Copyright | (c) Dominik Schrempf 2020 |
---|---|
License | GPL-3.0-or-later |
Maintainer | dominik.schrempf@gmail.com |
Stability | unstable |
Portability | portable |
Safe Haskell | None |
Language | Haskell2010 |
Creation date: Wed May 20 13:42:53 2020.
Synopsis
- data Proposal a = Proposal {}
- (@~) :: Lens' b a -> Proposal a -> Proposal b
- type ProposalSimple a = a -> GenIO -> IO (a, Log Double)
- data Tuner a
- createProposal :: (Double -> ProposalSimple a) -> String -> Int -> Bool -> Proposal a
- tune :: Double -> Proposal a -> Maybe (Proposal a)
- data Order
- data Cycle a
- fromList :: [Proposal a] -> Cycle a
- setOrder :: Order -> Cycle a -> Cycle a
- getNIterations :: Cycle a -> Int -> GenIO -> IO [[Proposal a]]
- tuneCycle :: Map (Proposal a) Double -> Cycle a -> Cycle a
- autotuneCycle :: Acceptance (Proposal a) -> Cycle a -> Cycle a
- summarizeCycle :: Acceptance (Proposal a) -> Cycle a -> ByteString
- data Acceptance k
- emptyA :: Ord k => [k] -> Acceptance k
- pushA :: (Ord k, Show k) => k -> Bool -> Acceptance k -> Acceptance k
- resetA :: Ord k => Acceptance k -> Acceptance k
- transformKeysA :: (Ord k1, Ord k2) => [k1] -> [k2] -> Acceptance k1 -> Acceptance k2
- acceptanceRatios :: Acceptance k -> Map k Double
Proposal
A Proposal
is an instruction about how the Markov chain will traverse the
state space a
. Essentially, it is a probability mass or probability density
conditioned on the current state (i.e., a kernel).
A Proposal
may be tuneable in that it contains information about how to enlarge
or shrink the step size to tune the acceptance ratio.
Proposal | |
|
Instances
Eq (Proposal a) Source # | |
Ord (Proposal a) Source # | |
Show (Proposal a) Source # | |
(@~) :: Lens' b a -> Proposal a -> Proposal b Source #
Convert a proposal from one data type to another using a lens.
For example:
scaleFirstEntryOfTuple = _1 @~ scale
type ProposalSimple a = a -> GenIO -> IO (a, Log Double) Source #
Simple proposal without tuning information.
Instruction about randomly moving from the current state to a new state, given some source of randomness.
In order to calculate the Metropolis-Hastings ratio, we need to know the ratio of the backward to forward kernels (i.e., the probability masses or probability densities). For unbiased proposals, this ratio is 1.0. For biased proposals, the ratio is ?.
:: (Double -> ProposalSimple a) | Function creating a simple proposal for a given tuning parameter. The larger the tuning parameter, the larger the proposal (and the lower the expected acceptance ratio), and vice versa. |
-> String | Name. |
-> Int | Weight. |
-> Bool | Activate tuning? |
-> Proposal a |
Create a possibly tuneable proposal.
Cycle
Define the order in which Proposal
s are executed in a Cycle
. The total
number of Proposal
s per Cycle
may differ between Order
s (e.g., compare
RandomO
and RandomReversibleO
).
RandomO | Shuffle the |
SequentialO | The |
RandomReversibleO | Similar to |
SequentialReversibleO | Similar to |
In brief, a Cycle
is a list of proposals.
The state of the Markov chain will be logged only after all Proposal
s in
the Cycle
have been completed, and the iteration counter will be increased
by one. The order in which the Proposal
s are executed is specified by
Order
. The default is RandomO
.
Proposals must have unique names, so that they can be identified.
getNIterations :: Cycle a -> Int -> GenIO -> IO [[Proposal a]] Source #
Replicate Proposal
s according to their weights and possibly shuffle them.
autotuneCycle :: Acceptance (Proposal a) -> Cycle a -> Cycle a Source #
summarizeCycle :: Acceptance (Proposal a) -> Cycle a -> ByteString Source #
Acceptance
data Acceptance k Source #
For each key k
, store the number of accepted and rejected proposals.
Instances
ToJSONKey k => ToJSON (Acceptance k) Source # | |
Defined in Mcmc.Proposal toJSON :: Acceptance k -> Value # toEncoding :: Acceptance k -> Encoding # toJSONList :: [Acceptance k] -> Value # toEncodingList :: [Acceptance k] -> Encoding # | |
(Ord k, FromJSONKey k) => FromJSON (Acceptance k) Source # | |
Defined in Mcmc.Proposal parseJSON :: Value -> Parser (Acceptance k) # parseJSONList :: Value -> Parser [Acceptance k] # |
emptyA :: Ord k => [k] -> Acceptance k Source #
In the beginning there was the Word.
Initialize an empty storage of accepted/rejected values.
pushA :: (Ord k, Show k) => k -> Bool -> Acceptance k -> Acceptance k Source #
For key k
, prepend an accepted (True) or rejected (False) proposal.
resetA :: Ord k => Acceptance k -> Acceptance k Source #
Reset acceptance storage.
transformKeysA :: (Ord k1, Ord k2) => [k1] -> [k2] -> Acceptance k1 -> Acceptance k2 Source #
Transform keys using the given lists. Keys not provided will not be present
in the new Acceptance
variable.
acceptanceRatios :: Acceptance k -> Map k Double Source #
Acceptance ratios for all proposals.