private void writeHistory(int step, StreamWriter sw, MCMCState state)
{
sw.Write(step + "\t" + state.LogLikelihood.ToString());
sw.Write("\t" + lastAuxChain.ToString());
sw.WriteLine("\t" + state.lastAccepted.ToString());
sw.Flush();
}
public MCMCState SwapStates(MCMCState _motherState)
{
// preserve the current set of full parameters for returning to the parent
MCMCState auxiliaryState = state;
state = _motherState;
// update the working parameters
updateWorkingFromFullParams();
return(auxiliaryState);
}
public void Initialize(LikelihoodDelegate _LD, LogPriorDelegate _LPD, ProposalDelegate _PD, int[] _indices, MCMCState _state)
{
LD = _LD;
LPD = _LPD;
PD = _PD;
accepted = 0;
state = _state;
dim = _indices.Length;
indices = new int[dim];
indices = _indices;
Theta = new double[dim];
updateWorkingFromFullParams();
}
/// <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;
}
}
public void Step()
{
lastAuxChain = discreteUniformDist.Next();
Mother = mcmc[lastAuxChain].SwapStates(Mother);
for (int i = 0; i < numAuxiliary; i++)
{
if (i == lastAuxChain)
{
continue; // skip the swapped chain
}
mcmc[i].Step();
}
}
