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74 lines
2.1 KiB
C++
74 lines
2.1 KiB
C++
/*
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* mcmc.cpp
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*
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* Created on: May 14, 2013
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* Author: abduz
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*/
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#include "inc/mcmc.hpp"
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mcmc::mcmc(int np,double (*f)(vec&,void*),void *p) {
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npar = np;
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loglikelihood = f;
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ptr = p;
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hqrndrandomize(rnd);
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nrun = 100; nburn = 100; nwk = 100; ncheck = 10;avalue = 2.0;
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}
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mcmc::~mcmc() {}
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void mcmc::run( vec& p, vec& pe, const char*fname){
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int i,j,k,nacc,nr,n,nsum;
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vec2 pars; pars.setlength(nwk,npar);
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vec prob,currp,bestp,sum,sum2;
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ivec2 compj;
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double bestlike,tmplike=-1e20,z,q,a1=1./sqrt(avalue),a2=sqrt(avalue);;
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prob.setlength(nwk);currp.setlength(npar);bestp.setlength(npar);sum.setlength(npar);sum2.setlength(npar);
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compj.setlength(nwk,nwk-1);
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nsum=0;for(i=0;i<npar;i++){sum[i]=0;sum2[i]=0;}
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ofstream fout(fname);
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for(k=0;k<nwk;k++){j=0;for(i=0;i<k;i++){compj[k][j]=i;j++;}for(i=k+1;i<nwk;i++){compj[k][j]=i;j++;}}
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bestlike = -1e20;
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for(k=0;k<nwk;k++){
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//pars[k][0] = p[0];currp[0] = p[0];
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for(i=0;i<npar;i++){pars[k][i] = p[i]*(1.0+hqrndnormal(rnd)*0.05); currp[i]=pars[k][i];}
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prob[k] = loglikelihood( currp , ptr );
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if(bestlike<prob[k]){bestlike=prob[k];for(i=0;i<npar;i++){bestp[i]=pars[k][i];}}
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}
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nr = 0;nacc = 0;
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for(n=1;n<=(nrun+nburn);n++){
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for(k=0;k<nwk;k++){
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nr++;j = compj[k][hqrnduniformi(rnd,nwk-1)];
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z = hqrnduniformr(rnd)*(a2-a1) + a1; z = z*z;
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for(i=0;i<npar;i++){currp[i]=pars[j][i] + z*(pars[k][i]-pars[j][i]);}
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tmplike = loglikelihood(currp,ptr);
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q = pow(z,npar-1)*exp(tmplike-prob[k]);
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if( hqrnduniformr(rnd)<=q and tmplike>-1e10 ){
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nacc++;for(i=0;i<npar;i++){pars[k][i]=currp[i];} prob[k] = tmplike;
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if(bestlike<tmplike){bestlike=tmplike;for(i=0;i<npar;i++){bestp[i]=currp[i];}}
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if(n>nburn) {
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for(i=0;i<npar;i++){
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fout << currp[i] << " ";
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sum[i] += currp[i];sum2[i] += currp[i]*currp[i]; nsum++;
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} fout << tmplike << endl;
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}
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}
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}
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if(n%ncheck==0){
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q = 1.0*nacc/nr; nr=0;nacc=0;
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cout << setw(8) << n << setw(12) << q << setw(12) << tmplike << setw(12) << bestlike << endl;
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}
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}
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for(i=0;i<npar;i++){
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p[i]=bestp[i];
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pe[i] = sqrt((sum2[i] - sum[i]*sum[i]/nsum)/(nsum+1));
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}cout << endl;
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fout.close();
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}
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