MetropolisHastingsSGOptions.h

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//-----------------------------------------------------------------------bl-
//--------------------------------------------------------------------------
//
// QUESO - a library to support the Quantification of Uncertainty
// for Estimation, Simulation and Optimization
//
// Copyright (C) 2008-2015 The PECOS Development Team
//
// This library is free software; you can redistribute it and/or
// modify it under the terms of the Version 2.1 GNU Lesser General
// Public License as published by the Free Software Foundation.
//
// This library is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
// Lesser General Public License for more details.
//
// You should have received a copy of the GNU Lesser General Public
// License along with this library; if not, write to the Free Software
// Foundation, Inc. 51 Franklin Street, Fifth Floor,
// Boston, MA  02110-1301  USA
//
//-----------------------------------------------------------------------el-

#ifndef UQ_MH_SG_OPTIONS_H
#define UQ_MH_SG_OPTIONS_H

#include <queso/Environment.h>
#include <queso/MLSamplingLevelOptions.h>
#include <queso/SequenceStatisticalOptions.h>

#ifndef DISABLE_BOOST_PROGRAM_OPTIONS
#include <queso/BoostInputOptionsParser.h>
#endif  // DISABLE_BOOST_PROGRAM_OPTIONS

#undef  UQ_MH_SG_REQUIRES_INVERTED_COV_MATRICES
#define UQ_NOTHING_JUST_FOR_TEST_OF_SVN_ID 1

#define UQ_MH_SG_FILENAME_FOR_NO_FILE   "."

// _ODV = option default value
#define UQ_MH_SG_HELP                                                 ""
#define UQ_MH_SG_DATA_OUTPUT_FILE_NAME_ODV                            UQ_MH_SG_FILENAME_FOR_NO_FILE
#define UQ_MH_SG_DATA_OUTPUT_ALLOW_ALL_ODV                            0
#define UQ_MH_SG_DATA_OUTPUT_ALLOWED_SET_ODV                          ""

