MCMCCalculator.cxx

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// @(#)root/roostats:$Id$
// Authors: Kevin Belasco        17/06/2009
// Authors: Kyle Cranmer         17/06/2009
/*************************************************************************
 * Copyright (C) 1995-2008, Rene Brun and Fons Rademakers.               *
 * All rights reserved.                                                  *
 *                                                                       *
 * For the licensing terms see $ROOTSYS/LICENSE.                         *
 * For the list of contributors see $ROOTSYS/README/CREDITS.             *
 *************************************************************************/
 
 
/** \class RooStats::MCMCCalculator
    \ingroup Roostats
 
   Bayesian Calculator estimating an interval or a credible region using the
   Markov-Chain Monte Carlo method to integrate the likelihood function with the
   prior to obtain the posterior function.
 
   By using the Markov-Chain Monte Carlo methods this calculator can work with
   model which require the integration of a large number of parameters.
 
   MCMCCalculator is a concrete implementation of IntervalCalculator.  It uses a
   MetropolisHastings object to construct a Markov Chain of data points in the
   parameter space.  From this Markov Chain, this class can generate a
   MCMCInterval as per user specification.
 
   The interface allows one to pass the model, data, and parameters via a
   workspace and then specify them with names.
 
   After configuring the calculator, one only needs to ask GetInterval(), which
   will return an ConfInterval (MCMCInterval in this case).
 */
 
#include "Rtypes.h"
#include "RooGlobalFunc.h"
#include "RooAbsReal.h"
#include "RooArgSet.h"
#include "RooArgList.h"
#include "RooStats/ModelConfig.h"
#include "RooStats/RooStatsUtils.h"
#include "RooStats/MCMCCalculator.h"
#include "RooStats/MetropolisHastings.h"
#include "RooStats/MarkovChain.h"
#include "RooStats/MCMCInterval.h"
#include "RooStats/UniformProposal.h"
#include "RooStats/PdfProposal.h"
#include "RooProdPdf.h"
 
 
using namespace RooFit;
using namespace RooStats;
using std::endl;
 
////////////////////////////////////////////////////////////////////////////////
/// default constructor
 
MCMCCalculator::MCMCCalculator() :
   fPropFunc(nullptr),
   fPdf(nullptr),
   fPriorPdf(nullptr),
   fData(nullptr),
   fAxes(nullptr)
{
}
 
////////////////////////////////////////////////////////////////////////////////
/// constructor from a Model Config with a basic settings package configured
/// by SetupBasicUsage()
 
MCMCCalculator::MCMCCalculator(RooAbsData& data, const ModelConfig & model) :
   fPropFunc(nullptr),
   fData(&data),
   fAxes(nullptr)
{
   SetModel(model);
   SetupBasicUsage();
}
 
void MCMCCalculator::SetModel(const ModelConfig & model) {
   // set the model
   fPdf = model.GetPdf();
   fPriorPdf = model.GetPriorPdf();
   fPOI.removeAll();
   fNuisParams.removeAll();
   fConditionalObs.removeAll();
   fGlobalObs.removeAll();
   if (model.GetParametersOfInterest())
      fPOI.add(*model.GetParametersOfInterest());
   if (model.GetNuisanceParameters())
      fNuisParams.add(*model.GetNuisanceParameters());
   if (model.GetConditionalObservables())
      fConditionalObs.add( *(model.GetConditionalObservables() ) );
   if (model.GetGlobalObservables())
      fGlobalObs.add( *(model.GetGlobalObservables() ) );
 
}
 
////////////////////////////////////////////////////////////////////////////////
/// Constructor for automatic configuration with basic settings.  Uses a
/// UniformProposal, 10,000 iterations, 40 burn in steps, 50 bins for each
/// RooRealVar, determines interval by histogram.  Finds a 95% confidence
/// interval.
 
void MCMCCalculator::SetupBasicUsage()
{
   fPropFunc = nullptr;
   fNumIters = 10000;
   fNumBurnInSteps = 40;
   fNumBins = 50;
   fUseKeys = false;
   fUseSparseHist = false;
   SetTestSize(0.05);
   fIntervalType = MCMCInterval::kShortest;
   fLeftSideTF = -1;
   fEpsilon = -1;
   fDelta = -1;
}
 
