrix = " << m_initialProposalCovMatrix
                              << std::endl;
    }
  }
  if ((m_env.subDisplayFile()                   ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "Entering MetropolisHastingsSG<P_V,P_M>::constructor(4)"
                            << std::endl;
  }

  commonConstructor();

  if ((m_env.subDisplayFile()                   ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "Leaving MetropolisHastingsSG<P_V,P_M>::constructor(4)"
                            << std::endl;
  }
}

template<class P_V , class P_M >

QUESO::MetropolisHastingsSG< P_V, P_M >::~MetropolisHastingsSG

(

)

Destructor.

Definition at line 437 of file MetropolisHastingsSG.C.

{
  //if (m_env.subDisplayFile()) {
  //  *m_env.subDisplayFile() << "Entering MetropolisHastingsSG<P_V,P_M>::destructor()"
  //                          << std::endl;
  //}

  m_lastChainSize             = 0;
  m_rawChainInfo.reset();
  m_alphaQuotients.clear();
  m_logTargets.clear();
  m_numDisabledParameters  = 0; // gpmsa2
  m_parameterEnabledStatus.clear(); // gpmsa2
  m_positionIdForDebugging = 0;
  m_stageIdForDebugging    = 0;
  m_idsOfUniquePositions.clear();

  //if (m_env.subDisplayFile()) {
  //  *m_env.subDisplayFile() << "Leaving MetropolisHastingsSG<P_V,P_M>::destructor()"
  //                          << std::endl;
  //}
}

Member Function Documentation

template<class P_V , class P_M >

bool QUESO::MetropolisHastingsSG< P_V, P_M >::acceptAlpha ( double  alpha )

private

Decides whether or not to accept alpha.

If either alpha is negative or greater than one, its value will not be accepted.

Definition at line 753 of file MetropolisHastingsSG.C.

{
  bool result = false;

  if      (alpha <= 0.                                ) result = false;
  else if (alpha >= 1.                                ) result = true;
  else if (alpha >= m_env.rngObject()->uniformSample()) result = true;
  else                                                  result = false;

  return result;
}

template<class P_V , class P_M >

void QUESO::MetropolisHastingsSG< P_V, P_M >::adapt ( unsigned int  positionId, BaseVectorSequence< P_V, P_M > &  workingChain  )

private

Adaptive Metropolis method that deals with adapting the proposal covariance matrix.

Definition at line 1977 of file MetropolisHastingsSG.C.

References QUESO::BaseVectorSequence< V, M >::getPositionValues(), QUESO::MiscGetEllapsedSeconds(), QUESO::queso_require_equal_to_msg, QUESO::SequenceOfVectors< V, M >::resizeSequence(), QUESO::SequenceOfVectors< V, M >::setPositionValues(), QUESO::SequenceOfVectors< V, M >::subSequenceSize(), QUESO::UQ_INCOMPLETE_IMPLEMENTATION_RC, QUESO::UQ_MATRIX_IS_NOT_POS_DEFINITE_RC, and QUESO::UQ_OK_RC.

{
  int iRC = UQ_OK_RC;
  struct timeval timevalAM;

  // Bail early if we don't satisfy conditions needed to do adaptation
  if ((m_optionsObj->m_tkUseLocalHessian         == true) || // IMPORTANT
      (m_optionsObj->m_amInitialNonAdaptInterval == 0) ||
      (m_optionsObj->m_amAdaptInterval           == 0)) {
    return;
  }

  // Get timing info if we're measuring run times
  if (m_optionsObj->m_rawChainMeasureRunTimes) {
    iRC = gettimeofday(&timevalAM, NULL);
    queso_require_equal_to_msg(iRC, 0, "gettimeofday called failed");
  }

  unsigned int idOfFirstPositionInSubChain = 0;
  SequenceOfVectors<P_V,P_M> partialChain(m_vectorSpace,0,m_optionsObj->m_prefix+"partialChain");

  // Check if now is indeed the moment to adapt
  bool printAdaptedMatrix = false;
  if (positionId < m_optionsObj->m_amInitialNonAdaptInterval) {
    // Do nothing
  }
  else if (positionId == m_optionsObj->m_amInitialNonAdaptInterval) {
    idOfFirstPositionInSubChain = 0;
    partialChain.resizeSequence(m_optionsObj->m_amInitialNonAdaptInterval+1);
    m_lastMean.reset(m_vectorSpace.newVector());
    m_lastAdaptedCovMatrix.reset(m_vectorSpace.newMatrix());
    printAdaptedMatrix = true;
  }
  else {
    unsigned int interval = positionId - m_optionsObj->m_amInitialNonAdaptInterval;
    if ((interval % m_optionsObj->m_amAdaptInterval) == 0) {

      // If the user has set the proposal cov matrix to 'dirty', already
      // recorded the positionId at which that happened in m_latestDirtyCovMatrixIteration
      //
      // If the user didn't dirty it, we're good.
      if (m_latestDirtyCovMatrixIteration > 0) {
        m_lastMean->cwSet(0.0);
        m_lastAdaptedCovMatrix->cwSet(0.0);

        // We'll adapt over the states from when the user dirtied the matrix
        // until the current one
        unsigned int iter_diff = positionId - m_latestDirtyCovMatrixIteration;
        idOfFirstPositionInSubChain = iter_diff;
        partialChain.resizeSequence(iter_diff);

        // Finally set the latest dirty iteration back to zero.  If the user
        // sets the dirty flag again, then this will change.
        m_latestDirtyCovMatrixIteration = 0;
      }
      else {
        idOfFirstPositionInSubChain = positionId - m_optionsObj->m_amAdaptInterval;
        partialChain.resizeSequence(m_optionsObj->m_amAdaptInterval);
      }

      if (m_optionsObj->m_amAdaptedMatricesDataOutputPeriod > 0) {
        if ((interval % m_optionsObj->m_amAdaptedMatricesDataOutputPeriod) == 0) {
          printAdaptedMatrix = true;
        }
      }
    }
  }

  // Bail out if we don't have the samples to adapt
  if (partialChain.subSequenceSize() == 0) {
    // Save timings and bail
    if (m_optionsObj->m_rawChainMeasureRunTimes) {
      m_rawChainInfo.amRunTime += MiscGetEllapsedSeconds(&timevalAM);
    }

    return;
  }

  // If now is indeed the moment to adapt, then do it!
  P_V transporterVec(m_vectorSpace.zeroVector());
  for (unsigned int i = 0; i < partialChain.subSequenceSize(); ++i) {
    workingChain.getPositionValues(idOfFirstPositionInSubChain+i,transporterVec);

    // Transform to the space without boundaries.  This is the space
    // where the proposal distribution is Gaussian
    if (this->m_optionsObj->m_tk == "logit_random_walk") {
      // Only do this when we don't use the Hessian (this may change in
      // future, but transformToGaussianSpace() is only implemented in
      // TransformedScaledCovMatrixTKGroup
      P_V transformedTransporterVec(m_vectorSpace.zeroVector());
      dynamic_cast<TransformedScaledCovMatrixTKGroup<P_V, P_M>* >(
          m_tk.get())->transformToGaussianSpace(transporterVec,
            transformedTransporterVec);
      partialChain.setPositionValues(i, transformedTransporterVec);
    }
    else {
      partialChain.setPositionValues(i, transporterVec);
    }
  }

  updateAdaptedCovMatrix(partialChain,
                         idOfFirstPositionInSubChain,
                         m_lastChainSize,
                         *m_lastMean,
                         *m_lastAdaptedCovMatrix);

  // Print adapted matrix info
  if ((printAdaptedMatrix == true) &&
      (m_optionsObj->m_amAdaptedMatricesDataOutputFileName != "." )) {
    char varNamePrefix[64];
    sprintf(varNamePrefix,"mat_am%d",positionId);

    char tmpChar[64];
    sprintf(tmpChar,"_am%d",positionId);

    std::set<unsigned int> tmpSet;
    tmpSet.insert(m_env.subId());

    m_lastAdaptedCovMatrix->subWriteContents(varNamePrefix,
                                             (m_optionsObj->m_amAdaptedMatricesDataOutputFileName+tmpChar),
                                             m_optionsObj->m_amAdaptedMatricesDataOutputFileType,
                                             tmpSet);
    if ((m_env.subDisplayFile()                   ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                              << ": just wrote last adapted proposal cov matrix contents = " << *m_lastAdaptedCovMatrix
                              << std::endl;
    }
  }

  // Check if adapted matrix is positive definite
  bool tmpCholIsPositiveDefinite = false;
  P_M tmpChol(*m_lastAdaptedCovMatrix);
  P_M attemptedMatrix(tmpChol);
  if ((m_env.subDisplayFile()        ) &&
      (m_env.displayVerbosity() >= 10)) {
//(m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                            << ", positionId = "  << positionId
                            << ": 'am' calling first tmpChol.chol()"
                            << std::endl;
  }
  iRC = tmpChol.chol();
  if (iRC) {
    std::string err1 = "In MetropolisHastingsSG<P_V,P_M>::adapt(): first ";
    err1 += "Cholesky factorisation of proposal covariance matrix ";
    err1 += "failed.  QUESO will now attempt to regularise the ";
    err1 += "matrix before proceeding.  This is not a fatal error.";
    std::cerr << err1 << std::endl;
  }

  // Print some infor about the Cholesky factorisation
  if ((m_env.subDisplayFile()        ) &&
      (m_env.displayVerbosity() >= 10)) {
//(m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                            << ", positionId = "  << positionId
                            << ": 'am' got first tmpChol.chol() with iRC = " << iRC
                            << std::endl;
    if (iRC == 0) {
      double diagMult = 1.;
      for (unsigned int j = 0; j < tmpChol.numRowsLocal(); ++j) {
        diagMult *= tmpChol(j,j);
      }
      *m_env.subDisplayFile() << "diagMult = " << diagMult
                              << std::endl;
    }
  }

#if 0 // tentative logic
  if (iRC == 0) {
    double diagMult = 1.;
    for (unsigned int j = 0; j < tmpChol.numRowsLocal(); ++j) {
      diagMult *= tmpChol(j,j);
    }
    if (diagMult < 1.e-40) {
      iRC = UQ_MATRIX_IS_NOT_POS_DEFINITE_RC;
    }
  }
#endif

  // If the Cholesky factorisation failed, add a regularisation to the
  // diagonal components (of size m_amEpsilon) and try the factorisation again
  if (iRC) {
    queso_require_equal_to_msg(iRC, UQ_MATRIX_IS_NOT_POS_DEFINITE_RC, "invalid iRC returned from first chol()");
    // Matrix is not positive definite
    P_M* tmpDiag = m_vectorSpace.newDiagMatrix(m_optionsObj->m_amEpsilon);
    if (m_numDisabledParameters > 0) { // gpmsa2
      for (unsigned int paramId = 0; paramId < m_vectorSpace.dimLocal(); ++paramId) {
        if (m_parameterEnabledStatus[paramId] == false) {
          (*tmpDiag)(paramId,paramId) = 0.;
        }
      }
    }
    tmpChol = *m_lastAdaptedCovMatrix + *tmpDiag;
    attemptedMatrix = tmpChol;
    delete tmpDiag;

    if ((m_env.subDisplayFile()        ) &&
        (m_env.displayVerbosity() >= 10)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                              << ", positionId = "  << positionId
                              << ": 'am' calling second tmpChol.chol()"
                              << std::endl;
    }

    // Trying the second (regularised Cholesky factorisation)
    iRC = tmpChol.chol();
    if (iRC) {
      std::string err2 = "In MetropolisHastingsSG<P_V,P_M>::adapt(): second ";
      err2 += "Cholesky factorisation of (regularised) proposal ";
      err2 += "covariance matrix failed.  QUESO is falling back to ";
      err2 += "the last factorisable proposal covariance matrix.  ";
      err2 += "This is not a fatal error.";
      std::cerr << err2 << std::endl;
    }

    // Print some diagnostic info
    if ((m_env.subDisplayFile()        ) &&
        (m_env.displayVerbosity() >= 10)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                              << ", positionId = " << positionId
                              << ": 'am' got second tmpChol.chol() with iRC = " << iRC
                              << std::endl;
      if (iRC == 0) {
        double diagMult = 1.;
        for (unsigned int j = 0; j < tmpChol.numRowsLocal(); ++j) {
          diagMult *= tmpChol(j,j);
        }
        *m_env.subDisplayFile() << "diagMult = " << diagMult
                                << std::endl;
      }
      else {
        *m_env.subDisplayFile() << "attemptedMatrix = " << attemptedMatrix // FIX ME: might demand parallelism
                                << std::endl;
      }
    }

    // If the second (regularised) Cholesky factorisation failed, do nothing
    if (iRC) {
      queso_require_equal_to_msg(iRC, UQ_MATRIX_IS_NOT_POS_DEFINITE_RC, "invalid iRC returned from second chol()");
      // Do nothing
    }
    else {
      tmpCholIsPositiveDefinite = true;
    }
  }
  else {
    tmpCholIsPositiveDefinite = true;
  }

  // If the adapted matrix is pos. def., scale by \eta (s_d in Haario paper)
  if (tmpCholIsPositiveDefinite) {
    P_M tmpMatrix(m_optionsObj->m_amEta*attemptedMatrix);
    if (m_numDisabledParameters > 0) { // gpmsa2
      for (unsigned int paramId = 0; paramId < m_vectorSpace.dimLocal(); ++paramId) {
        if (m_parameterEnabledStatus[paramId] == false) {
          for (unsigned int i = 0; i < m_vectorSpace.dimLocal(); ++i) {
            tmpMatrix(i,paramId) = 0.;
          }
          for (unsigned int j = 0; j < m_vectorSpace.dimLocal(); ++j) {
            tmpMatrix(paramId,j) = 0.;
          }
          tmpMatrix(paramId,paramId) = 1.;
        }
      }
    }

    // Transform the proposal covariance matrix if we have Logit transforms
    // turned on.
    //
    // This logic should really be done inside the kernel itself
    if (this->m_optionsObj->m_tk == "logit_random_walk") {
      (dynamic_cast<TransformedScaledCovMatrixTKGroup<P_V,P_M>* >(m_tk.get()))
        ->updateLawCovMatrix(tmpMatrix);
    }
    else {
      // Assume that if we're not doing a logit transform, we're doing a random
      // something sensible
      (dynamic_cast<ScaledCovMatrixTKGroup<P_V,P_M>* >(m_tk.get()))
        ->updateLawCovMatrix(tmpMatrix);
    }

#ifdef UQ_DRAM_MCG_REQUIRES_INVERTED_COV_MATRICES
    queso_require_msg(!(UQ_INCOMPLETE_IMPLEMENTATION_RC), "need to code the update of m_upperCholProposalPrecMatrices");
#endif
  }

  // FIXME: What is this for?  Check the destructor frees the memory and nuke
  //        the commented code below
  //for (unsigned int i = 0; i < partialChain.subSequenceSize(); ++i) {
  //  if (partialChain[i]) delete partialChain[i];
  //}

  if (m_optionsObj->m_rawChainMeasureRunTimes) {
    m_rawChainInfo.amRunTime += MiscGetEllapsedSeconds(&timevalAM);
  }
}

template<class P_V , class P_M >

double QUESO::MetropolisHastingsSG< P_V, P_M >::alpha ( const std::vector< MarkovChainPositionData< P_V > * > &  inputPositions, const std::vector< unsigned int > &  inputTKStageIds  )

private

Calculates acceptance ratio.

