ToyMCSampler.h

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// @(#)root/roostats:$Id$
// Author: Sven Kreiss and Kyle Cranmer    June 2010
// Author: Kyle Cranmer, Lorenzo Moneta, Gregory Schott, Wouter Verkerke
// Additions and modifications by Mario Pelliccioni
/*************************************************************************
 * 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.             *
 *************************************************************************/
 
#ifndef ROOSTATS_ToyMCSampler
#define ROOSTATS_ToyMCSampler
 
#include "RooStats/TestStatSampler.h"
#include "RooStats/SamplingDistribution.h"
#include "RooStats/TestStatistic.h"
#include "RooStats/ModelConfig.h"
 
#include "RooWorkspace.h"
#include "RooMsgService.h"
#include "RooAbsPdf.h"
#include "RooRealVar.h"
#include "RooDataSet.h"
 
#include <vector>
#include <list>
#include <string>
#include <sstream>
#include <memory>
 
namespace RooStats {
 
  class DetailedOutputAggregator;
 
class NuisanceParametersSampler {
 
   public:
      NuisanceParametersSampler(RooAbsPdf *prior=nullptr, const RooArgSet *parameters=nullptr, Int_t nToys=1000, bool asimov=false) :
         fPrior(prior),
         fParams(parameters),
         fNToys(nToys),
         fExpected(asimov),
         fIndex(0)
      {
         if(prior) Refresh();
      }
      virtual ~NuisanceParametersSampler() = default;
 
      void NextPoint(RooArgSet& nuisPoint, double& weight);
 
   protected:
      void Refresh();
 
   private:
      RooAbsPdf *fPrior;           // prior for nuisance parameters
      const RooArgSet *fParams;    // nuisance parameters
      Int_t fNToys;
      bool fExpected;
 
      std::unique_ptr<RooAbsData> fPoints;         // generated nuisance parameter points
      Int_t fIndex;                // current index in fPoints array
};
 
class ToyMCSampler: public TestStatSampler {
 
   public:
 
      ToyMCSampler(TestStatistic &ts, Int_t ntoys);
      ~ToyMCSampler() override;
 
      static void SetAlwaysUseMultiGen(bool flag);
 
      void SetUseMultiGen(bool flag) { fUseMultiGen = flag ; }
 
      /// main interface
      SamplingDistribution* GetSamplingDistribution(RooArgSet& paramPoint) override;
      virtual RooDataSet* GetSamplingDistributions(RooArgSet& paramPoint);
      virtual RooDataSet* GetSamplingDistributionsSingleWorker(RooArgSet& paramPoint);
 
      virtual SamplingDistribution* AppendSamplingDistribution(
         RooArgSet& allParameters,
         SamplingDistribution* last,
         Int_t additionalMC
      );
 
 
      /// The pdf can be nullptr in which case the density from SetPdf()
      /// is used. The snapshot and TestStatistic is also optional.
      virtual void AddTestStatistic(TestStatistic* t = nullptr) {
         if( t == nullptr ) {
            oocoutI(nullptr,InputArguments) << "No test statistic given. Doing nothing." << std::endl;
            return;
         }
 
         fTestStatistics.push_back( t );
      }
 
      /// generates toy data
      ///   without weight
      virtual RooAbsData* GenerateToyData(RooArgSet& paramPoint, RooAbsPdf& pdf) const {
         if(fExpectedNuisancePar) oocoutE(nullptr,InputArguments) << "ToyMCSampler: using expected nuisance parameters but ignoring weight. Use GetSamplingDistribution(paramPoint, weight) instead." << std::endl;
         double weight;
         return GenerateToyData(paramPoint, weight, pdf);
      }
      virtual RooAbsData* GenerateToyData(RooArgSet& paramPoint) const { return GenerateToyData(paramPoint,*fPdf); }
      /// generates toy data
      ///   with weight
      virtual RooAbsData* GenerateToyData(RooArgSet& paramPoint, double& weight, RooAbsPdf& pdf) const;
      virtual RooAbsData* GenerateToyData(RooArgSet& paramPoint, double& weight) const { return GenerateToyData(paramPoint,weight,*fPdf); }
 
      /// generate global observables
      virtual void GenerateGlobalObservables(RooAbsPdf& pdf) const;
 
