#include <baseHamiltonian.h>

Inheritance diagram for baseHamiltonian:

Public Member Functions
	baseHamiltonian (int dim)
double	dim ()
	Return the dimensionality of the target space.
virtual double	T ()=0
	Return the kinetic energy.
virtual double	V ()=0
	Return the potential energy.
virtual const VectorXd &	gradV ()=0
	Return the gradient of the potential energy.
double	H ()
	Return the Hamiltonian.
VectorXd &	q ()
	Return the current position.
double	q (int i)
	Return the ith component of the current position.
VectorXd &	p ()
	Return the current momentum.
double	p (int i)
	Return the ith component of the current momentum.
VectorXd &	acceptQ ()
	Return the currect accept window sample.
VectorXd &	rejectQ ()
	Return the currect reject window sample.
virtual void	evolveQ (const double epsilon)=0
	Evolve the position through some time epsilon.
virtual void	prepareEvolution ()
virtual void	beginEvolveP (const double epsilon)=0
	Evolve the momenta through an initial half step of time epsilon.
virtual void	finishEvolveP (const double epsilon)=0
	Evolve the momenta through a final half step of time epsilon.
virtual void	bounceP (const VectorXd &normal)=0
virtual void	sampleP (Random &random)=0
void	saveCurrentPoint ()
	Save current position and momentum.
void	restoreStoredPoint ()
	Restore saved position and momentum.
void	saveAsRejectSample ()
	Save current position as a sample from the reject window.
void	saveAsAcceptSample ()
	Save current position as a sample from the accept window.
void	sampleWindows (const bool accept)
	Select between the reject and accept windows.
void	setAverageDecay (const double alpha)
	Set moving average decay rate.
void	updateMetroStats (const bool b, const double a)
	Update Metroplis accept rate statistics.
void	clearHistory ()
	Clear all convergence diagnostic statistics.
bool	isNaN ()
	Check if the position of the chain is well defined.
virtual bool	supportViolated ()
	Is the chain within the support of the distribution?
virtual VectorXd &	supportNormal ()
	Return the normal to the support boundary.
virtual void	checkEvolution (const double epsilon=1e-6)
	Comparing the evolution implementations with finite differences.
double	acceptRate ()
	Metropolis accept rate over the history of the chains.
double	movingAcceptRate ()
	Moving expectation of the Metropolis accept rate.
virtual void	displayState ()
	Display current state.
Protected Attributes
const int	mDim
	Dimension of target space.
VectorXd	mQ
	Position in target space.
VectorXd	mStoreQ
	Stored position.
VectorXd	mRejectQ
	Stored position in reject window.
VectorXd	mAcceptQ
	Stored position in accept window.
VectorXd	mP
	Momentum.
VectorXd	mStoreP
	Stored momentum.
VectorXd	mN
	Normal to any surface of constrained support.
VectorXd	mGradV
	Gradient of the potential energy.
double	mNumAccept
	Total number of accepted samples.
double	mNumReject
	Total number of rejected samples.
double	mAcceptRateBar
	Moving average accept rate.
double	mEffN
	Moving average effective samples.
double	mMovingAlpha
	Moving average decay rate.

Detailed Description

Author:: Michael Betancourt

Abstract base class defining the interface for a generic Hamiltonian Monte Carlo chain, with the potential energy given by a target distribution and the kinetic energy left free for optimization.