#define UQ_MH_SG_TOTALLY_MUTE_ODV                                     0
#define UQ_MH_SG_INITIAL_POSITION_DATA_INPUT_FILE_NAME_ODV            UQ_MH_SG_FILENAME_FOR_NO_FILE
#define UQ_MH_SG_INITIAL_POSITION_DATA_INPUT_FILE_TYPE_ODV            UQ_FILE_EXTENSION_FOR_MATLAB_FORMAT
#define UQ_MH_SG_INITIAL_PROPOSAL_COV_MATRIX_DATA_INPUT_FILE_NAME_ODV UQ_MH_SG_FILENAME_FOR_NO_FILE
#define UQ_MH_SG_INITIAL_PROPOSAL_COV_MATRIX_DATA_INPUT_FILE_TYPE_ODV UQ_FILE_EXTENSION_FOR_MATLAB_FORMAT
#define UQ_MH_SG_LIST_OF_DISABLED_PARAMETERS_ODV                      ""
#define UQ_MH_SG_RAW_CHAIN_DATA_INPUT_FILE_NAME_ODV                   UQ_MH_SG_FILENAME_FOR_NO_FILE
#define UQ_MH_SG_RAW_CHAIN_DATA_INPUT_FILE_TYPE_ODV                   UQ_FILE_EXTENSION_FOR_MATLAB_FORMAT
#define UQ_MH_SG_RAW_CHAIN_SIZE_ODV                                   100
#define UQ_MH_SG_RAW_CHAIN_GENERATE_EXTRA_ODV                         0
#define UQ_MH_SG_RAW_CHAIN_DISPLAY_PERIOD_ODV                         500
#define UQ_MH_SG_RAW_CHAIN_MEASURE_RUN_TIMES_ODV                      1
#define UQ_MH_SG_RAW_CHAIN_DATA_OUTPUT_PERIOD_ODV                     0
#define UQ_MH_SG_RAW_CHAIN_DATA_OUTPUT_FILE_NAME_ODV                  UQ_MH_SG_FILENAME_FOR_NO_FILE
#define UQ_MH_SG_RAW_CHAIN_DATA_OUTPUT_FILE_TYPE_ODV                  UQ_FILE_EXTENSION_FOR_MATLAB_FORMAT
#define UQ_MH_SG_RAW_CHAIN_DATA_OUTPUT_ALLOW_ALL_ODV                  0
#define UQ_MH_SG_RAW_CHAIN_DATA_OUTPUT_ALLOWED_SET_ODV                ""
#ifdef QUESO_USES_SEQUENCE_STATISTICAL_OPTIONS
#define UQ_MH_SG_RAW_CHAIN_COMPUTE_STATS_ODV                          0
#endif
#define UQ_MH_SG_FILTERED_CHAIN_GENERATE_ODV                          0
#define UQ_MH_SG_FILTERED_CHAIN_DISCARDED_PORTION_ODV                 0.
#define UQ_MH_SG_FILTERED_CHAIN_LAG_ODV                               1
#define UQ_MH_SG_FILTERED_CHAIN_DATA_OUTPUT_FILE_NAME_ODV             UQ_MH_SG_FILENAME_FOR_NO_FILE
#define UQ_MH_SG_FILTERED_CHAIN_DATA_OUTPUT_FILE_TYPE_ODV             UQ_FILE_EXTENSION_FOR_MATLAB_FORMAT
#define UQ_MH_SG_FILTERED_CHAIN_DATA_OUTPUT_ALLOW_ALL_ODV             0
#define UQ_MH_SG_FILTERED_CHAIN_DATA_OUTPUT_ALLOWED_SET_ODV           ""
#ifdef QUESO_USES_SEQUENCE_STATISTICAL_OPTIONS
#define UQ_MH_SG_FILTERED_CHAIN_COMPUTE_STATS_ODV                     0
#endif
#define UQ_MH_SG_DISPLAY_CANDIDATES_ODV                               0
#define UQ_MH_SG_PUT_OUT_OF_BOUNDS_IN_CHAIN_ODV                       1
#define UQ_MH_SG_TK_USE_LOCAL_HESSIAN_ODV                             0
#define UQ_MH_SG_TK_USE_NEWTON_COMPONENT_ODV                          1
#define UQ_MH_SG_DR_MAX_NUM_EXTRA_STAGES_ODV                          0
#define UQ_MH_SG_DR_LIST_OF_SCALES_FOR_EXTRA_STAGES_ODV               ""
#define UQ_MH_SG_DR_DURING_AM_NON_ADAPTIVE_INT_ODV                    1
#define UQ_MH_SG_AM_KEEP_INITIAL_MATRIX_ODV                           0
#define UQ_MH_SG_AM_INIT_NON_ADAPT_INT_ODV                            0
#define UQ_MH_SG_AM_ADAPT_INTERVAL_ODV                                0
#define UQ_MH_SG_AM_ADAPTED_MATRICES_DATA_OUTPUT_PERIOD_ODV           0
#define UQ_MH_SG_AM_ADAPTED_MATRICES_DATA_OUTPUT_FILE_NAME_ODV        UQ_MH_SG_FILENAME_FOR_NO_FILE
#define UQ_MH_SG_AM_ADAPTED_MATRICES_DATA_OUTPUT_FILE_TYPE_ODV        UQ_FILE_EXTENSION_FOR_MATLAB_FORMAT
#define UQ_MH_SG_AM_ADAPTED_MATRICES_DATA_OUTPUT_ALLOW_ALL_ODV        0
#define UQ_MH_SG_AM_ADAPTED_MATRICES_DATA_OUTPUT_ALLOWED_SET_ODV      ""
#define UQ_MH_SG_AM_ETA_ODV                                           1.
#define UQ_MH_SG_AM_EPSILON_ODV                                       1.e-5
#define UQ_MH_SG_ENABLE_BROOKS_GELMAN_CONV_MONITOR                    0
#define UQ_MH_SG_BROOKS_GELMAN_LAG                                    100
#define UQ_MH_SG_OUTPUT_LOG_LIKELIHOOD                                1
#define UQ_MH_SG_OUTPUT_LOG_TARGET                                    1
#define UQ_MH_SG_DO_LOGIT_TRANSFORM                                   1
#define UQ_MH_SG_ALGORITHM                                            "logit_random_walk"
#define UQ_MH_SG_TK                                                   "logit_random_walk"

#ifndef DISABLE_BOOST_PROGRAM_OPTIONS
namespace boost {
  namespace program_options {
    class options_description;
  }
}
#endif  // DISABLE_BOOST_PROGRAM_OPTIONS

namespace QUESO {

class BaseEnvironment;

class MhOptionsValues
{
public:



#ifdef QUESO_USES_SEQUENCE_STATISTICAL_OPTIONS
  MhOptionsValues            (const SsOptionsValues* alternativeRawSsOptionsValues,
                                     const SsOptionsValues* alternativeFilteredSsOptionsValues);
  MhOptionsValues            (const SsOptionsValues* alternativeRawSsOptionsValues,
                                     const SsOptionsValues* alternativeFilteredSsOptionsValues,
                                     const BaseEnvironment * env, const char * prefix);
#else


  MhOptionsValues            ();

  MhOptionsValues(const BaseEnvironment * env, const char * prefix);
#endif


  MhOptionsValues            (const MhOptionsValues& src);

  virtual ~MhOptionsValues            ();


  MhOptionsValues& operator= (const MhOptionsValues& rhs);

  std::string                        m_prefix;


  std::string m_help;


  std::string                        m_dataOutputFileName;


  bool                               m_dataOutputAllowAll;


  std::set<unsigned int>             m_dataOutputAllowedSet;

  bool                               m_totallyMute;


  std::string                        m_initialPositionDataInputFileName;

  std::string                        m_initialPositionDataInputFileType;


  std::string                        m_initialProposalCovMatrixDataInputFileName;

  std::string                        m_initialProposalCovMatrixDataInputFileType;


  std::set<unsigned int>             m_parameterDisabledSet;  // gpmsa2


  std::string                        m_rawChainDataInputFileName;

  std::string                        m_rawChainDataInputFileType;

  unsigned int                       m_rawChainSize;


  bool                               m_rawChainGenerateExtra;


  unsigned int                       m_rawChainDisplayPeriod;


  bool                               m_rawChainMeasureRunTimes;

  unsigned int                       m_rawChainDataOutputPeriod;


  std::string                        m_rawChainDataOutputFileName;


  std::string                        m_rawChainDataOutputFileType;


  bool                               m_rawChainDataOutputAllowAll;

  std::set<unsigned int>             m_rawChainDataOutputAllowedSet;
#ifdef QUESO_USES_SEQUENCE_STATISTICAL_OPTIONS
  bool                               m_rawChainComputeStats;
#endif


  bool                               m_filteredChainGenerate;


  double                             m_filteredChainDiscardedPortion; // input or set during run time


  unsigned int                       m_filteredChainLag;              // input or set during run time


  std::string                        m_filteredChainDataOutputFileName;

  std::string                        m_filteredChainDataOutputFileType;


  bool                               m_filteredChainDataOutputAllowAll;

  std::set<unsigned int>             m_filteredChainDataOutputAllowedSet;
#ifdef QUESO_USES_SEQUENCE_STATISTICAL_OPTIONS
  bool                               m_filteredChainComputeStats;
#endif

  bool                               m_displayCandidates;


  bool                               m_putOutOfBoundsInChain;


  bool                               m_tkUseLocalHessian;

  bool                               m_tkUseNewtonComponent;


  unsigned int                       m_drMaxNumExtraStages;


  std::vector<double>                m_drScalesForExtraStages;


  bool                               m_drDuringAmNonAdaptiveInt;

  bool                               m_amKeepInitialMatrix;


  unsigned int                       m_amInitialNonAdaptInterval;


  unsigned int                       m_amAdaptInterval;


  unsigned int                       m_amAdaptedMatricesDataOutputPeriod;


  std::string                        m_amAdaptedMatricesDataOutputFileName;

  std::string                        m_amAdaptedMatricesDataOutputFileType;

  bool                               m_amAdaptedMatricesDataOutputAllowAll;

  std::set<unsigned int>             m_amAdaptedMatricesDataOutputAllowedSet;

  double                             m_amEta;

  double                             m_amEpsilon;


  unsigned int                       m_enableBrooksGelmanConvMonitor;


  unsigned int                       m_BrooksGelmanLag;

  bool m_outputLogLikelihood;

  bool m_outputLogTarget;

  bool m_doLogitTransform;

  std::string m_algorithm;

  std::string m_tk;

private:
  // Cache a pointer to the environment.
  const BaseEnvironment * m_env;