The acceptance ratio is used to decide whether to accept or reject a candidate.

Definition at line 561 of file MetropolisHastingsSG.C.

References QUESO::queso_isnan(), QUESO::queso_require_equal_to_msg, and QUESO::BaseEnvironment::worldRank().

{
  // inputPositionsData is all the DR position data, except for the first
  // two elements.  The first element is the current state, and the second
  // element is the would-be candidate before DR.
  //
  // inputTKStageIds is a vector containing 0, 1, 2, ..., n

  unsigned int inputSize = inputPositionsData.size();
  if ((m_env.subDisplayFile()                   ) &&
      (m_env.displayVerbosity() >= 10           ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "Entering MetropolisHastingsSG<P_V,P_M>::alpha(vec)"
                           << ", inputSize = " << inputSize
                           << std::endl;
  }
  queso_require_greater_equal_msg(inputSize, 2, "inputPositionsData has size < 2");
  queso_require_equal_to_msg(inputSize, inputPositionsData.size(), "inputPositionsData and inputTKStageIds have different lengths");

  // If necessary, return 0. right away
  if (inputPositionsData[0          ]->outOfTargetSupport()) return 0.;
  if (inputPositionsData[inputSize-1]->outOfTargetSupport()) return 0.;

  if ((inputPositionsData[0]->logTarget() == -INFINITY           ) ||
      (inputPositionsData[0]->logTarget() ==  INFINITY           ) ||
      ( queso_isnan(inputPositionsData[0]->logTarget()) )) {
    std::cerr << "WARNING In MetropolisHastingsSG<P_V,P_M>::alpha(vec)"
              << ", worldRank "      << m_env.worldRank()
              << ", fullRank "       << m_env.fullRank()
              << ", subEnvironment " << m_env.subId()
              << ", subRank "        << m_env.subRank()
              << ", inter0Rank "     << m_env.inter0Rank()
              << ", positionId = "   << m_positionIdForDebugging
              << ", stageId = "      << m_stageIdForDebugging
              << ": inputSize = "    << inputSize
              << ", inputPositionsData[0]->logTarget() = " << inputPositionsData[0]->logTarget()
              << ", [0]->values() = "                      << inputPositionsData[0]->vecValues()
              << ", [inputSize - 1]->values() = "          << inputPositionsData[inputSize-1]->vecValues()
              << std::endl;
    return 0.;
  }
  else if ((inputPositionsData[inputSize - 1]->logTarget() == -INFINITY           ) ||
           (inputPositionsData[inputSize - 1]->logTarget() ==  INFINITY           ) ||
           ( queso_isnan(inputPositionsData[inputSize - 1]->logTarget()) )) {
    std::cerr << "WARNING In MetropolisHastingsSG<P_V,P_M>::alpha(vec)"
              << ", worldRank "      << m_env.worldRank()
              << ", fullRank "       << m_env.fullRank()
              << ", subEnvironment " << m_env.subId()
              << ", subRank "        << m_env.subRank()
              << ", inter0Rank "     << m_env.inter0Rank()
              << ", positionId = "   << m_positionIdForDebugging
              << ", stageId = "      << m_stageIdForDebugging
              << ": inputSize = "    << inputSize
              << ", inputPositionsData[inputSize - 1]->logTarget() = " << inputPositionsData[inputSize-1]->logTarget()
              << ", [0]->values() = "                                  << inputPositionsData[0]->vecValues()
              << ", [inputSize - 1]->values() = "                      << inputPositionsData[inputSize-1]->vecValues()
              << std::endl;
    return 0.;
  }

  // If inputSize is 2, recursion is not needed
  if (inputSize == 2) {
    const P_V & tk_pos_x = m_tk->preComputingPosition(inputTKStageIds[inputSize-1]);
    const P_V & tk_pos_y = m_tk->preComputingPosition(inputTKStageIds[0]);
    return this->m_algorithm->acceptance_ratio(
        *(inputPositionsData[0]),
        *(inputPositionsData[inputSize - 1]),
        tk_pos_x,
        tk_pos_y);
  }

  // Prepare two vectors of positions
  std::vector<MarkovChainPositionData<P_V>*>         positionsData  (inputSize,NULL);
  std::vector<MarkovChainPositionData<P_V>*> backwardPositionsData  (inputSize,NULL);

  std::vector<unsigned int                        >         tkStageIds     (inputSize,0);
  std::vector<unsigned int                        > backwardTKStageIds     (inputSize,0);

  std::vector<unsigned int                        >         tkStageIdsLess1(inputSize,0);
  std::vector<unsigned int                        > backwardTKStageIdsLess1(inputSize,0);

  for (unsigned int i = 0; i < inputSize; ++i) {
            positionsData  [i] = inputPositionsData[i];
    backwardPositionsData  [i] = inputPositionsData[inputSize-i-1];

            tkStageIds     [i] = inputTKStageIds   [i];
    backwardTKStageIds     [i] = inputTKStageIds   [inputSize-i-1];

            tkStageIdsLess1[i] = inputTKStageIds   [i];
    backwardTKStageIdsLess1[i] = inputTKStageIds   [inputSize-i-1];
  }

          tkStageIdsLess1.pop_back();
  backwardTKStageIdsLess1.pop_back();

  // Initialize cumulative variables
  double logNumerator      = 0.;
  double logDenominator    = 0.;
  double alphasNumerator   = 1.;
  double alphasDenominator = 1.;

  // Compute cumulative variables
  const P_V& _lastTKPosition         = m_tk->preComputingPosition(        tkStageIds[inputSize-1]);
  const P_V& _lastBackwardTKPosition = m_tk->preComputingPosition(backwardTKStageIds[inputSize-1]);

  double numContrib = m_tk->rv(backwardTKStageIdsLess1).pdf().lnValue(_lastBackwardTKPosition);

  double denContrib = m_tk->rv(tkStageIdsLess1).pdf().lnValue(_lastTKPosition);
  if ((m_env.subDisplayFile()                   ) &&
      (m_env.displayVerbosity() >= 10           ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::alpha(vec)"
                           << ", inputSize = "  << inputSize
                           << ", before loop"
                           << ": numContrib = " << numContrib
                           << ", denContrib = " << denContrib
                           << std::endl;
  }

  logNumerator   += numContrib;
  logDenominator += denContrib;

  for (unsigned int i = 0; i < (inputSize-2); ++i) { // That is why size must be >= 2
            positionsData.pop_back();
    backwardPositionsData.pop_back();

    const P_V& lastTKPosition         = m_tk->preComputingPosition(        tkStageIds[inputSize-2-i]);
    const P_V& lastBackwardTKPosition = m_tk->preComputingPosition(backwardTKStageIds[inputSize-2-i]);

            tkStageIds.pop_back();
    backwardTKStageIds.pop_back();

            tkStageIdsLess1.pop_back();
    backwardTKStageIdsLess1.pop_back();

    numContrib = m_tk->rv(backwardTKStageIdsLess1).pdf().lnValue(lastBackwardTKPosition);

    denContrib = m_tk->rv(tkStageIdsLess1).pdf().lnValue(lastTKPosition);
    if ((m_env.subDisplayFile()                   ) &&
        (m_env.displayVerbosity() >= 10           ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::alpha(vec)"
                             << ", inputSize = "  << inputSize
                             << ", in loop, i = " << i
                             << ": numContrib = " << numContrib
                             << ", denContrib = " << denContrib
                             << std::endl;
    }

    logNumerator   += numContrib;
    logDenominator += denContrib;

    alphasNumerator   *= (1. - this->alpha(backwardPositionsData,backwardTKStageIds));
    alphasDenominator *= (1. - this->alpha(        positionsData,        tkStageIds));
  }

  double numeratorLogTargetToUse = backwardPositionsData[0]->logTarget();
  numContrib = numeratorLogTargetToUse;
  denContrib = positionsData[0]->logTarget();
  if ((m_env.subDisplayFile()                   ) &&
      (m_env.displayVerbosity() >= 10           ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::alpha(vec)"
                           << ", inputSize = "  << inputSize
                           << ", after loop"
                           << ": numContrib = " << numContrib
                           << ", denContrib = " << denContrib
                           << std::endl;
  }
  logNumerator   += numContrib;
  logDenominator += denContrib;

  if ((m_env.subDisplayFile()                   ) &&
      (m_env.displayVerbosity() >= 10           ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "Leaving MetropolisHastingsSG<P_V,P_M>::alpha(vec)"
                           << ", inputSize = "         << inputSize
                           << ": alphasNumerator = "   << alphasNumerator
                           << ", alphasDenominator = " << alphasDenominator
                           << ", logNumerator = "      << logNumerator
                           << ", logDenominator = "    << logDenominator
                           << std::endl;
  }

  // Return result
  return std::min(1.,(alphasNumerator/alphasDenominator)*std::exp(logNumerator-logDenominator));
}

template<class P_V , class P_M >

void QUESO::MetropolisHastingsSG< P_V, P_M >::commonConstructor ( )

private

Reads the options values from the options input file.

This method actually reads the options input file, such as the value for the Delayed Rejection scales, the presence of Hessian covariance matrices and reads the user-provided initial proposal covariance matrix (alternative to local Hessians).

Definition at line 463 of file MetropolisHastingsSG.C.

References QUESO::Factory< BaseTKGroup< GslVector, GslMatrix > >::build(), QUESO::Factory< Algorithm< GslVector, GslMatrix > >::build(), QUESO::TransitionKernelFactory::set_dr_scales(), QUESO::AlgorithmFactory::set_environment(), QUESO::TransitionKernelFactory::set_initial_cov_matrix(), QUESO::TransitionKernelFactory::set_options(), QUESO::TransitionKernelFactory::set_pdf_synchronizer(), QUESO::TransitionKernelFactory::set_target_pdf(), QUESO::AlgorithmFactory::set_tk(), and QUESO::TransitionKernelFactory::set_vectorspace().

Referenced by QUESO::MetropolisHastingsSG< P_V, P_M >::MetropolisHastingsSG().

