/// <summary>
/// generates a single step in an MCMC algorithm
/// </summary>
public void Step()
{
lastAccepted = false;
state.lastAccepted = false;
// the argument is the likelihood value at the current position
if (LD == null)
{
return;
}
// generate a new point in the auxiliary chain working parameter space
MCMCProposal mcmcp = PD(Theta);
// Create a new full state that is up-to-date with the proposed parameters
MCMCState newState = new MCMCState();
newState.Theta = updateCopyFullParams(mcmcp.Theta);
// compute likelihood and prior at new point
newState.LogLikelihood = LD(newState.Theta);
newState.LogPrior = LPD(newState.Theta);
// decide whether to accept the new point
if ((newState.LogLikelihood + newState.LogPrior > state.LogLikelihood + state.LogPrior) | AcceptAll)
{
lastAccepted = true;
accepted++;
}
else
{
double U = uRand.NextDouble();
if (Math.Log(U) < newState.LogLikelihood + newState.LogPrior - (state.LogLikelihood + state.LogPrior))
{
lastAccepted = true;
accepted++;
}
else
{
state.lastAccepted = false;
}
}
if (lastAccepted)
{
newState.lastAccepted = true;
// update the working parameters
Theta = mcmcp.Theta;
// update the full set of parameters
state = newState;
}
}
private double MCMCStep(double LLV, double LPV, ref double[] theta)
{
// the argument is the likelihood value at the current position
if (LD == null)
{
return(Double.NaN);
}
// generates a single step in an MCMC algorithm
lastAccepted = false;
// generate new point in parameter space
MCMCProposal mcmcp = PD(theta);
double[] thetaNew = mcmcp.Theta;
// compute likelihood and prior at new point
double LLVNew = LD(thetaNew);
double LPVNew = LPD(thetaNew);
double logAccept = LLVNew + LPVNew - (LLV + LPV) + mcmcp.LogRatio;
// decide whether to accept new point
if ((LLVNew + LPVNew > LLV + LPV) | AcceptAll)
{
lastAccepted = true;
accepted++;
}
else
{
// debug:
double U = uRand.NextDouble();
//////////////////////////////
if (Math.Log(U) < LLVNew + LPVNew - (LLV + LPV))
{
lastAccepted = true;
accepted++;
}
else
{
lastAccepted = false;
}
}
if (lastAccepted)
{
theta = thetaNew;
return(LLVNew);
}
return(LLV);
}