95 lines
3.2 KiB
C++
95 lines
3.2 KiB
C++
/*
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* Copyright (C) 2009-2017 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.hh
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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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#if !defined(CABFAB46_2FA5_4178_8D1C_05DFEAFB4570__INCLUDED_)
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#define CABFAB46_2FA5_4178_8D1C_05DFEAFB4570__INCLUDED_
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/**
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* Proposal class will then have the common, seed initialised base generator
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* (currently congruental rand48) and member functions such as seed, reset (to
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* initial,default value) and have all rand generators we need that generate from
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* that common base: single uniform and normal (either single or multivariate
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* determined by the size of the variance matrix) for now.
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*
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* The rng interfaces will be - a single, selectionTest() currently uniform for MH
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* sampler, draw(mean, newDraw) - single or multivariate parameters (currently
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* from Normal(mean,Sigma)) and poss. also the seed state (set and get), the
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* normal Chol_variance_decomp (constructed using Chol Decomp of init Variance
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* matrix) , as core members .This class will handle the main boost random rng
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* intricacies. See enclosed updated diagram (if ok I will upload it)
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*
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*/
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#include "Matrix.hh"
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#include "BlasBindings.hh"
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#include "LapackBindings.hh"
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#include <boost/random/linear_congruential.hpp>
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#include <boost/random/normal_distribution.hpp>
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#include <boost/random/uniform_real.hpp>
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#include <boost/random/variate_generator.hpp>
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// typedef for base_uniform_generator_type
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// rend48 seems better than the basic minstd_rand but
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// one my later try ecuyer1988 or taus88 which are better but not yet supported in the Boost versionwe use
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typedef boost::rand48 base_uniform_generator_type;
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class Proposal
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{
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public:
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Proposal();
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public:
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Proposal(const VectorConstView &vJscale, const MatrixConstView &covariance);
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virtual ~Proposal()
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{
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};
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virtual void draw(Vector &mean, Vector &draw);
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virtual Matrix&getVar();
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virtual int seed();
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virtual void seed(int seedInit);
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virtual double selectionTestDraw();
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private:
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size_t len;
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Matrix covarianceCholeskyDecomposition;
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/**
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* Vector of new draws
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*
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*/
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Vector newDraw;
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base_uniform_generator_type base_rng;
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boost::uniform_real<> uniform_rng_type;
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boost::variate_generator<base_uniform_generator_type &, boost::uniform_real<> > uniformVrng;
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boost::normal_distribution<double> normal_rng_type;
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boost::variate_generator<base_uniform_generator_type &, boost::normal_distribution<double> > normalVrng;
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int curSeed;
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};
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#endif // !defined(CABFAB46_2FA5_4178_8D1C_05DFEAFB4570__INCLUDED_)
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