{
  // Instantiate the appropriate TK (transition kernel)
  if ((m_env.subDisplayFile()                   ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "Entering MetropolisHastingsSG<P_V,P_M>::commonConstructor()"
                            << std::endl;
  }

  if (m_optionsObj->m_initialPositionDataInputFileName != ".") { // palms
    std::set<unsigned int> tmpSet;
    tmpSet.insert(m_env.subId());
    m_initialPosition.subReadContents((m_optionsObj->m_initialPositionDataInputFileName+"_sub"+m_env.subIdString()),
                                      m_optionsObj->m_initialPositionDataInputFileType,
                                      tmpSet);
    if ((m_env.subDisplayFile()                   ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::commonConstructor()"
                              << ": just read initial position contents = " << m_initialPosition
                              << std::endl;
    }
  }

  if (m_optionsObj->m_parameterDisabledSet.size() > 0) { // gpmsa2
    for (std::set<unsigned int>::iterator setIt = m_optionsObj->m_parameterDisabledSet.begin(); setIt != m_optionsObj->m_parameterDisabledSet.end(); ++setIt) {
      unsigned int paramId = *setIt;
      if (paramId < m_vectorSpace.dimLocal()) {
        m_numDisabledParameters++;
        m_parameterEnabledStatus[paramId] = false;
      }
    }
  }

  std::vector<double> drScalesAll(m_optionsObj->m_drScalesForExtraStages.size()+1,1.);
  for (unsigned int i = 1; i < (m_optionsObj->m_drScalesForExtraStages.size()+1); ++i) {
    drScalesAll[i] = m_optionsObj->m_drScalesForExtraStages[i-1];
  }

  // Deprecate m_doLogitTransform
  if (m_optionsObj->m_doLogitTransform != UQ_MH_SG_DO_LOGIT_TRANSFORM) {
    std::string msg;
    msg = "The doLogitTransform option is deprecated.  ";
    msg += "Use both ip_mh_algorithm and ip_mh_tk instead.";
    queso_warning(msg.c_str());
  }

  if (m_optionsObj->m_initialProposalCovMatrixDataInputFileName != ".") { // palms
    std::set<unsigned int> tmpSet;
    tmpSet.insert(m_env.subId());
    m_initialProposalCovMatrix.subReadContents((m_optionsObj->m_initialProposalCovMatrixDataInputFileName+"_sub"+m_env.subIdString()),
                                               m_optionsObj->m_initialProposalCovMatrixDataInputFileType,
                                               tmpSet);
    if ((m_env.subDisplayFile()                   ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::commonConstructor()"
                              << ": just read initial proposal cov matrix contents = " << m_initialProposalCovMatrix
                              << std::endl;
    }
  }
  else {
    queso_require_msg(!(m_nullInputProposalCovMatrix), "proposal cov matrix should have been passed by user, since, according to the input algorithm options, local Hessians will not be used in the proposal");
  }

  // Only transform prop cov matrix if we're doing a logit random walk.
  // Also note we're transforming *after* we potentially read it from the input
  // file.
  if ((m_optionsObj->m_algorithm == "logit_random_walk") &&
      (m_optionsObj->m_tk        == "logit_random_walk") &&
      m_optionsObj->m_doLogitTransform) {
    // Variable transform initial proposal cov matrix
    transformInitialCovMatrixToGaussianSpace(
        dynamic_cast<const BoxSubset<P_V, P_M> & >(m_targetPdf.domainSet()));
  }

  // This instantiates all the transition kernels with their associated
  // factories
  TKFactoryInitializer tk_factory_initializer;

  TransitionKernelFactory::set_vectorspace(m_vectorSpace);
  TransitionKernelFactory::set_options(*m_optionsObj);
  TransitionKernelFactory::set_pdf_synchronizer(*m_targetPdfSynchronizer);
  TransitionKernelFactory::set_initial_cov_matrix(m_initialProposalCovMatrix);
  TransitionKernelFactory::set_dr_scales(drScalesAll);
  TransitionKernelFactory::set_target_pdf(m_targetPdf);
  m_tk = TransitionKernelFactory::build(m_optionsObj->m_tk);

  // This instantiates all the algorithms with their associated factories
  AlgorithmFactoryInitializer algorithm_factory_initializer;

  AlgorithmFactory::set_environment(m_env);
  AlgorithmFactory::set_tk(*m_tk);
  m_algorithm = AlgorithmFactory::build(m_optionsObj->m_algorithm);
}

template<class P_V , class P_M >

bool QUESO::MetropolisHastingsSG< P_V, P_M >::delayedRejection ( unsigned int  positionId, const MarkovChainPositionData< P_V > &  currentPositionData, MarkovChainPositionData< P_V > &  currentCandidateData  )

private

Does delayed rejection.

When faced with an imminent rejection, this method computes a series of new candidates in the same proposal direction but with smaller proposal step sizes. For each of these new candidates, we check if it will be accepted, if not we repeat the process until all the candidates have been tested.

If there is a candidate that will be accepted, this method will return true, otherwise it returns false.

currentCandidateData is updated whenever a new proposal is generated throughout the delayed rejection procedure.

delayedRejection promises not to change currentPositionData, because changing the current position of the Markov chain would be grossly inappropriate.

Definition at line 2279 of file MetropolisHastingsSG.C.

References QUESO::if, QUESO::MiscGetEllapsedSeconds(), QUESO::queso_require_equal_to_msg, QUESO::MarkovChainPositionData< V >::set(), QUESO::UQ_OK_RC, and QUESO::MarkovChainPositionData< V >::vecValues().

{
  if ((m_optionsObj->m_drDuringAmNonAdaptiveInt  == false     ) &&
      (m_optionsObj->m_tkUseLocalHessian         == false     ) &&
      (m_optionsObj->m_amInitialNonAdaptInterval >  0         ) &&
      (m_optionsObj->m_amAdaptInterval           >  0         ) &&
      (positionId <= m_optionsObj->m_amInitialNonAdaptInterval)) {
    return false;
  }

  unsigned int stageId = 0;

  bool validPreComputingPosition;

  m_tk->clearPreComputingPositions();

  validPreComputingPosition = m_tk->setPreComputingPosition(
      currentPositionData.vecValues(), 0);

  validPreComputingPosition = m_tk->setPreComputingPosition(
      currentCandidateData.vecValues(), stageId + 1);

  std::vector<MarkovChainPositionData<P_V>*> drPositionsData(stageId+2,NULL);
  std::vector<unsigned int> tkStageIds (stageId+2,0);

  int iRC = UQ_OK_RC;
  struct timeval timevalDR;
  struct timeval timevalDrAlpha;
  struct timeval timevalCandidate;
  struct timeval timevalTarget;

  if (m_optionsObj->m_rawChainMeasureRunTimes) {
    iRC = gettimeofday(&timevalDR, NULL);
    queso_require_equal_to_msg(iRC, 0, "gettimeofday call failed");
  }

  drPositionsData[0] = new MarkovChainPositionData<P_V>(currentPositionData );
  drPositionsData[1] = new MarkovChainPositionData<P_V>(currentCandidateData);

  tkStageIds[0] = 0;
  tkStageIds[1] = 1;

  bool accept = false;
  while ((validPreComputingPosition == true                 ) &&
         (accept                    == false                ) &&
         (stageId < m_optionsObj->m_drMaxNumExtraStages)) {
    if ((m_env.subDisplayFile()                   ) &&
        (m_env.displayVerbosity() >= 10           ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "\n"
                              << "\n+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-"
                              << "\n"
                              << std::endl;
    }
    m_rawChainInfo.numDRs++;
    stageId++;
    m_stageIdForDebugging = stageId;
    if ((m_env.subDisplayFile()                   ) &&
        (m_env.displayVerbosity() >= 10           ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                              << ": for chain position of id = " << positionId
                              << ", beginning stageId = "        << stageId
                              << std::endl;
    }

    P_V tmpVecValues(currentCandidateData.vecValues());
    bool keepGeneratingCandidates = true;
    bool outOfTargetSupport = false;
    while (keepGeneratingCandidates) {
      if (m_optionsObj->m_rawChainMeasureRunTimes) {
        iRC = gettimeofday(&timevalCandidate, NULL);
        queso_require_equal_to_msg(iRC, 0, "gettimeofday call failed");
      }
      m_tk->rv(tkStageIds).realizer().realization(tmpVecValues);
      if (m_numDisabledParameters > 0) { // gpmsa2
        for (unsigned int paramId = 0; paramId < m_vectorSpace.dimLocal(); ++paramId) {
          if (m_parameterEnabledStatus[paramId] == false) {
            tmpVecValues[paramId] = m_initialPosition[paramId];
          }
        }
      }
      if (m_optionsObj->m_rawChainMeasureRunTimes) m_rawChainInfo.candidateRunTime += MiscGetEllapsedSeconds(&timevalCandidate);

      outOfTargetSupport = !m_targetPdf.domainSet().contains(tmpVecValues);

      if (m_optionsObj->m_putOutOfBoundsInChain) keepGeneratingCandidates = false;
      else                                            keepGeneratingCandidates = outOfTargetSupport;
    }

    if ((m_env.subDisplayFile()                   ) &&
        (m_env.displayVerbosity() >= 5            ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                              << ": about to set TK pre computing position of local id " << stageId+1
                              << ", values = " << tmpVecValues
                              << std::endl;
    }
    validPreComputingPosition = m_tk->setPreComputingPosition(tmpVecValues,stageId+1);
    if ((m_env.subDisplayFile()                   ) &&
        (m_env.displayVerbosity() >= 5            ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                              << ": returned from setting TK pre computing position of local id " << stageId+1
                              << ", values = " << tmpVecValues
                              << ", valid = "  << validPreComputingPosition
                              << std::endl;
    }

    double logPrior;
    double logLikelihood;
    double logTarget;
    if (outOfTargetSupport) {
      m_rawChainInfo.numOutOfTargetSupportInDR++; // new 2010/May/12
      logPrior      = -INFINITY;
      logLikelihood = -INFINITY;
      logTarget     = -INFINITY;
    }
    else {
      if (m_optionsObj->m_rawChainMeasureRunTimes) {
        iRC = gettimeofday(&timevalTarget, NULL);
        queso_require_equal_to_msg(iRC, 0, "gettimeofday call failed");
      }
      logTarget = m_targetPdfSynchronizer->callFunction(&tmpVecValues,&logPrior,&logLikelihood); // Might demand parallel environment
      if (m_optionsObj->m_rawChainMeasureRunTimes) m_rawChainInfo.targetRunTime += MiscGetEllapsedSeconds(&timevalTarget);
      m_rawChainInfo.numTargetCalls++;
      if ((m_env.subDisplayFile()                   ) &&
          (m_env.displayVerbosity() >= 3            ) &&
          (m_optionsObj->m_totallyMute == false)) {
        *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                                << ": just returned from likelihood() for chain position of id " << positionId
                                << ", m_rawChainInfo.numTargetCalls = " << m_rawChainInfo.numTargetCalls
                                << ", stageId = "       << stageId
                                << ", logPrior = "      << logPrior
                                << ", logLikelihood = " << logLikelihood
                                << ", logTarget = "     << logTarget
                                << std::endl;
      }
    }
    currentCandidateData.set(tmpVecValues,
        outOfTargetSupport,
        logLikelihood,
        logTarget);

    // Ok, so we almost don't need setPreComputingPosition.  All the DR
    // position information we needed was generated in this while loop.
    drPositionsData.push_back(new MarkovChainPositionData<P_V>(currentCandidateData));
    tkStageIds.push_back     (stageId+1);

    double alphaDR = 0.;
    if (outOfTargetSupport == false) {
      if (m_optionsObj->m_rawChainMeasureRunTimes) {
        iRC = gettimeofday(&timevalDrAlpha, NULL);
        queso_require_equal_to_msg(iRC, 0, "gettimeofday call failed");
      }
      alphaDR = this->alpha(drPositionsData,tkStageIds);
      if (m_optionsObj->m_rawChainMeasureRunTimes) m_rawChainInfo.drAlphaRunTime += MiscGetEllapsedSeconds(&timevalDrAlpha);
      accept = acceptAlpha(alphaDR);
    }

    bool displayDetail = (m_env.displayVerbosity() >= 10/*99*/) || m_optionsObj->m_displayCandidates;
    if ((m_env.subDisplayFile()                   ) &&
        (displayDetail                            ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                              << ": for chain position of id = " << positionId
                              << " and stageId = "               << stageId
                              << ", outOfTargetSupport = "       << outOfTargetSupport
                              << ", alpha = "                    << alphaDR
                                                                                                      << ", accept = "                   << accept
                                                                                                                                    << ", currentCandidateData.vecValues() = ";
      *m_env.subDisplayFile() << currentCandidateData.vecValues(); // FIX ME: might need parallelism
      *m_env.subDisplayFile() << std::endl;
    }
  } // while

  if (m_optionsObj->m_rawChainMeasureRunTimes) m_rawChainInfo.drRunTime += MiscGetEllapsedSeconds(&timevalDR);

  for (unsigned int i = 0; i < drPositionsData.size(); ++i) {
    if (drPositionsData[i]) delete drPositionsData[i];
  }

  return accept;
}

template<class P_V , class P_M >

void QUESO::MetropolisHastingsSG< P_V, P_M >::generateFullChain ( const P_V &  valuesOf1stPosition, unsigned int  chainSize, BaseVectorSequence< P_V, P_M > &  workingChain, ScalarSequence< double > *  workingLogLikelihoodValues, ScalarSequence< double > *  workingLogTargetValues  )

private

This method generates the chain.

Given the size of the chain, the values of the first position in the chain. It checks if the position is out of target pdf support, otherwise it calculates the value of both its likelihood and prior and adds the position to the chain. For the next positions, once they are generated, some tests are performed (such as unicity and the value of alpha) and the steps for the first position are repeated, including the optional Delayed Rejection and the adaptive Metropolis (adaptation of covariance matrix) steps.

Definition at line 1332 of file MetropolisHastingsSG.C.

References QUESO::BaseVectorSequence< V, M >::estimateConvBrooksGelman(), QUESO::if, QUESO::MarkovChainPositionData< V >::logLikelihood(), QUESO::MarkovChainPositionData< V >::logTarget(), QUESO::MiscGetEllapsedSeconds(), QUESO::BaseVectorSequence< V, M >::name(), QUESO::queso_require_equal_to_msg, QUESO::ScalarSequence< T >::resizeSequence(), QUESO::BaseVectorSequence< V, M >::resizeSequence(), QUESO::BaseVectorSequence< V, M >::setPositionValues(), QUESO::BaseVectorSequence< V, M >::subSequenceSize(), QUESO::BaseVectorSequence< V, M >::subWriteContents(), QUESO::ScalarSequence< T >::subWriteContents(), QUESO::UQ_OK_RC, and QUESO::MarkovChainPositionData< V >::vecValues().

