/// <summary>
/// do accept rejection sampling
/// </summary>
/// <returns></returns>
public List<List<PZPoint>> Sample()
{
if (GMTargetDistribution == null)
throw new ApplicationException("GeyerMollerSampler::Sample(), Candidate generating distribution or Instrumental distribution is not delegated.");
averageAcceptProbability = 0.0;
sumAcceptProbability = 0.0;
averagesx = 0.0;
averagenx = 0.0;
sumnx = 0.0;
sumsx = 0.0;
// initial work space
long seed = DateTime.Now.Millisecond;
UniformDistribution U = new UniformDistribution(seed + 10);
double u;
UniformDistribution Ux = new UniformDistribution(seed + 20);
UniformDistribution Uy = new UniformDistribution(seed + 30);
double ux, uy;
UniformDistribution Ub = new UniformDistribution(seed + 40);
UniformDistribution Uremove = new UniformDistribution(seed + 50);
double acceptProbability;
double birthProbability;
double deathProbability;
// MCMC interation
int n = 0;
hits = 0;
int Nm1 = N - 1;
// start from empty chain.
while (n < N)
{
List<PZPoint> X = new List<PZPoint>(totalSamples[n]);
int xLength = X.Count;
bool death = false;
bool reject = false;
// Birth or Death
birthProbability = Ub.Sample();
if (xLength > 0)
deathProbability = 1 - birthProbability;
else
{
birthProbability = 1.0;
deathProbability = 0.0;
}
if (birthProbability> deathProbability)
// Birth
{
death = false;
// creat a new point u in S
ux = Ux.Sample() * width;
uy = Uy.Sample() * height;
PZPoint pointU = new PZPoint(ux, uy);
// propose Y
List<PZPoint> Y = new List<PZPoint>(X);
Y.Add(pointU);
// accept probability
acceptProbability = BirthAcceptProbability(X, Y);
sumAcceptProbability += acceptProbability;
u = U.Sample();
if (u <= acceptProbability)
// accept Y
{
reject = false;
hits++;
if (n < Nm1)
// add Y to totalSample;
totalSamples.Add(Y);
if (n >= n0)
// add Y to targetSample
targetSamples.Add(Y);
}
else
// reject Y
{
reject = true;
if (n < Nm1)
totalSamples.Add(X);
if (n >= n0)
targetSamples.Add(X);
}
}
else
// Death
{
death = true;
// uniformly remove v from X
int removeIndex = Convert.ToInt32(Uremove.Sample() * xLength) - 1;
removeIndex = removeIndex > 0 ? removeIndex : 0;
// propose Y
List<PZPoint> Y = new List<PZPoint>(X);
Y.RemoveAt(removeIndex);
// accept probability
acceptProbability = DeathAcceptProbability(X, Y);
sumAcceptProbability += acceptProbability;
u = U.Sample();
if (u <= acceptProbability)
// accept Y
{
reject = false;
hits++;
if (n < Nm1)
// add Y to totalSample;
totalSamples.Add(Y);
if (n >= n0)
// add Y to targetSample
targetSamples.Add(Y);
}
else
// reject Y
{
reject = true;
if (n < Nm1)
totalSamples.Add(X);
if (n >= n0)
targetSamples.Add(X);
}
}
n++;
// debug output
averageAcceptProbability = sumAcceptProbability / (double) n;
double r = 0.3;
int nx = totalSamples[n - 1].Count;
int sx = Convert.ToInt32(Sx(totalSamples[n - 1], r));
sumsx += sx;
sumnx += nx;
double hx = GMTargetDistribution.Evaluate(totalSamples[n - 1]);
Console.Write("n = " + n);
if (death)
Console.Write(" Death");
else
Console.Write(" Birth");
if (reject)
Console.Write(" Reject");
else
Console.Write(" Accept");
Console.Write(" n(x) = " + nx);
Console.Write(" s(x) = " + sx);
Console.Write(" h(x) = " + String.Format("{0:f}", hx));
Console.Write(" accept rate = " + String.Format("{0:f}", acceptProbability));
Console.WriteLine(" average accept rate " + String.Format("{0:f}", averageAcceptProbability));
}
averageAcceptProbability = sumAcceptProbability / (double) N;
averagesx = sumsx / (double)N;