////////////////////////////////////////////////////////////////////////////////
 
void MCMCCalculator::SetLeftSideTailFraction(double a)
{
   if (a < 0 || a > 1) {
      coutE(InputArguments) << "MCMCCalculator::SetLeftSideTailFraction: "
         << "Fraction must be in the range [0, 1].  "
         << a << "is not allowed." << std::endl;
      return;
   }
 
   fLeftSideTF = a;
   fIntervalType = MCMCInterval::kTailFraction;
}
 
////////////////////////////////////////////////////////////////////////////////
/// Main interface to get a RooStats::ConfInterval.
 
MCMCInterval* MCMCCalculator::GetInterval() const
{
 
   if (!fData || !fPdf   ) return nullptr;
   if (fPOI.empty()) return nullptr;
 
   if (fSize < 0) {
      coutE(InputArguments) << "MCMCCalculator::GetInterval: "
         << "Test size/Confidence level not set.  Returning nullptr." << std::endl;
      return nullptr;
   }
 
   // if a proposal function has not been specified create a default one
   bool useDefaultPropFunc = (fPropFunc == nullptr);
   bool usePriorPdf = (fPriorPdf != nullptr);
   if (useDefaultPropFunc) fPropFunc = new UniformProposal();
 
   // if prior is given create product
   RooAbsPdf * prodPdf = fPdf;
   if (usePriorPdf) {
      TString prodName = TString("product_") + TString(fPdf->GetName()) + TString("_") + TString(fPriorPdf->GetName() );
      prodPdf = new RooProdPdf(prodName,prodName,RooArgList(*fPdf,*fPriorPdf) );
   }
 
   std::unique_ptr<RooArgSet> constrainedParams{prodPdf->getParameters(*fData)};
   std::unique_ptr<RooAbsReal> nll{prodPdf->createNLL(*fData, Constrain(*constrainedParams),ConditionalObservables(fConditionalObs),GlobalObservables(fGlobalObs))};
 
   std::unique_ptr<RooArgSet> params{nll->getParameters(*fData)};
   RemoveConstantParameters(&*params);
   if (fNumBins > 0) {
      SetBins(*params, fNumBins);
      SetBins(fPOI, fNumBins);
      if (dynamic_cast<PdfProposal*>(fPropFunc)) {
         std::unique_ptr<RooArgSet> proposalVars{(static_cast<PdfProposal*>(fPropFunc))->GetPdf()->
                                               getParameters((RooAbsData*)nullptr)};
         SetBins(*proposalVars, fNumBins);
      }
   }
 
   MetropolisHastings mh;
   mh.SetFunction(*nll);
   mh.SetType(MetropolisHastings::kLog);
   mh.SetSign(MetropolisHastings::kNegative);
   mh.SetParameters(*params);
   if (!fChainParams.empty()) mh.SetChainParameters(fChainParams);
   mh.SetProposalFunction(*fPropFunc);
   mh.SetNumIters(fNumIters);
 
   MarkovChain* chain = mh.ConstructChain();
 
   TString name = TString("MCMCInterval_") + TString(GetName() );
   MCMCInterval* interval = new MCMCInterval(name, fPOI, *chain);
   if (fAxes != nullptr)
      interval->SetAxes(*fAxes);
   if (fNumBurnInSteps > 0)
      interval->SetNumBurnInSteps(fNumBurnInSteps);
   interval->SetUseKeys(fUseKeys);
   interval->SetUseSparseHist(fUseSparseHist);
   interval->SetIntervalType(fIntervalType);
   if (fIntervalType == MCMCInterval::kTailFraction)
      interval->SetLeftSideTailFraction(fLeftSideTF);
   if (fEpsilon >= 0)
      interval->SetEpsilon(fEpsilon);
   if (fDelta >= 0)
      interval->SetDelta(fDelta);
   interval->SetConfidenceLevel(1.0 - fSize);
 
   if (useDefaultPropFunc) delete fPropFunc;
   if (usePriorPdf) delete prodPdf;
 
   return interval;
}