#ifndef DISABLE_BOOST_PROGRAM_OPTIONS
  BoostInputOptionsParser * m_parser;
#endif  // DISABLE_BOOST_PROGRAM_OPTIONS

  std::string                   m_option_help;

  std::string                   m_option_dataOutputFileName;
  std::string                   m_option_dataOutputAllowAll;
  std::string                   m_option_dataOutputAllowedSet;

  std::string                   m_option_totallyMute;
  std::string                   m_option_initialPosition_dataInputFileName;
  std::string                   m_option_initialPosition_dataInputFileType;
  std::string                   m_option_initialProposalCovMatrix_dataInputFileName;
  std::string                   m_option_initialProposalCovMatrix_dataInputFileType;
  std::string                   m_option_listOfDisabledParameters;  // gpmsa2
  std::string                   m_option_rawChain_dataInputFileName;
  std::string                   m_option_rawChain_dataInputFileType;
  std::string                   m_option_rawChain_size;
  std::string                   m_option_rawChain_generateExtra;
  std::string                   m_option_rawChain_displayPeriod;
  std::string                   m_option_rawChain_measureRunTimes;
  std::string                   m_option_rawChain_dataOutputPeriod;
  std::string                   m_option_rawChain_dataOutputFileName;
  std::string                   m_option_rawChain_dataOutputFileType;
  std::string                   m_option_rawChain_dataOutputAllowAll;
  std::string                   m_option_rawChain_dataOutputAllowedSet;
#ifdef QUESO_USES_SEQUENCE_STATISTICAL_OPTIONS
  std::string                   m_option_rawChain_computeStats;
#endif
  std::string                   m_option_filteredChain_generate;
  std::string                   m_option_filteredChain_discardedPortion;
  std::string                   m_option_filteredChain_lag;
  std::string                   m_option_filteredChain_dataOutputFileName;
  std::string                   m_option_filteredChain_dataOutputFileType;
  std::string                   m_option_filteredChain_dataOutputAllowAll;
  std::string                   m_option_filteredChain_dataOutputAllowedSet;
#ifdef QUESO_USES_SEQUENCE_STATISTICAL_OPTIONS
  std::string                   m_option_filteredChain_computeStats;
#endif
  std::string                   m_option_displayCandidates;
  std::string                   m_option_putOutOfBoundsInChain;
  std::string                   m_option_tk_useLocalHessian;
  std::string                   m_option_tk_useNewtonComponent;
  std::string                   m_option_dr_maxNumExtraStages;
  std::string                   m_option_dr_listOfScalesForExtraStages;
  std::string                   m_option_dr_duringAmNonAdaptiveInt;
  std::string                   m_option_am_keepInitialMatrix;
  std::string                   m_option_am_initialNonAdaptInterval;
  std::string                   m_option_am_adaptInterval;
  std::string                   m_option_am_adaptedMatrices_dataOutputPeriod;
  std::string                   m_option_am_adaptedMatrices_dataOutputFileName;
  std::string                   m_option_am_adaptedMatrices_dataOutputFileType;
  std::string                   m_option_am_adaptedMatrices_dataOutputAllowAll;
  std::string                   m_option_am_adaptedMatrices_dataOutputAllowedSet;

  std::string                   m_option_am_eta;
  std::string                   m_option_am_epsilon;

  std::string                   m_option_enableBrooksGelmanConvMonitor;
  std::string                   m_option_BrooksGelmanLag;

  std::string                   m_option_outputLogLikelihood;
  std::string                   m_option_outputLogTarget;
  std::string                   m_option_doLogitTransform;
  std::string                   m_option_algorithm;
  std::string                   m_option_tk;

  void copy(const MhOptionsValues& src);

  // We pass the the passed environment to get access to the MPI ranks etc for
  // sanity checks
  void checkOptions(const BaseEnvironment * env);

  friend std::ostream & operator<<(std::ostream & os,
      const MhOptionsValues & obj);

#ifdef QUESO_USES_SEQUENCE_STATISTICAL_OPTIONS
  friend class MetropolisHastingsSGOptions;
  SsOptionsValues             m_alternativeRawSsOptionsValues;
  SsOptionsValues             m_alternativeFilteredSsOptionsValues;
#endif
};

class MetropolisHastingsSGOptions
{
public:

  MetropolisHastingsSGOptions(const BaseEnvironment& env, const char* prefix);


  MetropolisHastingsSGOptions(const BaseEnvironment& env, const char* prefix, const MhOptionsValues& alternativeOptionsValues);

  MetropolisHastingsSGOptions(const MLSamplingLevelOptions& mlOptions);

  ~MetropolisHastingsSGOptions();


  void scanOptionsValues();

  void print            (std::ostream& os) const;

  MhOptionsValues             m_ov;