{
  //m_env.syncPrintDebugMsg("Entering MetropolisHastingsSG<P_V,P_M>::generateFullChain()",3,3000000,m_env.fullComm()); // Dangerous to barrier on fullComm ... // KAUST

  if ((m_env.subDisplayFile()                   ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "Starting the generation of Markov chain " << workingChain.name()
                            << ", with "                                  << chainSize
                            << " positions..."
                            << std::endl;
  }

  int iRC = UQ_OK_RC;
  struct timeval timevalChain;
  struct timeval timevalCandidate;
  struct timeval timevalTarget;
  struct timeval timevalMhAlpha;

  m_positionIdForDebugging = 0;
  m_stageIdForDebugging    = 0;

  m_rawChainInfo.reset();

  iRC = gettimeofday(&timevalChain, NULL);
  queso_require_equal_to_msg(iRC, 0, "gettimeofday called failed");

  if ((m_env.subDisplayFile()                   ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "\nIn MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                            << ": contents of initial position are:";
    *m_env.subDisplayFile() << valuesOf1stPosition; // FIX ME: might need parallelism
    *m_env.subDisplayFile() << "\nIn MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                            << ": targetPdf.domaintSet() info is:"
                            << m_targetPdf.domainSet();
    *m_env.subDisplayFile() << std::endl;
  }

  // Set a flag to write out log likelihood or not
  bool writeLogLikelihood;
  if ((workingLogLikelihoodValues != NULL) &&
      (m_optionsObj->m_outputLogLikelihood)) {
    writeLogLikelihood = true;
  }
  else {
    writeLogLikelihood = false;
  }

  // Set a flag to write out log target or not
  bool writeLogTarget;
  if ((workingLogTargetValues != NULL) &&
      (m_optionsObj->m_outputLogTarget)) {
    writeLogTarget = true;
  }
  else {
    writeLogTarget = false;
  }

  bool outOfTargetSupport = !m_targetPdf.domainSet().contains(valuesOf1stPosition);
  if ((m_env.subDisplayFile()) &&
      (outOfTargetSupport    )) {
    *m_env.subDisplayFile() << "ERROR: In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                            << ": contents of initial position are:\n";
    *m_env.subDisplayFile() << valuesOf1stPosition; // FIX ME: might need parallelism
    *m_env.subDisplayFile() << "\nERROR: In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                            << ": targetPdf.domaintSet() info is:\n"
                            << m_targetPdf.domainSet();
    *m_env.subDisplayFile() << std::endl;
  }
  queso_require_msg(!(outOfTargetSupport), "initial position should not be out of target pdf support");

  double logPrior      = 0.;
  double logLikelihood = 0.;
  double logTarget     = 0.;
  if (m_computeInitialPriorAndLikelihoodValues) {
    if (m_optionsObj->m_rawChainMeasureRunTimes) {
      iRC = gettimeofday(&timevalTarget, NULL);
      queso_require_equal_to_msg(iRC, 0, "gettimeofday called failed");
    }
    logTarget = m_targetPdfSynchronizer->callFunction(&valuesOf1stPosition,&logPrior,&logLikelihood); // Might demand parallel environment // KEY
    if (m_optionsObj->m_rawChainMeasureRunTimes) {
      m_rawChainInfo.targetRunTime += MiscGetEllapsedSeconds(&timevalTarget);
    }
    m_rawChainInfo.numTargetCalls++;
    if ((m_env.subDisplayFile()                   ) &&
        (m_env.displayVerbosity() >= 3            ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                              << ": just returned from likelihood() for initial chain position"
                              << ", m_rawChainInfo.numTargetCalls = " << m_rawChainInfo.numTargetCalls
                              << ", logPrior = "      << logPrior
                              << ", logLikelihood = " << logLikelihood
                              << ", logTarget = "     << logTarget
                              << std::endl;
    }
  }
  else {
    logPrior       = m_initialLogPriorValue;
    logLikelihood  = m_initialLogLikelihoodValue;
    logTarget      = logPrior + logLikelihood;
    if ((m_env.subDisplayFile()                   ) &&
        (m_env.displayVerbosity() >= 3            ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                              << ": used input prior and likelihood for initial chain position"
                              << ", m_rawChainInfo.numTargetCalls = " << m_rawChainInfo.numTargetCalls
                              << ", logPrior = "      << logPrior
                              << ", logLikelihood = " << logLikelihood
                              << ", logTarget = "     << logTarget
                              << std::endl;
    }
  }

  //*m_env.subDisplayFile() << "AQUI 001" << std::endl;
  MarkovChainPositionData<P_V> currentPositionData(m_env,
                                                          valuesOf1stPosition,
                                                          outOfTargetSupport,
                                                          logLikelihood,
                                                          logTarget);

  P_V gaussianVector(m_vectorSpace.zeroVector());
  P_V tmpVecValues(m_vectorSpace.zeroVector());
  MarkovChainPositionData<P_V> currentCandidateData(m_env);

  //****************************************************
  // Set chain position with positionId = 0
  //****************************************************
  workingChain.resizeSequence(chainSize);
  m_numPositionsNotSubWritten = 0;
  if (workingLogLikelihoodValues) workingLogLikelihoodValues->resizeSequence(chainSize);
  if (workingLogTargetValues    ) workingLogTargetValues->resizeSequence    (chainSize);
  if (true/*m_uniqueChainGenerate*/) m_idsOfUniquePositions.resize(chainSize,0);
  if (m_optionsObj->m_rawChainGenerateExtra) {
    m_logTargets.resize    (chainSize,0.);
    m_alphaQuotients.resize(chainSize,0.);
  }

  unsigned int uniquePos = 0;
  workingChain.setPositionValues(0,currentPositionData.vecValues());
  m_numPositionsNotSubWritten++;
  if ((m_optionsObj->m_rawChainDataOutputPeriod           >  0  ) &&
      (((0+1) % m_optionsObj->m_rawChainDataOutputPeriod) == 0  ) &&
      (m_optionsObj->m_rawChainDataOutputFileName         != ".")) {
    workingChain.subWriteContents(0 + 1 - m_optionsObj->m_rawChainDataOutputPeriod,
                                  m_optionsObj->m_rawChainDataOutputPeriod,
                                  m_optionsObj->m_rawChainDataOutputFileName,
                                  m_optionsObj->m_rawChainDataOutputFileType,
                                  m_optionsObj->m_rawChainDataOutputAllowedSet);
    if ((m_env.subDisplayFile()                   ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                              << ": just wrote (per period request) " << m_numPositionsNotSubWritten << " chain positions "
                              << ", " << 0 + 1 - m_optionsObj->m_rawChainDataOutputPeriod << " <= pos <= " << 0
                              << std::endl;
    }

    if (writeLogLikelihood) {
      workingLogLikelihoodValues->subWriteContents(0 + 1 - m_optionsObj->m_rawChainDataOutputPeriod,
                                                   m_optionsObj->m_rawChainDataOutputPeriod,
                                                   m_optionsObj->m_rawChainDataOutputFileName + "_loglikelihood",
                                                   m_optionsObj->m_rawChainDataOutputFileType,
                                                   m_optionsObj->m_rawChainDataOutputAllowedSet);
    }

    if (writeLogTarget) {
      workingLogTargetValues->subWriteContents(0 + 1 - m_optionsObj->m_rawChainDataOutputPeriod,
                                               m_optionsObj->m_rawChainDataOutputPeriod,
                                               m_optionsObj->m_rawChainDataOutputFileName + "_logtarget",
                                               m_optionsObj->m_rawChainDataOutputFileType,
                                               m_optionsObj->m_rawChainDataOutputAllowedSet);
    }

    m_numPositionsNotSubWritten = 0;
  }

  if (workingLogLikelihoodValues) (*workingLogLikelihoodValues)[0] = currentPositionData.logLikelihood();
  if (workingLogTargetValues    ) (*workingLogTargetValues    )[0] = currentPositionData.logTarget();
  if (true/*m_uniqueChainGenerate*/) m_idsOfUniquePositions[uniquePos++] = 0;
  if (m_optionsObj->m_rawChainGenerateExtra) {
    m_logTargets    [0] = currentPositionData.logTarget();
    m_alphaQuotients[0] = 1.;
  }
  //*m_env.subDisplayFile() << "AQUI 002" << std::endl;

  if ((m_env.subDisplayFile()                   ) &&
      (m_env.displayVerbosity() >= 10           ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "\n"
                            << "\n++++++++++++++++++++++++++++++++++++++++++++++++++++++++"
                            << "\n"
                            << std::endl;
  }

  //m_env.syncPrintDebugMsg("In MetropolisHastingsSG<P_V,P_M>::generateFullChain(), right before main loop",3,3000000,m_env.fullComm()); // Dangerous to barrier on fullComm ... // KAUST

  //****************************************************
  // Begin chain loop from positionId = 1
  //****************************************************
  if ((m_env.numSubEnvironments() < (unsigned int) m_env.fullComm().NumProc()) &&
      (m_initialPosition.numOfProcsForStorage() == 1                         ) &&
      (m_env.subRank()                          != 0                         )) {
    // subRank != 0 --> Enter the barrier and wait for processor 0 to decide to call the targetPdf
    double aux = 0.;
    aux = m_targetPdfSynchronizer->callFunction(NULL,
                                                NULL,
                                                NULL);
    if (aux) {}; // just to remove compiler warning
    for (unsigned int positionId = 1; positionId < workingChain.subSequenceSize(); ++positionId) {
      // Multiply by position values by 'positionId' in order to avoid a constant sequence,
      // which would cause zero variance and eventually OVERFLOW flags raised
      workingChain.setPositionValues(positionId,((double) positionId) * currentPositionData.vecValues());
      m_rawChainInfo.numRejections++;
    }
  }
  else for (unsigned int positionId = 1; positionId < workingChain.subSequenceSize(); ++positionId) {
    //****************************************************
    // Point 1/6 of logic for new position
    // Loop: initialize variables and print some information
    //****************************************************
    m_positionIdForDebugging = positionId;
    if ((m_env.subDisplayFile()                   ) &&
        (m_env.displayVerbosity() >= 3            ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                              << ": beginning chain position of id = "  << positionId
                              << ", m_optionsObj->m_drMaxNumExtraStages = " << m_optionsObj->m_drMaxNumExtraStages
                              << std::endl;
    }
    unsigned int stageId  = 0;
    m_stageIdForDebugging = stageId;

    m_tk->clearPreComputingPositions();

    if ((m_env.subDisplayFile()                   ) &&
        (m_env.displayVerbosity() >= 5            ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                              << ": about to set TK pre computing position of local id " << 0
                              << ", values = " << currentPositionData.vecValues()
                              << std::endl;
    }
    bool validPreComputingPosition = m_tk->setPreComputingPosition(currentPositionData.vecValues(),0);
    if ((m_env.subDisplayFile()                   ) &&
        (m_env.displayVerbosity() >= 5            ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                              << ": returned from setting TK pre computing position of local id " << 0
                              << ", values = " << currentPositionData.vecValues()
                              << ", valid = "  << validPreComputingPosition
                              << std::endl;
    }
    queso_require_msg(validPreComputingPosition, "initial position should not be an invalid pre computing position");

    //****************************************************
    // Point 2/6 of logic for new position
    // Loop: generate new position
    //****************************************************
    bool keepGeneratingCandidates = true;
    while (keepGeneratingCandidates) {
      if (m_optionsObj->m_rawChainMeasureRunTimes) {
        iRC = gettimeofday(&timevalCandidate, NULL);
        queso_require_equal_to_msg(iRC, 0, "gettimeofday called failed");
      }

      m_tk->rv(currentPositionData.vecValues()).realizer().realization(tmpVecValues);

      if (m_numDisabledParameters > 0) { // gpmsa2
        for (unsigned int paramId = 0; paramId < m_vectorSpace.dimLocal(); ++paramId) {
          if (m_parameterEnabledStatus[paramId] == false) {
            tmpVecValues[paramId] = m_initialPosition[paramId];
          }
        }
      }
      if (m_optionsObj->m_rawChainMeasureRunTimes) m_rawChainInfo.candidateRunTime += MiscGetEllapsedSeconds(&timevalCandidate);

      outOfTargetSupport = !m_targetPdf.domainSet().contains(tmpVecValues);

      bool displayDetail = (m_env.displayVerbosity() >= 10/*99*/) || m_optionsObj->m_displayCandidates;
      if ((m_env.subDisplayFile()                   ) &&
          (displayDetail                            ) &&
          (m_optionsObj->m_totallyMute == false)) {
        *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                                << ": for chain position of id = " << positionId
                                << ", candidate = "                << tmpVecValues // FIX ME: might need parallelism
                                << ", outOfTargetSupport = "       << outOfTargetSupport
                                << std::endl;
      }

      if (m_optionsObj->m_putOutOfBoundsInChain) keepGeneratingCandidates = false;
      else                                            keepGeneratingCandidates = outOfTargetSupport;
    }

    if ((m_env.subDisplayFile()                   ) &&
        (m_env.displayVerbosity() >= 5            ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                              << ": about to set TK pre computing position of local id " << stageId+1
                              << ", values = " << tmpVecValues
                              << std::endl;
    }
    validPreComputingPosition = m_tk->setPreComputingPosition(tmpVecValues,stageId+1);
    if ((m_env.subDisplayFile()                   ) &&
        (m_env.displayVerbosity() >= 5            ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                              << ": returned from setting TK pre computing position of local id " << stageId+1
                              << ", values = " << tmpVecValues
                              << ", valid = "  << validPreComputingPosition
                              << std::endl;
    }