 
      /// Main interface to evaluate the test statistic on a dataset
      virtual double EvaluateTestStatistic(RooAbsData& data, RooArgSet& nullPOI, int i ) {
         return fTestStatistics[i]->Evaluate(data, nullPOI);
      }
      double EvaluateTestStatistic(RooAbsData& data, RooArgSet& nullPOI) override { return EvaluateTestStatistic( data,nullPOI, 0 ); }
      virtual RooArgList* EvaluateAllTestStatistics(RooAbsData& data, const RooArgSet& poi);
 
 
      virtual TestStatistic* GetTestStatistic(unsigned int i) const {
         if( fTestStatistics.size() <= i ) return nullptr;
         return fTestStatistics[i];
      }
      TestStatistic* GetTestStatistic(void) const override { return GetTestStatistic(0); }
 
      double ConfidenceLevel() const override { return 1. - fSize; }
      void Initialize(
         RooAbsArg& /*testStatistic*/,
         RooArgSet& /*paramsOfInterest*/,
         RooArgSet& /*nuisanceParameters*/
      ) override {}
 
      virtual Int_t GetNToys(void) { return fNToys; }
      virtual void SetNToys(const Int_t ntoy) { fNToys = ntoy; }
      /// Forces the generation of exactly `n` events even for extended PDFs. Set to 0 to
      /// use the Poisson-distributed events from the extended PDF.
      virtual void SetNEventsPerToy(const Int_t nevents) {
         fNEvents = nevents;
      }
 
 
      /// Set the Pdf, add to the workspace if not already there
      void SetParametersForTestStat(const RooArgSet& nullpoi) override {
         auto params = std::make_unique<RooArgSet>();
         nullpoi.snapshot(*params);
         fParametersForTestStat = std::move(params);
      }
 
      void SetPdf(RooAbsPdf& pdf) override { fPdf = &pdf; ClearCache(); }
 
      /// How to randomize the prior. Set to nullptr to deactivate randomization.
      void SetPriorNuisance(RooAbsPdf* pdf) override {
         fPriorNuisance = pdf;
         if (fNuisanceParametersSampler) {
            delete fNuisanceParametersSampler;
            fNuisanceParametersSampler = nullptr;
         }
      }
      /// specify the nuisance parameters (eg. the rest of the parameters)
      void SetNuisanceParameters(const RooArgSet& np) override { fNuisancePars = &np; }
      /// specify the observables in the dataset (needed to evaluate the test statistic)
      void SetObservables(const RooArgSet& o) override { fObservables = &o; }
      /// specify the conditional observables
      void SetGlobalObservables(const RooArgSet& o) override { fGlobalObservables = &o; }
 
 
      /// set the size of the test (rate of Type I error) ( Eg. 0.05 for a 95% Confidence Interval)
      void SetTestSize(double size) override { fSize = size; }
      /// set the confidence level for the interval (eg. 0.95 for a 95% Confidence Interval)
      void SetConfidenceLevel(double cl) override { fSize = 1. - cl; }
 
      /// Set the TestStatistic (want the argument to be a function of the data & parameter points
      virtual void SetTestStatistic(TestStatistic *testStatistic, unsigned int i) {
         if( fTestStatistics.size() < i ) {
            oocoutE(nullptr,InputArguments) << "Cannot set test statistic for this index." << std::endl;
            return;
         }
         if (fTestStatistics.size() == i) {
            fTestStatistics.push_back(testStatistic);
         } else {
            fTestStatistics[i] = testStatistic;
         }
      }
      void SetTestStatistic(TestStatistic *t) override { return SetTestStatistic(t,0); }
 
      virtual void SetExpectedNuisancePar(bool i = true) { fExpectedNuisancePar = i; }
      virtual void SetAsimovNuisancePar(bool i = true) { fExpectedNuisancePar = i; }
 
      /// Checks for sufficient information to do a GetSamplingDistribution(...).
      bool CheckConfig(void);
 
      /// control to use bin data generation (=> see RooFit::AllBinned() option)
      void SetGenerateBinned(bool binned = true) { fGenerateBinned = binned; }
      /// name of the tag for individual components to be generated binned (=> see RooFit::GenBinned() option)
      void SetGenerateBinnedTag( const char* binnedTag = "" ) { fGenerateBinnedTag = binnedTag; }
      /// set auto binned generation (=> see RooFit::AutoBinned() option)
      void SetGenerateAutoBinned( bool autoBinned = true ) { fGenerateAutoBinned = autoBinned; }
 