#ifdef QUESO_USES_SEQUENCE_STATISTICAL_OPTIONS
  SequenceStatisticalOptions* m_rawChainStatisticalOptionsObj;
  bool                               m_rawChainStatOptsInstantiated;
  SequenceStatisticalOptions* m_filteredChainStatisticalOptionsObj;
  bool                               m_filteredChainStatOptsInstantiated;
#endif
  std::string                        m_prefix;

private:
#ifndef DISABLE_BOOST_PROGRAM_OPTIONS
  void   defineMyOptions  (boost::program_options::options_description& optionsDesc) const;

  void   getMyOptionValues(boost::program_options::options_description& optionsDesc);
#endif  // DISABLE_BOOST_PROGRAM_OPTIONS

  const BaseEnvironment& m_env;
#ifndef DISABLE_BOOST_PROGRAM_OPTIONS
  boost::program_options::options_description*      m_optionsDesc;
#endif  // DISABLE_BOOST_PROGRAM_OPTIONS

  std::string                   m_option_help;

  std::string                   m_option_dataOutputFileName;
  std::string                   m_option_dataOutputAllowAll;
  std::string                   m_option_dataOutputAllowedSet;

  std::string                   m_option_totallyMute;
  std::string                   m_option_initialPosition_dataInputFileName;
  std::string                   m_option_initialPosition_dataInputFileType;
  std::string                   m_option_initialProposalCovMatrix_dataInputFileName;
  std::string                   m_option_initialProposalCovMatrix_dataInputFileType;
  std::string                   m_option_listOfDisabledParameters;  // gpmsa2
  std::string                   m_option_rawChain_dataInputFileName;
  std::string                   m_option_rawChain_dataInputFileType;
  std::string                   m_option_rawChain_size;
  std::string                   m_option_rawChain_generateExtra;
  std::string                   m_option_rawChain_displayPeriod;
  std::string                   m_option_rawChain_measureRunTimes;
  std::string                   m_option_rawChain_dataOutputPeriod;
  std::string                   m_option_rawChain_dataOutputFileName;
  std::string                   m_option_rawChain_dataOutputFileType;
  std::string                   m_option_rawChain_dataOutputAllowAll;
  std::string                   m_option_rawChain_dataOutputAllowedSet;
#ifdef QUESO_USES_SEQUENCE_STATISTICAL_OPTIONS
  std::string                   m_option_rawChain_computeStats;
#endif
  std::string                   m_option_filteredChain_generate;
  std::string                   m_option_filteredChain_discardedPortion;
  std::string                   m_option_filteredChain_lag;
  std::string                   m_option_filteredChain_dataOutputFileName;
  std::string                   m_option_filteredChain_dataOutputFileType;
  std::string                   m_option_filteredChain_dataOutputAllowAll;
  std::string                   m_option_filteredChain_dataOutputAllowedSet;
#ifdef QUESO_USES_SEQUENCE_STATISTICAL_OPTIONS
  std::string                   m_option_filteredChain_computeStats;
#endif
  std::string                   m_option_displayCandidates;
  std::string                   m_option_putOutOfBoundsInChain;
  std::string                   m_option_tk_useLocalHessian;
  std::string                   m_option_tk_useNewtonComponent;
  std::string                   m_option_dr_maxNumExtraStages;
  std::string                   m_option_dr_listOfScalesForExtraStages;
  std::string                   m_option_dr_duringAmNonAdaptiveInt;
  std::string                   m_option_am_keepInitialMatrix;
  std::string                   m_option_am_initialNonAdaptInterval;
  std::string                   m_option_am_adaptInterval;
  std::string                   m_option_am_adaptedMatrices_dataOutputPeriod;
  std::string                   m_option_am_adaptedMatrices_dataOutputFileName;
  std::string                   m_option_am_adaptedMatrices_dataOutputFileType;
  std::string                   m_option_am_adaptedMatrices_dataOutputAllowAll;
  std::string                   m_option_am_adaptedMatrices_dataOutputAllowedSet;

  std::string                   m_option_am_eta;
  std::string                   m_option_am_epsilon;

  std::string                   m_option_enableBrooksGelmanConvMonitor;
  std::string                   m_option_BrooksGelmanLag;

  std::string                   m_option_outputLogLikelihood;
  std::string                   m_option_outputLogTarget;
  std::string                   m_option_doLogitTransform;
  std::string                   m_option_algorithm;
  std::string                   m_option_tk;
};

std::ostream& operator<<(std::ostream& os, const MetropolisHastingsSGOptions& obj);

}  // End namespace QUESO

#endif // UQ_MH_SG_OPTIONS_H