    if (outOfTargetSupport) {
      m_rawChainInfo.numOutOfTargetSupport++;
      logPrior      = -INFINITY;
      logLikelihood = -INFINITY;
      logTarget     = -INFINITY;
    }
    else {
      if (m_optionsObj->m_rawChainMeasureRunTimes) {
        iRC = gettimeofday(&timevalTarget, NULL);
        queso_require_equal_to_msg(iRC, 0, "gettimeofday called failed");
      }
      logTarget = m_targetPdfSynchronizer->callFunction(&tmpVecValues,&logPrior,&logLikelihood); // Might demand parallel environment
      if (m_optionsObj->m_rawChainMeasureRunTimes) m_rawChainInfo.targetRunTime += MiscGetEllapsedSeconds(&timevalTarget);
      m_rawChainInfo.numTargetCalls++;
      if ((m_env.subDisplayFile()                   ) &&
          (m_env.displayVerbosity() >= 3            ) &&
          (m_optionsObj->m_totallyMute == false)) {
        *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                                << ": just returned from likelihood() for chain position of id " << positionId
                                << ", m_rawChainInfo.numTargetCalls = " << m_rawChainInfo.numTargetCalls
                                << ", logPrior = "      << logPrior
                                << ", logLikelihood = " << logLikelihood
                                << ", logTarget = "     << logTarget
                                << std::endl;
      }
    }
    currentCandidateData.set(tmpVecValues,
                             outOfTargetSupport,
                             logLikelihood,
                             logTarget);

    if ((m_env.subDisplayFile()                   ) &&
        (m_env.displayVerbosity() >= 10           ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "\n"
                              << "\n-----------------------------------------------------------\n"
                              << "\n"
                              << std::endl;
    }
    bool accept = false;
    double alphaFirstCandidate = 0.;
    if (outOfTargetSupport) {
      if (m_optionsObj->m_rawChainGenerateExtra) {
        m_alphaQuotients[positionId] = 0.;
      }
    }
    else {
      if (m_optionsObj->m_rawChainMeasureRunTimes) {
        iRC = gettimeofday(&timevalMhAlpha, NULL);
        queso_require_equal_to_msg(iRC, 0, "gettimeofday called failed");
      }
      if (m_optionsObj->m_rawChainGenerateExtra) {
        alphaFirstCandidate = m_algorithm->acceptance_ratio(
            currentPositionData,
            currentCandidateData,
            currentCandidateData.vecValues(),
            currentPositionData.vecValues());
      }
      else {
        alphaFirstCandidate = m_algorithm->acceptance_ratio(
            currentPositionData,
            currentCandidateData,
            currentCandidateData.vecValues(),
            currentPositionData.vecValues());
      }
      if (m_optionsObj->m_rawChainMeasureRunTimes) m_rawChainInfo.mhAlphaRunTime += MiscGetEllapsedSeconds(&timevalMhAlpha);
      if ((m_env.subDisplayFile()                   ) &&
          (m_env.displayVerbosity() >= 10           ) &&
          (m_optionsObj->m_totallyMute == false)) {
        *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                                << ": for chain position of id = " << positionId
                                << std::endl;
      }
      accept = acceptAlpha(alphaFirstCandidate);
    }

    bool displayDetail = (m_env.displayVerbosity() >= 10/*99*/) || m_optionsObj->m_displayCandidates;
    if ((m_env.subDisplayFile()                   ) &&
        (displayDetail                            ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                              << ": for chain position of id = " << positionId
                              << ", outOfTargetSupport = "       << outOfTargetSupport
                              << ", alpha = "                    << alphaFirstCandidate
                              << ", accept = "                   << accept
                              << ", currentCandidateData.vecValues() = ";
      *m_env.subDisplayFile() << currentCandidateData.vecValues(); // FIX ME: might need parallelism
      *m_env.subDisplayFile() << "\n"
                              << "\n curLogTarget  = "           << currentPositionData.logTarget()
                              << "\n"
                              << "\n canLogTarget  = "           << currentCandidateData.logTarget()
                              << "\n"
                              << std::endl;
    }
    if ((m_env.subDisplayFile()                   ) &&
        (m_env.displayVerbosity() >= 10           ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "\n"
                              << "\n-----------------------------------------------------------\n"
                              << "\n"
                              << std::endl;
    }

    //****************************************************
    // Point 3/6 of logic for new position
    // Loop: delayed rejection
    //****************************************************
    if ((accept == false) &&
        (outOfTargetSupport == false) &&
        (m_optionsObj->m_drMaxNumExtraStages > 0)) {
      accept = delayedRejection(positionId,
                                currentPositionData,
                                currentCandidateData);
    }

    //****************************************************
    // Point 4/6 of logic for new position
    // Loop: update chain
    //****************************************************
    if (accept) {
      workingChain.setPositionValues(positionId,currentCandidateData.vecValues());
      if (true/*m_uniqueChainGenerate*/) m_idsOfUniquePositions[uniquePos++] = positionId;
      currentPositionData = currentCandidateData;
    }
    else {
      workingChain.setPositionValues(positionId,currentPositionData.vecValues());
      m_rawChainInfo.numRejections++;
    }
    m_numPositionsNotSubWritten++;
    if ((m_optionsObj->m_rawChainDataOutputPeriod                    >  0  ) &&
        (((positionId+1) % m_optionsObj->m_rawChainDataOutputPeriod) == 0  ) &&
        (m_optionsObj->m_rawChainDataOutputFileName                  != ".")) {
      if ((m_env.subDisplayFile()                   ) &&
          (m_env.displayVerbosity()         >= 10   ) &&
          (m_optionsObj->m_totallyMute == false)) {
        *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                                << ", for chain position of id = " << positionId
                                << ": about to write (per period request) " << m_numPositionsNotSubWritten << " chain positions "
                                << ", " << positionId + 1 - m_optionsObj->m_rawChainDataOutputPeriod << " <= pos <= " << positionId
                                << std::endl;
      }
      workingChain.subWriteContents(positionId + 1 - m_optionsObj->m_rawChainDataOutputPeriod,
                                    m_optionsObj->m_rawChainDataOutputPeriod,
                                    m_optionsObj->m_rawChainDataOutputFileName,
                                    m_optionsObj->m_rawChainDataOutputFileType,
                                    m_optionsObj->m_rawChainDataOutputAllowedSet);
      if ((m_env.subDisplayFile()                   ) &&
          (m_optionsObj->m_totallyMute == false)) {
        *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                                << ", for chain position of id = " << positionId
                                << ": just wrote (per period request) " << m_numPositionsNotSubWritten << " chain positions "
                                << ", " << positionId + 1 - m_optionsObj->m_rawChainDataOutputPeriod << " <= pos <= " << positionId
                                << std::endl;
      }

      if (writeLogLikelihood) {
        workingLogLikelihoodValues->subWriteContents(0 + 1 - m_optionsObj->m_rawChainDataOutputPeriod,
                                                     m_optionsObj->m_rawChainDataOutputPeriod,
                                                     m_optionsObj->m_rawChainDataOutputFileName + "_loglikelihood",
                                                     m_optionsObj->m_rawChainDataOutputFileType,
                                                     m_optionsObj->m_rawChainDataOutputAllowedSet);
      }

      if (writeLogTarget) {
        workingLogTargetValues->subWriteContents(0 + 1 - m_optionsObj->m_rawChainDataOutputPeriod,
                                                 m_optionsObj->m_rawChainDataOutputPeriod,
                                                 m_optionsObj->m_rawChainDataOutputFileName + "_logtarget",
                                                 m_optionsObj->m_rawChainDataOutputFileType,
                                                 m_optionsObj->m_rawChainDataOutputAllowedSet);
      }

      m_numPositionsNotSubWritten = 0;
    }


    if (workingLogLikelihoodValues) (*workingLogLikelihoodValues)[positionId] = currentPositionData.logLikelihood();
    if (workingLogTargetValues    ) (*workingLogTargetValues    )[positionId] = currentPositionData.logTarget();

    if (m_optionsObj->m_rawChainGenerateExtra) {
      m_logTargets[positionId] = currentPositionData.logTarget();
    }

    if (m_optionsObj->m_enableBrooksGelmanConvMonitor > 0) {
      if (positionId % m_optionsObj->m_enableBrooksGelmanConvMonitor == 0 &&
          positionId > m_optionsObj->m_BrooksGelmanLag + 1) {  // +1 to help ensure there are at least 2 samples to use

        double conv_est = workingChain.estimateConvBrooksGelman(
            m_optionsObj->m_BrooksGelmanLag,
            positionId - m_optionsObj->m_BrooksGelmanLag);

        if (m_env.subDisplayFile()) {
          *m_env.subDisplayFile() << "positionId = " << positionId
                                  << ", conv_est = " << conv_est
                                  << std::endl;
          (*m_env.subDisplayFile()).flush();
        }
      }
    }

    // Possibly user-overridden to implement strange things, but we allow it.
    if (positionId % m_optionsObj->m_updateInterval == 0) {
      m_tk->updateTK();
    }

    // If the user dirtied the cov matrix, keep track of the latest iteration
    // number it happened at.
    if (m_tk->covMatrixIsDirty()) {
      m_latestDirtyCovMatrixIteration = positionId;

      // Clean the covariance matrix so that the last dirty iteration tracker
      // doesn't get wiped in the next iteration.
      m_tk->cleanCovMatrix();
    }

    //****************************************************
    // Point 5/6 of logic for new position
    // Adaptive Metropolis calculation
    //****************************************************
    this->adapt(positionId, workingChain);

    //****************************************************
    // Point 6/6 of logic for new position
    // Loop: print some information before going to the next chain position
    //****************************************************
    if ((m_env.subDisplayFile()                   ) &&
        (m_env.displayVerbosity() >= 3            ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateFullChain()"
                              << ": finishing chain position of id = " << positionId
                              << ", accept = "                         << accept
                              << ", curLogTarget  = "                  << currentPositionData.logTarget()
                              << ", canLogTarget  = "                  << currentCandidateData.logTarget()
                              << std::endl;
    }

    if ((m_optionsObj->m_rawChainDisplayPeriod                     > 0) &&
        (((positionId+1) % m_optionsObj->m_rawChainDisplayPeriod) == 0)) {
      if ((m_env.subDisplayFile()                   ) &&
          (m_optionsObj->m_totallyMute == false)) {
        *m_env.subDisplayFile() << "Finished generating " << positionId+1
                                << " positions"  // root
                                << ", current rejection percentage = " << (100. * ((double) m_rawChainInfo.numRejections)/((double) (positionId+1)))
                                << " %"
                                << std::endl;
      }
    }

    if ((m_env.subDisplayFile()                   ) &&
        (m_env.displayVerbosity() >= 10           ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "\n"
                              << "\n++++++++++++++++++++++++++++++++++++++++++++++++++++++++"
                              << "\n"
                              << std::endl;
    }
  } // end chain loop [for (unsigned int positionId = 1; positionId < workingChain.subSequenceSize(); ++positionId) {]

  if ((m_env.numSubEnvironments() < (unsigned int) m_env.fullComm().NumProc()) &&
      (m_initialPosition.numOfProcsForStorage() == 1                         ) &&
      (m_env.subRank()                          == 0                         )) {
    // subRank == 0 --> Tell all other processors to exit barrier now that the chain has been fully generated
    double aux = 0.;
    aux = m_targetPdfSynchronizer->callFunction(NULL,
                                                NULL,
                                                NULL);
    if (aux) {}; // just to remove compiler warning
  }

  //****************************************************
  // Print basic information about the chain
  //****************************************************
  m_rawChainInfo.runTime += MiscGetEllapsedSeconds(&timevalChain);
  if ((m_env.subDisplayFile()                   ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "Finished the generation of Markov chain " << workingChain.name()
                            << ", with sub "                              << workingChain.subSequenceSize()
                            << " positions";
    *m_env.subDisplayFile() << "\nSome information about this chain:"
                            << "\n  Chain run time       = " << m_rawChainInfo.runTime
                            << " seconds";
    if (m_optionsObj->m_rawChainMeasureRunTimes) {
      *m_env.subDisplayFile() << "\n\n Breaking of the chain run time:\n";
      *m_env.subDisplayFile() << "\n  Candidate run time   = " << m_rawChainInfo.candidateRunTime
                              << " seconds ("                  << 100.*m_rawChainInfo.candidateRunTime/m_rawChainInfo.runTime
                              << "%)";
      *m_env.subDisplayFile() << "\n  Num target calls  = "    << m_rawChainInfo.numTargetCalls;
      *m_env.subDisplayFile() << "\n  Target d. run time   = " << m_rawChainInfo.targetRunTime
                              << " seconds ("                  << 100.*m_rawChainInfo.targetRunTime/m_rawChainInfo.runTime
                              << "%)";
      *m_env.subDisplayFile() << "\n  Avg target run time   = " << m_rawChainInfo.targetRunTime/((double) m_rawChainInfo.numTargetCalls)
                              << " seconds";
      *m_env.subDisplayFile() << "\n  Mh alpha run time    = " << m_rawChainInfo.mhAlphaRunTime
                              << " seconds ("                  << 100.*m_rawChainInfo.mhAlphaRunTime/m_rawChainInfo.runTime
                              << "%)";
      *m_env.subDisplayFile() << "\n  Dr alpha run time    = " << m_rawChainInfo.drAlphaRunTime
                              << " seconds ("                  << 100.*m_rawChainInfo.drAlphaRunTime/m_rawChainInfo.runTime
                              << "%)";
      *m_env.subDisplayFile() << "\n----------------------   --------------";
      double sumRunTime = m_rawChainInfo.candidateRunTime + m_rawChainInfo.targetRunTime + m_rawChainInfo.mhAlphaRunTime + m_rawChainInfo.drAlphaRunTime;
      *m_env.subDisplayFile() << "\n  Sum                  = " << sumRunTime
                              << " seconds ("                  << 100.*sumRunTime/m_rawChainInfo.runTime
                              << "%)";
      *m_env.subDisplayFile() << "\n\n Other run times:";
      *m_env.subDisplayFile() << "\n  DR run time          = " << m_rawChainInfo.drRunTime
                              << " seconds ("                  << 100.*m_rawChainInfo.drRunTime/m_rawChainInfo.runTime
                              << "%)";
      *m_env.subDisplayFile() << "\n  AM run time          = " << m_rawChainInfo.amRunTime
                              << " seconds ("                  << 100.*m_rawChainInfo.amRunTime/m_rawChainInfo.runTime
                              << "%)";
    }
    *m_env.subDisplayFile() << "\n  Number of DRs = "  << m_rawChainInfo.numDRs << "(num_DRs/chain_size = " << (double) m_rawChainInfo.numDRs/(double) workingChain.subSequenceSize()
                            << ")";
    *m_env.subDisplayFile() << "\n  Out of target support in DR = " << m_rawChainInfo.numOutOfTargetSupportInDR;
    *m_env.subDisplayFile() << "\n  Rejection percentage = "        << 100. * (double) m_rawChainInfo.numRejections/(double) workingChain.subSequenceSize()
                            << " %";
    *m_env.subDisplayFile() << "\n  Out of target support percentage = " << 100. * (double) m_rawChainInfo.numOutOfTargetSupport/(double) workingChain.subSequenceSize()
                            << " %";
    *m_env.subDisplayFile() << std::endl;
  }

  //****************************************************
  // Release memory before leaving routine
  //****************************************************
  //m_env.syncPrintDebugMsg("Leaving MetropolisHastingsSG<P_V,P_M>::generateFullChain()",3,3000000,m_env.fullComm()); // Dangerous to barrier on fullComm ... // KAUST

  return;
}

template<class P_V , class P_M >

void QUESO::MetropolisHastingsSG< P_V, P_M >::generateSequence	(	BaseVectorSequence< P_V, P_M > &	workingChain,
		ScalarSequence< double > *	workingLogLikelihoodValues,
		ScalarSequence< double > *	workingLogTargetValues
	)

Method to generate the chain.

