Moving, conditional moving and weighting

Classes and functions which deal with collections of sampler proposal “moves”.

This file contains definitions of smc::moveset. It deals with the collections of proposal moves (including initialisation and MCMC moves) which must be dealt with by the sampler.

Defines

__SMC_MOVESET_HH

namespace smc

The Sequential Monte Carlo namespace.

The classes and functions within this namespace are intended to be used for producing implemenetations of SMC samplers and related simulation techniques.

template<class Space, class Params>
class moveset

#include <moveset.h>

A template class for a set of moves for use in an SMC samplers framework.

Public Functions

moveset()

Create a completely unspecified moveset.

The argument free smc::moveset constructor simply sets the number of available moves to zero and sets all of the associated function pointers to NULL.

moveset(void (*pfInit)(Space&, double&, Params&), void (*pfNewMove)(long, Space&, double&, Params&), bool (*pfNewMCMC)(long, Space&, double&, Params&))

An alternative constructor for backwards compatibility.

moveset(void (*pfInit)(Space&, double&, Params&), void (*pfNewMove)(long, Space&, double&, Params&), bool (*pfNewMCMC)(long, Space&, double&, Params&), void (*pfNewWeight)(long, Space&, double&, Params&))

An alternative constructor used for conditional SMC specifically.

inline virtual ~moveset()

Free the workspace allocated for the algorithm parameters.

inline virtual void pfInitialise(Space &value, double &weight, Params &myParams)

Holder function for updates to be done before the move step.

inline virtual void pfMove(long time, Space &value, double &weight, Params &myParams)

Holder function for updates to be done before the MCMC step.

inline virtual bool pfMCMC(long time, Space &value, double &weight, Params &myParams)

Holder function for updates to be done at the end of each iteration.

inline virtual void pfWeight(long time, Space &referenceValue, double &referenceWeight, Params &myParams)

Holder function for weighting of conditioning reference trajectory.

virtual void DoInit(population<Space> &pFrom, long N, Params&)

Initialise the population of particles.

virtual bool DoMCMC(long lTime, population<Space> &pFrom, long N, int nRepeats, int &nAccepted, Params&)

Perform an MCMC move on the particles.

virtual void DoMove(long lTime, population<Space> &pFrom, long N, Params&)

Select an appropriate move at time lTime and apply it to pFrom.

virtual void DoConditionalMove(long lTime, population<Space> &pFrom, const Space &referenceValue, long lReferenceIndex, Params &params)

Performs a conditional move: sets conditional reference value and re-weights corresponding particle coordinate.

Private Members

void (*defaultInitialise)(Space&, double&, Params&)

Default functions (only needed so that they can be overriden for backwards compatibility) The function which initialises a single particle.

void (*defaultMove)(long, Space&, double&, Params&)

The functions which perform actual moves on a single particle.

bool (*defaultMCMC)(long, Space&, double&, Params&)

One iteration of a Markov Chain Monte Carlo move for a single particle.

void (*defaultWeight)(long, Space&, double&, Params&)

The function which weights a single (reference) particle coordinate.