      /// Set the name of the sampling distribution used for plotting
      void SetSamplingDistName(const char* name) override { if(name) fSamplingDistName = name; }
      std::string GetSamplingDistName(void) { return fSamplingDistName; }
 
      /// This option forces a maximum number of total toys.
      void SetMaxToys(double t) { fMaxToys = t; }
 
      void SetToysLeftTail(double toys, double threshold) {
         fToysInTails = toys;
         fAdaptiveLowLimit = threshold;
         fAdaptiveHighLimit = RooNumber::infinity();
      }
      void SetToysRightTail(double toys, double threshold) {
         fToysInTails = toys;
         fAdaptiveHighLimit = threshold;
         fAdaptiveLowLimit = -RooNumber::infinity();
      }
      void SetToysBothTails(double toys, double low_threshold, double high_threshold) {
         fToysInTails = toys;
         fAdaptiveHighLimit = high_threshold;
         fAdaptiveLowLimit = low_threshold;
      }
 
      void SetProtoData(const RooDataSet* d) { fProtoData = d; }
 
   protected:
 
      const RooArgList* EvaluateAllTestStatistics(RooAbsData& data, const RooArgSet& poi, DetailedOutputAggregator& detOutAgg);
 
      /// helper for GenerateToyData
      std::unique_ptr<RooAbsData> Generate(RooAbsPdf &pdf, RooArgSet &observables, const RooDataSet *protoData=nullptr, int forceEvents=0) const;
 
      /// helper method for clearing  the cache
      virtual void ClearCache();
 
 
      /// densities, snapshots, and test statistics to reweight to
      RooAbsPdf *fPdf = nullptr; ///< model (can be alt or null)
      std::unique_ptr<const RooArgSet> fParametersForTestStat;
      std::vector<TestStatistic*> fTestStatistics;
 
      std::string fSamplingDistName; ///< name of the model
      RooAbsPdf *fPriorNuisance = nullptr; ///< prior pdf for nuisance parameters
      const RooArgSet *fNuisancePars = nullptr;
      const RooArgSet *fObservables = nullptr;
      const RooArgSet *fGlobalObservables = nullptr;
      Int_t fNToys;   ///< number of toys to generate
      Int_t fNEvents = 0; ///< number of events per toy (may be ignored depending on settings)
      double fSize = 0.05;
      bool fExpectedNuisancePar =
         false; ///< whether to use expectation values for nuisance parameters (ie Asimov data set)
      bool fGenerateBinned = false;
      TString fGenerateBinnedTag = "";
      bool fGenerateAutoBinned = true;
 
      /// minimum no of toys in tails for adaptive sampling
      /// (taking weights into account, therefore double)
      /// Default: 0.0 which means no adaptive sampling
      double fToysInTails = 0.0;
      /// maximum no of toys
      /// (taking weights into account, therefore double)
      double fMaxToys;
      /// tails
      double fAdaptiveLowLimit;
      double fAdaptiveHighLimit;
 
      const RooDataSet *fProtoData = nullptr; ///< in dev
 
      mutable NuisanceParametersSampler *fNuisanceParametersSampler = nullptr; ///<!
 
      // objects below cache information and are mutable and non-persistent
      mutable std::unique_ptr<RooArgSet> _allVars; ///<!
      mutable std::vector<RooAbsPdf*> _pdfList;    ///<! We don't own those objects
      mutable std::vector<std::unique_ptr<RooArgSet>> _obsList;         ///<!
      mutable std::vector<std::unique_ptr<RooAbsPdf::GenSpec>> _gsList; ///<!
      mutable std::unique_ptr<RooAbsPdf::GenSpec> _gs1; ///<! GenSpec #1
      mutable std::unique_ptr<RooAbsPdf::GenSpec> _gs2; ///<! GenSpec #2
      mutable std::unique_ptr<RooAbsPdf::GenSpec> _gs3; ///<! GenSpec #3
      mutable std::unique_ptr<RooAbsPdf::GenSpec> _gs4; ///<! GenSpec #4
 
      static bool fgAlwaysUseMultiGen ;  ///< Use PrepareMultiGen always
      bool fUseMultiGen = false;         ///< Use PrepareMultiGen?
 
   ClassDefOverride(ToyMCSampler, 0) // A simple implementation of the TestStatSampler interface
};
}
 
 
#endif