Requirement: the vector space 'm_vectorSpace' should have dimension equal to the size of a vector in 'workingChain'. If the requirement is satisfied, this operation sets the size and the contents of 'workingChain' using the algorithm options set in the constructor. If not NULL, 'workingLogLikelihoodValues' and 'workingLogTargetValues' are set accordingly. This operation currently implements the DRAM algorithm (Heikki Haario, Marko Laine, Antonietta Mira and Eero Saksman, "DRAM: Efficient Adaptive MCMC", Statistics and Computing (2006), 16:339-354), as a translation of the core routine at the MCMC toolbox for MATLAB, available at helios.fmi.fi/~lainema/mcmc/‎ (accessed in July 3rd, 2013). Indeed, the example available in examples/statisticalInverseProblem is closely related to the 'normal example' in the toolbox. Over time, though:

1. the whole set of QUESO classes took shape, focusing not only on Markov Chains, but on statistical forward problems and model validation as well;
2. the interfaces to this Metropolis-Hastings class changed;
3. QUESO has parallel capabilities;
4. TK (transition kernel) class has been added in order to have both DRAM with Stochastic Newton capabilities.

Definition at line 859 of file MetropolisHastingsSG.C.

References QUESO::BaseVectorSequence< V, M >::computeFilterParams(), QUESO::BaseVectorSequence< V, M >::computeStatistics(), QUESO::BaseVectorSequence< V, M >::filter(), QUESO::ScalarSequence< T >::filter(), QUESO::SequenceOfVectors< V, M >::getPositionValues(), QUESO::BaseVectorSequence< V, M >::name(), QUESO::FilePtrSetStruct::ofsVar, QUESO::queso_require_not_equal_to_msg, QUESO::BaseVectorSequence< V, M >::setName(), QUESO::BaseVectorSequence< V, M >::subPositionsOfMaximum(), QUESO::BaseVectorSequence< V, M >::subSequenceSize(), QUESO::SequenceOfVectors< V, M >::subSequenceSize(), QUESO::BaseVectorSequence< V, M >::subWriteContents(), QUESO::ScalarSequence< T >::subWriteContents(), QUESO::BaseVectorSequence< V, M >::unifiedPositionsOfMaximum(), QUESO::BaseVectorSequence< V, M >::unifiedWriteContents(), QUESO::ScalarSequence< T >::unifiedWriteContents(), QUESO::UQ_OK_RC, and QUESO::BaseVectorSequence< V, M >::vectorSizeLocal().

Referenced by QUESO::MLSampling< P_V, P_M >::generateBalLinkedChains_all(), and QUESO::MLSampling< P_V, P_M >::generateUnbLinkedChains_all().

{
  if ((m_env.subDisplayFile()                   ) &&
      (m_env.displayVerbosity() >= 5            ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "Entering MetropolisHastingsSG<P_V,P_M>::generateSequence()..."
                            << std::endl;
  }

  if (m_vectorSpace.dimLocal() != workingChain.vectorSizeLocal()) {
    std::cerr << "'m_vectorSpace' and 'workingChain' are related to vector"
              << "spaces of different dimensions"
              << std::endl;
    queso_error();
  }

  // Set a flag to write out log likelihood or not
  bool writeLogLikelihood;
  if ((workingLogLikelihoodValues != NULL) &&
      (m_optionsObj->m_outputLogLikelihood)) {
    writeLogLikelihood = true;
  }
  else {
    writeLogLikelihood = false;
  }

  // Set a flag to write out log target or not
  bool writeLogTarget;
  if ((workingLogTargetValues != NULL) &&
      (m_optionsObj->m_outputLogTarget)) {
    writeLogTarget = true;
  }
  else {
    writeLogTarget = false;
  }

  MiscCheckTheParallelEnvironment<P_V,P_V>(m_initialPosition,
                                             m_initialPosition);

  P_V valuesOf1stPosition(m_initialPosition);
  int iRC = UQ_OK_RC;

  workingChain.setName(m_optionsObj->m_prefix + "rawChain");

  //****************************************************
  // Generate chain
  //****************************************************
  if (m_optionsObj->m_rawChainDataInputFileName == UQ_MH_SG_FILENAME_FOR_NO_FILE) {
    generateFullChain(valuesOf1stPosition,
                      m_optionsObj->m_rawChainSize,
                      workingChain,
                      workingLogLikelihoodValues,
                      workingLogTargetValues);
  }
  else {
    readFullChain(m_optionsObj->m_rawChainDataInputFileName,
                  m_optionsObj->m_rawChainDataInputFileType,
                  m_optionsObj->m_rawChainSize,
                  workingChain);
  }

  //****************************************************
  // Open generic output file
  //****************************************************
  if ((m_env.subDisplayFile()                   ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateSequence()"
                            << ", prefix = "                                         << m_optionsObj->m_prefix
                            << ", chain name = "                                     << workingChain.name()
                            << ": about to try to open generic output file '"        << m_optionsObj->m_dataOutputFileName
                            << "."                                                   << UQ_FILE_EXTENSION_FOR_MATLAB_FORMAT // Yes, always ".m"
                            << "', subId = "                                         << m_env.subId()
                            << ", subenv is allowed to write (1/true or 0/false) = " << (m_optionsObj->m_dataOutputAllowedSet.find(m_env.subId()) != m_optionsObj->m_dataOutputAllowedSet.end())
                            << "..."
                            << std::endl;
  }

  FilePtrSetStruct genericFilePtrSet;
  m_env.openOutputFile(m_optionsObj->m_dataOutputFileName,
                       UQ_FILE_EXTENSION_FOR_MATLAB_FORMAT, // Yes, always ".m"
                       m_optionsObj->m_dataOutputAllowedSet,
                       false,
                       genericFilePtrSet);

  if ((m_env.subDisplayFile()                   ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateSequence()"
                            << ", prefix = "                                   << m_optionsObj->m_prefix
                            << ", raw chain name = "                           << workingChain.name()
                            << ": returned from opening generic output file '" << m_optionsObj->m_dataOutputFileName
                            << "."                                             << UQ_FILE_EXTENSION_FOR_MATLAB_FORMAT // Yes, always ".m"
                            << "', subId = "                                   << m_env.subId()
                            << std::endl;
  }

  //****************************************************************************************
  // Eventually:
  // --> write raw chain
  // --> compute statistics on it
  //****************************************************************************************
  if ((m_optionsObj->m_rawChainDataOutputFileName != UQ_MH_SG_FILENAME_FOR_NO_FILE) &&
      (m_optionsObj->m_totallyMute == false                                       )) {

    // Take "sub" care of raw chain
    if ((m_env.subDisplayFile()                   ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateSequence()"
                              << ", prefix = "                                         << m_optionsObj->m_prefix
                              << ", raw chain name = "                                 << workingChain.name()
                              << ": about to try to write raw sub chain output file '" << m_optionsObj->m_rawChainDataOutputFileName
                              << "."                                                   << m_optionsObj->m_rawChainDataOutputFileType
                              << "', subId = "                                         << m_env.subId()
                              << ", subenv is allowed to write  1/true or 0/false) = " << (m_optionsObj->m_rawChainDataOutputAllowedSet.find(m_env.subId()) != m_optionsObj->m_rawChainDataOutputAllowedSet.end())
                              << "..."
                              << std::endl;
    }

    if ((m_numPositionsNotSubWritten                     >  0  ) &&
        (m_optionsObj->m_rawChainDataOutputFileName != ".")) {
      workingChain.subWriteContents(m_optionsObj->m_rawChainSize - m_numPositionsNotSubWritten,
                                    m_numPositionsNotSubWritten,
                                    m_optionsObj->m_rawChainDataOutputFileName,
                                    m_optionsObj->m_rawChainDataOutputFileType,
                                    m_optionsObj->m_rawChainDataOutputAllowedSet);
      if ((m_env.subDisplayFile()                   ) &&
          (m_optionsObj->m_totallyMute == false)) {
        *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateSequence()"
                                << ": just wrote (per period request) remaining " << m_numPositionsNotSubWritten << " chain positions "
                                << ", " << m_optionsObj->m_rawChainSize - m_numPositionsNotSubWritten << " <= pos <= " << m_optionsObj->m_rawChainSize - 1
                                << std::endl;
      }

      if (writeLogLikelihood) {
        workingLogLikelihoodValues->subWriteContents(m_optionsObj->m_rawChainSize - m_numPositionsNotSubWritten,
                                                     m_numPositionsNotSubWritten,
                                                     m_optionsObj->m_rawChainDataOutputFileName + "_loglikelihood",
                                                     m_optionsObj->m_rawChainDataOutputFileType,
                                                     m_optionsObj->m_rawChainDataOutputAllowedSet);
      }

      if (writeLogTarget) {
        workingLogTargetValues->subWriteContents(m_optionsObj->m_rawChainSize - m_numPositionsNotSubWritten,
                                                 m_numPositionsNotSubWritten,
                                                 m_optionsObj->m_rawChainDataOutputFileName + "_logtarget",
                                                 m_optionsObj->m_rawChainDataOutputFileType,
                                                 m_optionsObj->m_rawChainDataOutputAllowedSet);
      }

      m_numPositionsNotSubWritten = 0;
    }

    // Compute raw sub MLE
    if (workingLogLikelihoodValues) {
      SequenceOfVectors<P_V,P_M> rawSubMLEpositions(m_vectorSpace,0,m_optionsObj->m_prefix+"rawSubMLEseq");
      double rawSubMLEvalue = workingChain.subPositionsOfMaximum(*workingLogLikelihoodValues,
                                                                 rawSubMLEpositions);
      queso_require_not_equal_to_msg(rawSubMLEpositions.subSequenceSize(), 0, "rawSubMLEpositions.subSequenceSize() = 0");

      if ((m_env.subDisplayFile()                   ) &&
          (m_optionsObj->m_totallyMute == false)) {
        P_V tmpVec(m_vectorSpace.zeroVector());
        rawSubMLEpositions.getPositionValues(0,tmpVec);
        *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateSequence()"
                                << ": just computed MLE"
                                << ", rawSubMLEvalue = "                       << rawSubMLEvalue
                                << ", rawSubMLEpositions.subSequenceSize() = " << rawSubMLEpositions.subSequenceSize()
                                << ", rawSubMLEpositions[0] = "                << tmpVec
                                << std::endl;
      }
    }

    // Compute raw sub MAP
    if (workingLogTargetValues) {
      SequenceOfVectors<P_V,P_M> rawSubMAPpositions(m_vectorSpace,0,m_optionsObj->m_prefix+"rawSubMAPseq");
      double rawSubMAPvalue = workingChain.subPositionsOfMaximum(*workingLogTargetValues,
                                                                 rawSubMAPpositions);
      queso_require_not_equal_to_msg(rawSubMAPpositions.subSequenceSize(), 0, "rawSubMAPpositions.subSequenceSize() = 0");

      if ((m_env.subDisplayFile()                   ) &&
          (m_optionsObj->m_totallyMute == false)) {
        P_V tmpVec(m_vectorSpace.zeroVector());
        rawSubMAPpositions.getPositionValues(0,tmpVec);
        *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateSequence()"
                                << ": just computed MAP"
                                << ", rawSubMAPvalue = "                       << rawSubMAPvalue
                                << ", rawSubMAPpositions.subSequenceSize() = " << rawSubMAPpositions.subSequenceSize()
                                << ", rawSubMAPpositions[0] = "                << tmpVec
                                << std::endl;
      }
    }

    if ((m_env.subDisplayFile()                   ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateSequence()"
                              << ", prefix = "                                         << m_optionsObj->m_prefix
                              << ", raw chain name = "                                 << workingChain.name()
                              << ": returned from writing raw sub chain output file '" << m_optionsObj->m_rawChainDataOutputFileName
                              << "."                                                   << m_optionsObj->m_rawChainDataOutputFileType
                              << "', subId = "                                         << m_env.subId()
                              << std::endl;
    }

