This class uses the Metropolis-Hastings algorithm to construct a Markov Chain of data points using Monte Carlo.
In the main algorithm, new points in the parameter space are proposed and then visited based on their relative likelihoods. This class can use any implementation of the ProposalFunction, including non-symmetric proposal functions, to propose parameter points and still maintain detailed balance when constructing the chain.
The "Likelihood" function that is sampled when deciding what steps to take in the chain has been given a very generic implementation. The user can create any RooAbsReal based on the parameters and pass it to a MetropolisHastings object with the method SetFunction(RooAbsReal&). Be sure to tell MetropolisHastings whether your RooAbsReal is on a (+/-) regular or log scale, so that it knows what logic to use when sampling your RooAbsReal. For example, a common use is to sample from a -log(Likelihood) distribution (NLL), for which the appropriate configuration calls are SetType(MetropolisHastings::kLog); SetSign(MetropolisHastings::kNegative); If you're using a traditional likelihood function: SetType(MetropolisHastings::kRegular); SetSign(MetropolisHastings::kPositive); You must set these type and sign flags or MetropolisHastings will not construct a MarkovChain.
Also note that in ConstructChain(), the values of the variables are randomized uniformly over their intervals before construction of the MarkovChain begins.
Definition at line 24 of file MetropolisHastings.h.
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| | MetropolisHastings () |
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| | MetropolisHastings (RooAbsReal &function, const RooArgSet ¶msOfInterest, ProposalFunction &proposalFunction, Int_t numIters) |
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| virtual | ~MetropolisHastings () |
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| virtual MarkovChain * | ConstructChain () |
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| virtual void | SetChainParameters (const RooArgSet &set) |
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| virtual void | SetFunction (RooAbsReal &function) |
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| virtual void | SetNumBurnInSteps (Int_t numBurnInSteps) |
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| virtual void | SetNumIters (Int_t numIters) |
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| virtual void | SetParameters (const RooArgSet &set) |
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| virtual void | SetProposalFunction (ProposalFunction &proposalFunction) |
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| virtual void | SetSign (enum FunctionSign sign) |
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| virtual void | SetType (enum FunctionType type) |
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| | TObject () |
| | TObject constructor.
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| | TObject (const TObject &object) |
| | TObject copy ctor.
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| virtual | ~TObject () |
| | TObject destructor.
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| void | AbstractMethod (const char *method) const |
| | Use this method to implement an "abstract" method that you don't want to leave purely abstract.
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| virtual void | AppendPad (Option_t *option="") |
| | Append graphics object to current pad.
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| virtual void | Browse (TBrowser *b) |
| | Browse object. May be overridden for another default action.
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| ULong_t | CheckedHash () |
| | Check and record whether this class has a consistent Hash/RecursiveRemove setup (*) and then return the regular Hash value for this object.
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| virtual const char * | ClassName () const |
| | Returns name of class to which the object belongs.
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| virtual void | Clear (Option_t *="") |
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| virtual TObject * | Clone (const char *newname="") const |
| | Make a clone of an object using the Streamer facility.
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| virtual Int_t | Compare (const TObject *obj) const |
| | Compare abstract method.
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| virtual void | Copy (TObject &object) const |
| | Copy this to obj.
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| virtual void | Delete (Option_t *option="") |
| | Delete this object.
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| virtual Int_t | DistancetoPrimitive (Int_t px, Int_t py) |
| | Computes distance from point (px,py) to the object.
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| virtual void | Draw (Option_t *option="") |
| | Default Draw method for all objects.
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| virtual void | DrawClass () const |
| | Draw class inheritance tree of the class to which this object belongs.
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| virtual TObject * | DrawClone (Option_t *option="") const |
| | Draw a clone of this object in the current selected pad for instance with: gROOT->SetSelectedPad(gPad).
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| virtual void | Dump () const |
| | Dump contents of object on stdout.
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| virtual void | Error (const char *method, const char *msgfmt,...) const |
| | Issue error message.
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| virtual void | Execute (const char *method, const char *params, Int_t *error=0) |
| | Execute method on this object with the given parameter string, e.g.
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| virtual void | Execute (TMethod *method, TObjArray *params, Int_t *error=0) |
| | Execute method on this object with parameters stored in the TObjArray.
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| virtual void | ExecuteEvent (Int_t event, Int_t px, Int_t py) |
| | Execute action corresponding to an event at (px,py).
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| virtual void | Fatal (const char *method, const char *msgfmt,...) const |
| | Issue fatal error message.
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| virtual TObject * | FindObject (const char *name) const |
| | Must be redefined in derived classes.
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| virtual TObject * | FindObject (const TObject *obj) const |
| | Must be redefined in derived classes.
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| virtual Option_t * | GetDrawOption () const |
| | Get option used by the graphics system to draw this object.
