92 lines
2.3 KiB
C++
92 lines
2.3 KiB
C++
/*
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* Copyright (C) 2009-2010 Dynare Team
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*
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* This file is part of Dynare.
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*
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* Dynare is free software: you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation, either version 3 of the License, or
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* (at your option) any later version.
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*
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* Dynare is distributed in the hope that it will be useful,
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* but WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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* GNU General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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*/
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///////////////////////////////////////////////////////////
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// Proposal.cpp
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// Implementation of the Class Proposal
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// Created on: 15-Dec-2010 12:43:49
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///////////////////////////////////////////////////////////
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#include "Proposal.hh"
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Proposal::Proposal(const VectorConstView &vJscale, const MatrixConstView &covariance) :
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len(covariance.getCols()),
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covarianceCholeskyDecomposition(len),
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newDraw(len),
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uniform_rng_type(0, 1), // uniform random number generator distribution type
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uniformVrng(base_rng, uniform_rng_type), // uniform random variate_generator
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normal_rng_type(0, 1), // normal random number generator distribution type (mean, standard)
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normalVrng(base_rng, normal_rng_type) // normal random variate_generator
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{
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Matrix Jscale(len);
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Matrix DD(len);
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DD = covariance;
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lapack::choleskyDecomp(DD, "U");
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Jscale.setAll(0.0);
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for (size_t i = 0; i < len; i++)
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Jscale(i, i) = vJscale(i);
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blas::gemm("N", "N", 1.0, DD, Jscale, 0.0, covarianceCholeskyDecomposition);
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}
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void
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Proposal::draw(Vector &mean, Vector &draw)
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{
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assert(len == draw.getSize());
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assert(len == mean.getSize());
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draw = mean;
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for (size_t i = 0; i < len; ++i)
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newDraw(i) = normalVrng();
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blas::gemv("T", 1.0, covarianceCholeskyDecomposition, newDraw, 1.0, draw);
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}
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Matrix &
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Proposal::getVar()
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{
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return covarianceCholeskyDecomposition;
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}
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/**
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* set or get if null arguments
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*/
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int
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Proposal::seed()
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{
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return curSeed;
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}
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void
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Proposal::seed(int newSeed)
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{
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curSeed = newSeed;
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base_rng.seed(curSeed);
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}
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/**
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* currently returns uniform for MH sampler,
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*/
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double
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Proposal::selectionTestDraw()
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{
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return uniformVrng();
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}
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