    // Take "unified" care of raw chain
    if ((m_env.subDisplayFile()                   ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateSequence()"
                              << ", prefix = "                                             << m_optionsObj->m_prefix
                              << ", raw chain name = "                                     << workingChain.name()
                              << ": about to try to write raw unified chain output file '" << m_optionsObj->m_rawChainDataOutputFileName
                              << "."                                                       << m_optionsObj->m_rawChainDataOutputFileType
                              << "', subId = "                                             << m_env.subId()
                              << "..."
                              << std::endl;
    }

    workingChain.unifiedWriteContents(m_optionsObj->m_rawChainDataOutputFileName,
                                      m_optionsObj->m_rawChainDataOutputFileType);
    if ((m_env.subDisplayFile()                   ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateSequence()"
                              << ", prefix = "                                             << m_optionsObj->m_prefix
                              << ", raw chain name = "                                     << workingChain.name()
                              << ": returned from writing raw unified chain output file '" << m_optionsObj->m_rawChainDataOutputFileName
                              << "."                                                       << m_optionsObj->m_rawChainDataOutputFileType
                              << "', subId = "                                             << m_env.subId()
                              << std::endl;
    }

    if (writeLogLikelihood) {
      workingLogLikelihoodValues->unifiedWriteContents(m_optionsObj->m_rawChainDataOutputFileName + "_loglikelihood",
                                                       m_optionsObj->m_rawChainDataOutputFileType);
    }

    if (writeLogTarget) {
      workingLogTargetValues->unifiedWriteContents(m_optionsObj->m_rawChainDataOutputFileName + "_logtarget",
                                                   m_optionsObj->m_rawChainDataOutputFileType);
    }

    // Compute raw unified MLE only in inter0Comm
    if (workingLogLikelihoodValues && (m_env.subRank() == 0)) {
      SequenceOfVectors<P_V,P_M> rawUnifiedMLEpositions(m_vectorSpace,0,m_optionsObj->m_prefix+"rawUnifiedMLEseq");

      double rawUnifiedMLEvalue = workingChain.unifiedPositionsOfMaximum(*workingLogLikelihoodValues,
                                                                         rawUnifiedMLEpositions);

      if ((m_env.subDisplayFile()                   ) &&
          (m_optionsObj->m_totallyMute == false)) {
        P_V tmpVec(m_vectorSpace.zeroVector());

        // Make sure the positions vector (which only contains stuff on process
        // zero) actually contains positions
        if (rawUnifiedMLEpositions.subSequenceSize() > 0) {
          rawUnifiedMLEpositions.getPositionValues(0,tmpVec);
          *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateSequence()"
                                  << ": just computed MLE"
                                  << ", rawUnifiedMLEvalue = "                       << rawUnifiedMLEvalue
                                  << ", rawUnifiedMLEpositions.subSequenceSize() = " << rawUnifiedMLEpositions.subSequenceSize()
                                  << ", rawUnifiedMLEpositions[0] = "                << tmpVec
                                  << std::endl;
        }
      }
    }

    // Compute raw unified MAP only in inter0Comm
    if (workingLogTargetValues && (m_env.subRank() == 0)) {
      SequenceOfVectors<P_V,P_M> rawUnifiedMAPpositions(m_vectorSpace,0,m_optionsObj->m_prefix+"rawUnifiedMAPseq");
      double rawUnifiedMAPvalue = workingChain.unifiedPositionsOfMaximum(*workingLogTargetValues,
                                                                         rawUnifiedMAPpositions);

      if ((m_env.subDisplayFile()                   ) &&
          (m_optionsObj->m_totallyMute == false)) {
        P_V tmpVec(m_vectorSpace.zeroVector());

        // Make sure the positions vector (which only contains stuff on process
        // zero) actually contains positions
        if (rawUnifiedMAPpositions.subSequenceSize() > 0) {
          rawUnifiedMAPpositions.getPositionValues(0,tmpVec);
          *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateSequence()"
                                  << ": just computed MAP"
                                  << ", rawUnifiedMAPvalue = "                       << rawUnifiedMAPvalue
                                  << ", rawUnifiedMAPpositions.subSequenceSize() = " << rawUnifiedMAPpositions.subSequenceSize()
                                  << ", rawUnifiedMAPpositions[0] = "                << tmpVec
                                  << std::endl;
        }
      }
    }
  }

  // Take care of other aspects of raw chain
  if ((genericFilePtrSet.ofsVar                 ) &&
      (m_optionsObj->m_totallyMute == false)) {
    // Write likelihoodValues and alphaValues, if they were requested by user
    iRC = writeInfo(workingChain,
                    *genericFilePtrSet.ofsVar);
    queso_require_msg(!(iRC), "improper writeInfo() return");
  }

#ifdef QUESO_USES_SEQUENCE_STATISTICAL_OPTIONS
  if (m_optionsObj->m_rawChainComputeStats) {
    workingChain.computeStatistics(*m_optionsObj->m_rawChainStatisticalOptionsObj,
                                   genericFilePtrSet.ofsVar);
  }
#endif

  //****************************************************************************************
  // Eventually:
  // --> filter the raw chain
  // --> write it
  // --> compute statistics on it
  //****************************************************************************************
  if (m_optionsObj->m_filteredChainGenerate) {
    // Compute filter parameters
    unsigned int filterInitialPos = (unsigned int) (m_optionsObj->m_filteredChainDiscardedPortion * (double) workingChain.subSequenceSize());
    unsigned int filterSpacing    = m_optionsObj->m_filteredChainLag;
    if (filterSpacing == 0) {
      workingChain.computeFilterParams(genericFilePtrSet.ofsVar,
                                       filterInitialPos,
                                       filterSpacing);
    }

    // Filter positions from the converged portion of the chain
    workingChain.filter(filterInitialPos,
                        filterSpacing);
    workingChain.setName(m_optionsObj->m_prefix + "filtChain");

    if (workingLogLikelihoodValues) workingLogLikelihoodValues->filter(filterInitialPos,
                                                                       filterSpacing);

    if (workingLogTargetValues) workingLogTargetValues->filter(filterInitialPos,
                                                               filterSpacing);

    // Write filtered chain
    if ((m_env.subDisplayFile()                   ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateSequence()"
                              << ", prefix = "                                                      << m_optionsObj->m_prefix
                              << ": checking necessity of opening output files for filtered chain " << workingChain.name()
                              << "..."
                              << std::endl;
    }

    // Take "sub" care of filtered chain
    if ((m_optionsObj->m_filteredChainDataOutputFileName != UQ_MH_SG_FILENAME_FOR_NO_FILE) &&
        (m_optionsObj->m_totallyMute == false                                            )) {
      workingChain.subWriteContents(0,
                                    workingChain.subSequenceSize(),
                                    m_optionsObj->m_filteredChainDataOutputFileName,
                                    m_optionsObj->m_filteredChainDataOutputFileType,
                                    m_optionsObj->m_filteredChainDataOutputAllowedSet);
      if ((m_env.subDisplayFile()                   ) &&
          (m_optionsObj->m_totallyMute == false)) {
        *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateSequence()"
                                << ", prefix = "                << m_optionsObj->m_prefix
                                << ": closed sub output file '" << m_optionsObj->m_filteredChainDataOutputFileName
                                << "' for filtered chain "      << workingChain.name()
                                << std::endl;
      }

      if (writeLogLikelihood) {
        workingLogLikelihoodValues->subWriteContents(0,
                                                     workingChain.subSequenceSize(),
                                                     m_optionsObj->m_filteredChainDataOutputFileName + "_loglikelihood",
                                                     m_optionsObj->m_filteredChainDataOutputFileType,
                                                     m_optionsObj->m_filteredChainDataOutputAllowedSet);
      }

      if (writeLogTarget) {
        workingLogTargetValues->subWriteContents(0,
                                                 workingChain.subSequenceSize(),
                                                 m_optionsObj->m_filteredChainDataOutputFileName + "_logtarget",
                                                 m_optionsObj->m_filteredChainDataOutputFileType,
                                                 m_optionsObj->m_filteredChainDataOutputAllowedSet);
      }
    }

    // Compute sub filtered MLE and sub filtered MAP

    // Take "unified" care of filtered chain
    if ((m_optionsObj->m_filteredChainDataOutputFileName != UQ_MH_SG_FILENAME_FOR_NO_FILE) &&
        (m_optionsObj->m_totallyMute == false                                            )) {
      workingChain.unifiedWriteContents(m_optionsObj->m_filteredChainDataOutputFileName,
                                        m_optionsObj->m_filteredChainDataOutputFileType);
      if ((m_env.subDisplayFile()                   ) &&
          (m_optionsObj->m_totallyMute == false)) {
        *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateSequence()"
                                << ", prefix = "                    << m_optionsObj->m_prefix
                                << ": closed unified output file '" << m_optionsObj->m_filteredChainDataOutputFileName
                                << "' for filtered chain "          << workingChain.name()
                                << std::endl;
      }

      if (writeLogLikelihood) {
        workingLogLikelihoodValues->unifiedWriteContents(m_optionsObj->m_filteredChainDataOutputFileName + "_loglikelihood",
                                                         m_optionsObj->m_filteredChainDataOutputFileType);
      }

      if (writeLogTarget) {
        workingLogTargetValues->unifiedWriteContents(m_optionsObj->m_filteredChainDataOutputFileName + "_logtarget",
                                                     m_optionsObj->m_filteredChainDataOutputFileType);
      }
    }

    // Compute unified filtered MLE and unified filtered MAP

    // Compute statistics
#ifdef QUESO_USES_SEQUENCE_STATISTICAL_OPTIONS
    if (m_optionsObj->m_filteredChainComputeStats) {
      workingChain.computeStatistics(*m_optionsObj->m_filteredChainStatisticalOptionsObj,
                                     genericFilePtrSet.ofsVar);
    }
#endif
  }

  //****************************************************
  // Close generic output file
  //****************************************************
  if (genericFilePtrSet.ofsVar) {
    //genericFilePtrSet.ofsVar->close();
    delete genericFilePtrSet.ofsVar;
    if ((m_env.subDisplayFile()                   ) &&
        (m_optionsObj->m_totallyMute == false)) {
      *m_env.subDisplayFile() << "In MetropolisHastingsSG<P_V,P_M>::generateSequence()"
                              << ", prefix = "                    << m_optionsObj->m_prefix
                              << ": closed generic output file '" << m_optionsObj->m_dataOutputFileName
                              << "' (chain name is "              << workingChain.name()
                              << ")"
                              << std::endl;
    }
  }

  if ((m_env.subDisplayFile()                   ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << std::endl;
  }

  //m_env.syncPrintDebugMsg("Leaving MetropolisHastingsSG<P_V,P_M>::generateSequence()",2,3000000,m_env.fullComm()); // Dangerous to barrier on fullComm ... // KAUST

  if ((m_env.subDisplayFile()                   ) &&
      (m_env.displayVerbosity() >= 5            ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "Leaving MetropolisHastingsSG<P_V,P_M>::generateSequence()"
                            << std::endl;
  }

  return;
}

template<class P_V , class P_M >

void QUESO::MetropolisHastingsSG< P_V, P_M >::getRawChainInfo

(

MHRawChainInfoStruct &

info

)

const

Gets information from the raw chain.

Definition at line 1312 of file MetropolisHastingsSG.C.

Referenced by QUESO::MLSampling< P_V, P_M >::generateBalLinkedChains_all(), and QUESO::MLSampling< P_V, P_M >::generateUnbLinkedChains_all().

{
  info = m_rawChainInfo;
  return;
}

template<class P_V = GslVector, class P_M = GslMatrix>

void QUESO::MetropolisHastingsSG< P_V, P_M >::print

(

std::ostream &

os

)

const

TODO: Prints the sequence.

Todo:

: implement me!

template<class P_V , class P_M >

void QUESO::MetropolisHastingsSG< P_V, P_M >::readFullChain ( const std::string &  inputFileName, const std::string &  inputFileType, unsigned int  chainSize, BaseVectorSequence< P_V, P_M > &  workingChain  )

private

This method reads the chain contents.

Definition at line 1320 of file MetropolisHastingsSG.C.

References QUESO::BaseVectorSequence< V, M >::unifiedReadContents().

{
  workingChain.unifiedReadContents(inputFileName,inputFileType,chainSize);
  return;
}

template<class P_V , class P_M >

void QUESO::MetropolisHastingsSG< P_V, P_M >::transformInitialCovMatrixToGaussianSpace ( const BoxSubset< P_V, P_M > &  boxSubset )

private

Definition at line 2532 of file MetropolisHastingsSG.C.

References QUESO::BoxSubset< V, M >::maxValues(), QUESO::BoxSubset< V, M >::minValues(), and QUESO::queso_isfinite().

{
  P_V min_domain_bounds(boxSubset.minValues());
  P_V max_domain_bounds(boxSubset.maxValues());

  for (unsigned int i = 0; i < min_domain_bounds.sizeLocal(); i++) {
    double min_val = min_domain_bounds[i];
    double max_val = max_domain_bounds[i];

    if (queso_isfinite(min_val) && queso_isfinite(max_val)) {
      if (m_initialProposalCovMatrix(i, i) >= max_val - min_val) {
        // User is trying to specify a uniform proposal distribution, which
        // is unsupported.  Throw an error for now.
        std::cerr << "Proposal variance element "
                  << i
                  << " is "
                  << m_initialProposalCovMatrix(i, i)
                  << " but domain is of size "
                  << max_val - min_val
                  << std::endl;
        std::cerr << "QUESO does not support uniform-like proposal "
                  << "distributions.  Try making the proposal variance smaller"
                  << std::endl;
      }

      // The jacobian at the midpoint of the domain
      double transformJacobian = 4.0 / (max_val - min_val);

      // Just do the multiplication by hand for now.  There's no method in
      // Gsl(Vector|Matrix) to do this for me.
      for (unsigned int j = 0; j < min_domain_bounds.sizeLocal(); j++) {
        // Multiply column j by element j
        m_initialProposalCovMatrix(j, i) *= transformJacobian;
      }
      for (unsigned int j = 0; j < min_domain_bounds.sizeLocal(); j++) {
        // Multiply row j by element j
        m_initialProposalCovMatrix(i, j) *= transformJacobian;
      }
    }
  }
}

template<class P_V , class P_M >

const BaseTKGroup< P_V, P_M > & QUESO::MetropolisHastingsSG< P_V, P_M >::transitionKernel

(

)

const

Returns the underlying transition kernel for this sequence generator.