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| virtual const char * | GetIconName () const |
| | Returns mime type name of object.
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| virtual const char * | GetName () const |
| | Returns name of object.
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| virtual char * | GetObjectInfo (Int_t px, Int_t py) const |
| | Returns string containing info about the object at position (px,py).
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| virtual Option_t * | GetOption () const |
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| virtual const char * | GetTitle () const |
| | Returns title of object.
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| virtual UInt_t | GetUniqueID () const |
| | Return the unique object id.
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| virtual Bool_t | HandleTimer (TTimer *timer) |
| | Execute action in response of a timer timing out.
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| virtual ULong_t | Hash () const |
| | Return hash value for this object.
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| Bool_t | HasInconsistentHash () const |
| | Return true is the type of this object is known to have an inconsistent setup for Hash and RecursiveRemove (i.e.
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| virtual void | Info (const char *method, const char *msgfmt,...) const |
| | Issue info message.
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| virtual Bool_t | InheritsFrom (const char *classname) const |
| | Returns kTRUE if object inherits from class "classname".
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| virtual Bool_t | InheritsFrom (const TClass *cl) const |
| | Returns kTRUE if object inherits from TClass cl.
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| virtual void | Inspect () const |
| | Dump contents of this object in a graphics canvas.
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| void | InvertBit (UInt_t f) |
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| virtual Bool_t | IsEqual (const TObject *obj) const |
| | Default equal comparison (objects are equal if they have the same address in memory).
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| virtual Bool_t | IsFolder () const |
| | Returns kTRUE in case object contains browsable objects (like containers or lists of other objects).
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| R__ALWAYS_INLINE Bool_t | IsOnHeap () const |
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| virtual Bool_t | IsSortable () const |
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| R__ALWAYS_INLINE Bool_t | IsZombie () const |
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| virtual void | ls (Option_t *option="") const |
| | The ls function lists the contents of a class on stdout.
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| void | MayNotUse (const char *method) const |
| | Use this method to signal that a method (defined in a base class) may not be called in a derived class (in principle against good design since a child class should not provide less functionality than its parent, however, sometimes it is necessary).
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| virtual Bool_t | Notify () |
| | This method must be overridden to handle object notification.
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| void | Obsolete (const char *method, const char *asOfVers, const char *removedFromVers) const |
| | Use this method to declare a method obsolete.
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| void | operator delete (void *ptr) |
| | Operator delete.
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| void | operator delete[] (void *ptr) |
| | Operator delete [].
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| void * | operator new (size_t sz) |
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| void * | operator new (size_t sz, void *vp) |
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| void * | operator new[] (size_t sz) |
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| void * | operator new[] (size_t sz, void *vp) |
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| TObject & | operator= (const TObject &rhs) |
| | TObject assignment operator.
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| virtual void | Paint (Option_t *option="") |
| | This method must be overridden if a class wants to paint itself.
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| virtual void | Pop () |
| | Pop on object drawn in a pad to the top of the display list.
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| virtual void | Print (Option_t *option="") const |
| | This method must be overridden when a class wants to print itself.
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| virtual Int_t | Read (const char *name) |
| | Read contents of object with specified name from the current directory.
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| virtual void | RecursiveRemove (TObject *obj) |
| | Recursively remove this object from a list.
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| void | ResetBit (UInt_t f) |
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| virtual void | SaveAs (const char *filename="", Option_t *option="") const |
| | Save this object in the file specified by filename.
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| virtual void | SavePrimitive (std::ostream &out, Option_t *option="") |
| | Save a primitive as a C++ statement(s) on output stream "out".
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| void | SetBit (UInt_t f) |
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| void | SetBit (UInt_t f, Bool_t set) |
| | Set or unset the user status bits as specified in f.
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| virtual void | SetDrawOption (Option_t *option="") |
| | Set drawing option for object.
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| virtual void | SetUniqueID (UInt_t uid) |
| | Set the unique object id.
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| virtual void | SysError (const char *method, const char *msgfmt,...) const |
| | Issue system error message.
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| R__ALWAYS_INLINE Bool_t | TestBit (UInt_t f) const |
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| Int_t | TestBits (UInt_t f) const |
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| virtual void | UseCurrentStyle () |
| | Set current style settings in this object This function is called when either TCanvas::UseCurrentStyle or TROOT::ForceStyle have been invoked.
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| virtual void | Warning (const char *method, const char *msgfmt,...) const |
| | Issue warning message.
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| virtual Int_t | Write (const char *name=0, Int_t option=0, Int_t bufsize=0) |
| | Write this object to the current directory.
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| virtual Int_t | Write (const char *name=0, Int_t option=0, Int_t bufsize=0) const |
| | Write this object to the current directory.
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Public Types inherited from TObject