averagenx = sumnx / (double)N;
return targetSamples;
}
/// <summary>
/// uniform distribution example
/// </summary>
public static void ExampleSample()
{
string folderName = System.Environment.GetFolderPath(System.Environment.SpecialFolder.Desktop) + "\\";
string fileName1 = "uniform distibution.txt";
double lowerBound = -0.7;
double upperBound = 0.7;
FileStream fs1 = new FileStream(fileName1, FileMode.Create, FileAccess.Write);
StreamWriter w1 = new StreamWriter(fs1);
UniformDistribution random = new UniformDistribution(lowerBound, upperBound);
for (int i = 0; i < 10000; i++)
w1.WriteLine(random.Sample());
w1.Close();
fs1.Close();
}
/// <summary>
/// do accept rejection sampling
/// </summary>
/// <returns></returns>
public List<double[]> Sample()
{
if (ARSInstrumentalDistribution == null
|| ARSTargetDistribution == null)
throw new ApplicationException("AcceptRrejectionSampling::Sample(), Target distribution or Instrumental distribution is not delegated.");
totalIteration = 0;
averageAcceptProbability = 0;
// initial work space
UniformDistribution U = new UniformDistribution();
double u;
double[] Z;
double acceptProbability;
// MC interation
bool continueIterate = true;
int hits = 0;
while (continueIterate)
{
totalIteration++;
// sample Z from instrumental distribution
Z = ARSInstrumentalDistribution.Sample();
// sample u from U(0, 1)
u = U.Sample();
// accept probability
double targetValue =ARSTargetDistribution.Evaluate(Z);
double instrumentalValue = ARSInstrumentalDistribution.Evaluate(Z);
acceptProbability = targetValue / c / instrumentalValue;
averageAcceptProbability += acceptProbability;
if (u <= acceptProbability)
{
hits++;
if (hits > n0)
targetSamples.Add(Z);
if (targetSamples.Count >= N)
continueIterate = false;
}
}
averageAcceptProbability /= (double)totalIteration;
return targetSamples;
}
/// <summary>
/// do accept rejection sampling
/// </summary>
/// <returns></returns>
public List<LineSegmentConfiguration> Sample()
{
if (_GMTargetDistribution == null)
throw new ApplicationException("GVFThinningSampler::Sample(), Candidate generating distribution or Instrumental distribution is not delegated.");
// initial work space
long seed = DateTime.Now.Millisecond;
UniformDistribution randomSample = new UniformDistribution(seed + 10); // sample for accept/reject
double uSample;
UniformDistribution randomPool = new UniformDistribution(seed + 30); // sample for birth from pool
double uPool;
UniformDistribution randomBirth = new UniformDistribution(seed + 40); // birth/death probability
double uBirth;
double uDeath;
UniformDistribution randomRemove = new UniformDistribution(seed + 50); // sample for remove line segment
double uRemove;
double acceptProbability;
// MCMC interation
int n = 0;
_hits = 0;
int Nm1 = _n - 1;
double hMax = Double.MinValue;
while (n < _n)
{
// get current coinfiguration
LineSegmentConfiguration X = new LineSegmentConfiguration(_totalSamples[n]);
int xLength = X.N;
bool death = false;
bool reject = false;
// count hits of line segments
int sourceLength = _sourceLineSegmentList.N;
for (int s = 0; s < xLength; s++)
{
int lineSegmentIndex = X.Configure[s].Index;
_sourceLineSegmentList.Configure[lineSegmentIndex].Hit++;
//for (int si = 0; si < sourceLength; si++)
//{
// if (_sourceLineSegmentList.Configure[si].Index == lineSegmentIndex)
// {
// _sourceLineSegmentList.Configure[si].Hit++;
// continue;
// }
//}
}
/// Birth or Death ?
#region Birth or Death ?