Definition at line 845 of file MetropolisHastingsSG.C.

{
  return *m_tk;
}

template<class P_V , class P_M >

void QUESO::MetropolisHastingsSG< P_V, P_M >::updateAdaptedCovMatrix ( const BaseVectorSequence< P_V, P_M > &  subChain, unsigned int  idOfFirstPositionInSubChain, double &  lastChainSize, P_V &  lastMean, P_M &  lastAdaptedCovMatrix  )

private

This method updates the adapted covariance matrix.

This function is called is the option to used adaptive Metropolis was chosen by the user (via options input file). It performs an adaptation of covariance matrix.

Definition at line 2469 of file MetropolisHastingsSG.C.

References QUESO::BaseVectorSequence< V, M >::getPositionValues(), QUESO::matrixProduct(), QUESO::BaseVectorSequence< V, M >::subMeanExtra(), QUESO::BaseVectorSequence< V, M >::subMeanPlain(), and QUESO::BaseVectorSequence< V, M >::subSequenceSize().

{
  double doubleSubChainSize = (double) partialChain.subSequenceSize();
  if (lastChainSize == 0) {
    queso_require_greater_equal_msg(partialChain.subSequenceSize(), 2, "'partialChain.subSequenceSize()' should be >= 2");

#if 1 // prudenci-2012-07-06
    lastMean = partialChain.subMeanPlain();
#else
    partialChain.subMeanExtra(0,partialChain.subSequenceSize(),lastMean);
#endif

    P_V tmpVec(m_vectorSpace.zeroVector());
    lastAdaptedCovMatrix = -doubleSubChainSize * matrixProduct(lastMean,lastMean);
    for (unsigned int i = 0; i < partialChain.subSequenceSize(); ++i) {
      partialChain.getPositionValues(i,tmpVec);
      lastAdaptedCovMatrix += matrixProduct(tmpVec,tmpVec);
    }
    lastAdaptedCovMatrix /= (doubleSubChainSize - 1.); // That is why partialChain size must be >= 2
  }
  else {
    queso_require_greater_equal_msg(partialChain.subSequenceSize(), 1, "'partialChain.subSequenceSize()' should be >= 1");
    queso_require_greater_equal_msg(idOfFirstPositionInSubChain, 1, "'idOfFirstPositionInSubChain' should be >= 1");

    P_V tmpVec (m_vectorSpace.zeroVector());
    P_V diffVec(m_vectorSpace.zeroVector());
    for (unsigned int i = 0; i < partialChain.subSequenceSize(); ++i) {
      double doubleCurrentId  = (double) (idOfFirstPositionInSubChain+i);
      partialChain.getPositionValues(i,tmpVec);
      diffVec = tmpVec - lastMean;

      double ratio1         = (1. - 1./doubleCurrentId); // That is why idOfFirstPositionInSubChain must be >= 1
      double ratio2         = (1./(1.+doubleCurrentId));
      lastAdaptedCovMatrix  = ratio1 * lastAdaptedCovMatrix + ratio2 * matrixProduct(diffVec,diffVec);
      lastMean             += ratio2 * diffVec;
    }
  }
  lastChainSize += doubleSubChainSize;

  if (m_numDisabledParameters > 0) { // gpmsa2
    for (unsigned int paramId = 0; paramId < m_vectorSpace.dimLocal(); ++paramId) {
      if (m_parameterEnabledStatus[paramId] == false) {
        for (unsigned int i = 0; i < m_vectorSpace.dimLocal(); ++i) {
          lastAdaptedCovMatrix(i,paramId) = 0.;
        }
        for (unsigned int j = 0; j < m_vectorSpace.dimLocal(); ++j) {
          lastAdaptedCovMatrix(paramId,j) = 0.;
        }
        lastAdaptedCovMatrix(paramId,paramId) = 1.;
      }
    }
  }

  return;
}

template<class P_V , class P_M >

int QUESO::MetropolisHastingsSG< P_V, P_M >::writeInfo ( const BaseVectorSequence< P_V, P_M > &  workingChain, std::ofstream &  ofsvar  ) const

private

Writes information about the Markov chain in a file.

It writes down the alpha quotients, the number of rejected positions, number of positions out of target support, the name of the components and the chain runtime.

Definition at line 767 of file MetropolisHastingsSG.C.

References QUESO::BaseVectorSequence< V, M >::name(), QUESO::BaseVectorSequence< V, M >::subSequenceSize(), and QUESO::UQ_OK_RC.

{
  if ((m_env.subDisplayFile()                   ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "\n"
                            << "\n-----------------------------------------------------"
                            << "\n Writing more information about the Markov chain " << workingChain.name() << " to output file ..."
                            << "\n-----------------------------------------------------"
                            << "\n"
                            << std::endl;
  }

  int iRC = UQ_OK_RC;

  if (m_optionsObj->m_rawChainGenerateExtra) {
    // Write m_logTargets
    ofsvar << m_optionsObj->m_prefix << "logTargets_sub" << m_env.subIdString() << " = zeros(" << m_logTargets.size()
           << ","                    << 1
           << ");"
           << std::endl;
    ofsvar << m_optionsObj->m_prefix << "logTargets_sub" << m_env.subIdString() << " = [";
    for (unsigned int i = 0; i < m_logTargets.size(); ++i) {
      ofsvar << m_logTargets[i]
             << std::endl;
    }
    ofsvar << "];\n";

    // Write m_alphaQuotients
    ofsvar << m_optionsObj->m_prefix << "alphaQuotients_sub" << m_env.subIdString() << " = zeros(" << m_alphaQuotients.size()
           << ","                    << 1
           << ");"
           << std::endl;
    ofsvar << m_optionsObj->m_prefix << "alphaQuotients_sub" << m_env.subIdString() << " = [";
    for (unsigned int i = 0; i < m_alphaQuotients.size(); ++i) {
      ofsvar << m_alphaQuotients[i]
             << std::endl;
    }
    ofsvar << "];\n";
  }

  // Write number of rejections
  ofsvar << m_optionsObj->m_prefix << "rejected = " << (double) m_rawChainInfo.numRejections/(double) (workingChain.subSequenceSize()-1)
         << ";\n"
         << std::endl;

  if (false) { // Don't see need for code below. Let it there though, compiling, in case it is needed in the future.
    // Write names of components
    ofsvar << m_optionsObj->m_prefix << "componentNames = {";
    m_vectorSpace.printComponentsNames(ofsvar,false);
    ofsvar << "};\n";

    // Write number of out of target support
    ofsvar << m_optionsObj->m_prefix << "outTargetSupport = " << (double) m_rawChainInfo.numOutOfTargetSupport/(double) (workingChain.subSequenceSize()-1)
           << ";\n"
           << std::endl;

    // Write chain run time
    ofsvar << m_optionsObj->m_prefix << "runTime = " << m_rawChainInfo.runTime
           << ";\n"
           << std::endl;
  }

  if ((m_env.subDisplayFile()                   ) &&
      (m_optionsObj->m_totallyMute == false)) {
    *m_env.subDisplayFile() << "\n-----------------------------------------------------"
                            << "\n Finished writing more information about the Markov chain " << workingChain.name()
                            << "\n-----------------------------------------------------"
                            << "\n"
                            << std::endl;
  }

  return iRC;
}

Friends And Related Function Documentation

template<class P_V = GslVector, class P_M = GslMatrix>

std::ostream& operator<< ( std::ostream &  os, const MetropolisHastingsSG< P_V, P_M > &  obj  )

friend

Definition at line 228 of file MetropolisHastingsSG.h.

  {
    obj.print(os);

    return os;
  }

Member Data Documentation

template<class P_V = GslVector, class P_M = GslMatrix>

SharedPtr<Algorithm<P_V, P_M> >::Type QUESO::MetropolisHastingsSG< P_V, P_M >::m_algorithm

private

Definition at line 324 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

std::vector<double> QUESO::MetropolisHastingsSG< P_V, P_M >::m_alphaQuotients

private

Definition at line 329 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

bool QUESO::MetropolisHastingsSG< P_V, P_M >::m_computeInitialPriorAndLikelihoodValues

private

Definition at line 340 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

const BaseEnvironment& QUESO::MetropolisHastingsSG< P_V, P_M >::m_env

private

Definition at line 313 of file MetropolisHastingsSG.h.

Referenced by QUESO::MetropolisHastingsSG< P_V, P_M >::MetropolisHastingsSG().

template<class P_V = GslVector, class P_M = GslMatrix>

std::vector<unsigned int> QUESO::MetropolisHastingsSG< P_V, P_M >::m_idsOfUniquePositions

private

Definition at line 327 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

double QUESO::MetropolisHastingsSG< P_V, P_M >::m_initialLogLikelihoodValue

private

Definition at line 342 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

double QUESO::MetropolisHastingsSG< P_V, P_M >::m_initialLogPriorValue

private

Definition at line 341 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

P_V QUESO::MetropolisHastingsSG< P_V, P_M >::m_initialPosition

private

Definition at line 316 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

P_M QUESO::MetropolisHastingsSG< P_V, P_M >::m_initialProposalCovMatrix

private

Definition at line 317 of file MetropolisHastingsSG.h.

Referenced by QUESO::MetropolisHastingsSG< P_V, P_M >::MetropolisHastingsSG().

template<class P_V = GslVector, class P_M = GslMatrix>

ScopedPtr<P_M>::Type QUESO::MetropolisHastingsSG< P_V, P_M >::m_lastAdaptedCovMatrix

private

Definition at line 332 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

double QUESO::MetropolisHastingsSG< P_V, P_M >::m_lastChainSize

private

Definition at line 330 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

ScopedPtr<P_V>::Type QUESO::MetropolisHastingsSG< P_V, P_M >::m_lastMean

private

Definition at line 331 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

unsigned int QUESO::MetropolisHastingsSG< P_V, P_M >::m_latestDirtyCovMatrixIteration

private

Definition at line 349 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

std::vector<double> QUESO::MetropolisHastingsSG< P_V, P_M >::m_logTargets

private

Definition at line 328 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

bool QUESO::MetropolisHastingsSG< P_V, P_M >::m_nullInputProposalCovMatrix

private

Definition at line 318 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

unsigned int QUESO::MetropolisHastingsSG< P_V, P_M >::m_numDisabledParameters

private

Definition at line 319 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

unsigned int QUESO::MetropolisHastingsSG< P_V, P_M >::m_numPositionsNotSubWritten

private

Definition at line 333 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

ScopedPtr<MetropolisHastingsSGOptions>::Type QUESO::MetropolisHastingsSG< P_V, P_M >::m_oldOptions

private

Definition at line 338 of file MetropolisHastingsSG.h.

Referenced by QUESO::MetropolisHastingsSG< P_V, P_M >::MetropolisHastingsSG().

template<class P_V = GslVector, class P_M = GslMatrix>

ScopedPtr<const MhOptionsValues>::Type QUESO::MetropolisHastingsSG< P_V, P_M >::m_optionsObj

private

Definition at line 337 of file MetropolisHastingsSG.h.

Referenced by QUESO::MetropolisHastingsSG< P_V, P_M >::MetropolisHastingsSG().

template<class P_V = GslVector, class P_M = GslMatrix>

std::vector<bool> QUESO::MetropolisHastingsSG< P_V, P_M >::m_parameterEnabledStatus

private

Definition at line 320 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

unsigned int QUESO::MetropolisHastingsSG< P_V, P_M >::m_positionIdForDebugging

private

Definition at line 325 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

MHRawChainInfoStruct QUESO::MetropolisHastingsSG< P_V, P_M >::m_rawChainInfo

private

Definition at line 335 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

unsigned int QUESO::MetropolisHastingsSG< P_V, P_M >::m_stageIdForDebugging

private

Definition at line 326 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

const BaseJointPdf<P_V,P_M>& QUESO::MetropolisHastingsSG< P_V, P_M >::m_targetPdf

private

Definition at line 315 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

ScopedPtr<const ScalarFunctionSynchronizer<P_V,P_M> >::Type QUESO::MetropolisHastingsSG< P_V, P_M >::m_targetPdfSynchronizer

private

Definition at line 321 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

SharedPtr<BaseTKGroup<P_V,P_M> >::Type QUESO::MetropolisHastingsSG< P_V, P_M >::m_tk

private

Definition at line 323 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

bool QUESO::MetropolisHastingsSG< P_V, P_M >::m_userDidNotProvideOptions

private

Definition at line 347 of file MetropolisHastingsSG.h.

template<class P_V = GslVector, class P_M = GslMatrix>

const VectorSpace<P_V,P_M>& QUESO::MetropolisHastingsSG< P_V, P_M >::m_vectorSpace

private

Definition at line 314 of file MetropolisHastingsSG.h.

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The documentation for this class was generated from the following files:

• src/stats/inc/MetropolisHastingsSG.h
• src/stats/src/MetropolisHastingsSG.C