uBirth = randomBirth.Sample();
if (xLength > 0 && xLength < _totalLineSegment)
uDeath = 1 - uBirth;
else if (xLength == 0)
// only birth
{
uBirth = 1.0;
uDeath = 0.0;
}
else
// only death
{
uDeath = 1.0;
uBirth = 0.0;
}
#endregion
if (uBirth > uDeath)
// Birth
#region Birth
{
death = false;
// sample a new line segment from pool
uPool = System.Math.Floor(randomPool.Sample() * _lineSegmentPool.N);
LineSegment addedLineSegment = _lineSegmentPool.Configure[(int)uPool];
// propose Y
LineSegmentConfiguration Y = new LineSegmentConfiguration(X);
Y.Add(addedLineSegment);
// debug
#region debug
//double temphy = _GMTargetDistribution.Evaluate(Y);
//double temphx = _GMTargetDistribution.Evaluate(X);
//temphy = _GMTargetDistribution.Evaluate(Y);
//temphx = _GMTargetDistribution.Evaluate(X);
#endregion
// accept probability
acceptProbability = BirthAcceptProbability(X, Y);
_sumAcceptProbability += acceptProbability;
uSample = randomSample.Sample();
if (uSample <= acceptProbability)
// accept Y
{
reject = false;
_hits++;
if (n < Nm1)
// add Y to totalSample;
_totalSamples.Add(Y);
if (n >= _n0)
// add Y to targetSample
_targetSamples.Add(Y);
// remove l from pool
_lineSegmentPool.RemoveAt((int)uPool);
//_totalLineSegment--;
}
else
// reject Y
{
reject = true;
if (n < Nm1)
_totalSamples.Add(X);
if (n >= _n0)
_targetSamples.Add(X);
}
}
#endregion
else
// Death
#region Death
{
death = true;
// uniformly remove v from X
uRemove = (int)System.Math.Floor(randomRemove.Sample() * xLength);
// propose Y
LineSegmentConfiguration Y = new LineSegmentConfiguration(X);
LineSegment removedLineSegment = Y.Configure[(int)uRemove];
Y.RemoveAt((int)uRemove);
// accept probability
acceptProbability = DeathAcceptProbability(X, Y);
_sumAcceptProbability += acceptProbability;
uSample = randomSample.Sample();
if (uSample <= acceptProbability)
// accept Y
{
reject = false;
_hits++;
if (n < Nm1)
// add Y to totalSample;
_totalSamples.Add(Y);
if (n >= _n0)
// add Y to targetSample
_targetSamples.Add(Y);
// add l back to pool
_lineSegmentPool.Add(removedLineSegment);
//_totalLineSegment++;
}
else
// reject Y
{
reject = true;
if (n < Nm1)
_totalSamples.Add(X);
if (n >= _n0)
_targetSamples.Add(X);
}
}
#endregion
n++;
// debug output
#region debug
_averageAcceptProbability = _sumAcceptProbability / (double)n;
double h = _GMTargetDistribution.Evaluate(_totalSamples[n - 1]);
if (h > hMax)
{
hMax = h;
_indexMax = n - 1;
}
Console.Write("n = " + (n - 1));
if (death)
Console.Write(" Death");
else
Console.Write(" Birth");
if (reject)
Console.Write(" Reject");
else
Console.Write(" Accept");
Console.Write(" # = " + _totalSamples[n - 1].N);
Console.Write(" h(x) = " + String.Format("{0:0.0000e+00}", h));
Console.Write(" accept rate = " + String.Format("{0:0.0000e+00}", acceptProbability));
Console.WriteLine(" average accept rate " + String.Format("{0:f}", _averageAcceptProbability));
#endregion
} // end of while
#region debug
Console.Write("hx max = " + String.Format("{0:0.0000}", hMax) + " index = " + _indexMax);
_averageAcceptProbability = _sumAcceptProbability / (double)_n;
#endregion
return _targetSamples;
}
/// <summary>
/// do accept rejection sampling
/// </summary>
/// <returns></returns>
public List<double[]> Sample()
{
if (MHTargetDistribution == null
|| MHCandidateGeneratingDistribution == null)
throw new ApplicationException("MetropolisHastingsSampling::Sample(), Candidate generating distribution or Instrumental distribution is not delegated.");
averageAcceptProbability = 0;
// initial work space
UniformDistribution U = new UniformDistribution();
double u;
double acceptProbability;
// MCMC interation
int n = 0;
hits = 0;
int Nm1 = N - 1;
double[] mu = {1, 2};
while (n < N)
{
// sample Y from candidate generating distribution
// random walk sample
double[] Y = MHCandidateGeneratingDistribution.RandomWalkSample(totalSamples[n]);
// 1st order autogressive sample
//double[] Y = MHCandidateGeneratingDistribution.FirstOrderAutoGressiveSample(totalSamples[n], mu);
// sample u from U(0, 1)
u = U.Sample();
// accept probability
acceptProbability = AcceptProbability(totalSamples[n], Y);
averageAcceptProbability += acceptProbability;
if (u <= acceptProbability)
{
hits++;
if (n < Nm1)
for (int i = 0; i < dimension; i++)
totalSamples[n + 1][i] = Y[i];
if (n >= n0)
targetSamples.Add(Y);
}
else
{
if (n < Nm1)
for (int i = 0; i < dimension; i ++)
totalSamples[n + 1][i] = totalSamples[n][i];
if (n >= n0)
targetSamples.Add(totalSamples[n]);
}
n++;
}
averageAcceptProbability /= (double)N;
return targetSamples;
}
