MetropolisHastings.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.             *
 *************************************************************************/

////////////////////////////////////////////////////////////////////////////////


#ifndef RooStats_RooStatsUtils
#include "RooStats/RooStatsUtils.h"
#endif
#ifndef ROOT_Rtypes
#include "Rtypes.h"
#endif
#ifndef ROO_REAL_VAR
#include "RooRealVar.h"
#endif
#ifndef ROO_NLL_VAR
#include "RooNLLVar.h"
#endif
#ifndef ROO_GLOBAL_FUNC
#include "RooGlobalFunc.h"
#endif
#ifndef ROO_DATA_SET
#include "RooDataSet.h"
#endif
#ifndef ROO_ARG_SET
#include "RooArgSet.h"
#endif
#ifndef ROO_ARG_LIST
#include "RooArgList.h"
#endif
#ifndef ROO_MSG_SERVICE
#include "RooMsgService.h"
#endif
#ifndef ROO_RANDOM
#include "RooRandom.h"
#endif
#ifndef ROOT_TH1
#include "TH1.h"
#endif
#ifndef ROOT_TMath
#include "TMath.h"
#endif
#ifndef ROOT_TFile
#include "TFile.h"
#endif
#ifndef ROOSTATS_MetropolisHastings
#include "RooStats/MetropolisHastings.h"
#endif
#ifndef ROOSTATS_MarkovChain
#include "RooStats/MarkovChain.h"
#endif
#ifndef RooStats_MCMCInterval
#include "RooStats/MCMCInterval.h"
#endif

ClassImp(RooStats::MetropolisHastings);

using namespace RooFit;
using namespace RooStats;
using namespace std;

MetropolisHastings::MetropolisHastings()
{
   // default constructor
   fFunction = NULL;
   fPropFunc = NULL;
   fNumIters = 0;
   fNumBurnInSteps = 0;
   fSign = kSignUnset;
   fType = kTypeUnset;
}

MetropolisHastings::MetropolisHastings(RooAbsReal& function, const RooArgSet& paramsOfInterest,
      ProposalFunction& proposalFunction, Int_t numIters)
{
   fFunction = &function;
   SetParameters(paramsOfInterest);
   SetProposalFunction(proposalFunction);
   fNumIters = numIters;
   fNumBurnInSteps = 0;
   fSign = kSignUnset;
   fType = kTypeUnset;
}

MarkovChain* MetropolisHastings::ConstructChain()
{
   if (fParameters.getSize() == 0 || !fPropFunc || !fFunction) {
      coutE(Eval) << "Critical members unintialized: parameters, proposal " <<
                     " function, or (log) likelihood function" << endl;
         return NULL;
   }
   if (fSign == kSignUnset || fType == kTypeUnset) {
      coutE(Eval) << "Please set type and sign of your function using "
         << "MetropolisHastings::SetType() and MetropolisHastings::SetSign()" <<
         endl;
      return NULL;
   }

   if (fChainParams.getSize() == 0) fChainParams.add(fParameters);

   RooArgSet x;
   RooArgSet xPrime;
   x.addClone(fParameters);
   RandomizeCollection(x);
   xPrime.addClone(fParameters);
   RandomizeCollection(xPrime);

   MarkovChain* chain = new MarkovChain();
   // only the POI will be added to the chain
   chain->SetParameters(fChainParams);

   Int_t weight = 0;
   Double_t xL = 0.0, xPrimeL = 0.0, a = 0.0;

   // ibucur: i think the user should have the possiblity to display all the message
   //    levels should they want to; maybe a setPrintLevel would be appropriate
   //    (maybe for the other classes that use this approach as well)?
   RooFit::MsgLevel oldMsgLevel = RooMsgService::instance().globalKillBelow();
   RooMsgService::instance().setGlobalKillBelow(RooFit::PROGRESS);

   // We will need to check if log-likelihood evaluation left an error status.
   // Now using faster eval error logging with CountErrors.
   if (fType == kLog) {
     RooAbsReal::setEvalErrorLoggingMode(RooAbsReal::CountErrors);
     //N.B: need to clear the count in case of previous errors !
     // the clear needs also to be done after calling setEvalErrorLoggingMode 
     RooAbsReal::clearEvalErrorLog();
   }

   bool hadEvalError = true;

   Int_t i = 0;
   // get a good starting point for x
   // for fType == kLog, this means that fFunction->getVal() did not cause
   // an eval error
   // for fType == kRegular this means fFunction->getVal() != 0
   //
   // kbelasco: i < 1000 is sort of arbitary, but way higher than the number of
   // steps we should have to take for any reasonable (log) likelihood function
   while (i < 1000 && hadEvalError) {
      RandomizeCollection(x);
      RooStats::SetParameters(&x, &fParameters);
      xL = fFunction->getVal();

      if (fType == kLog) {
         if (RooAbsReal::numEvalErrors() > 0) {
            RooAbsReal::clearEvalErrorLog();
            hadEvalError = true;
         } else
            hadEvalError = false;
      } else if (fType == kRegular) {
         if (xL == 0.0)
            hadEvalError = true;
         else
            hadEvalError = false;
      } else
         // for now the only 2 types are kLog and kRegular (won't get here)
         hadEvalError = false;
   }

   if(hadEvalError) {
      coutE(Eval) << "Problem finding a good starting point in " <<
                     "MetropolisHastings::ConstructChain() " << endl;
   }


   ooccoutP((TObject *)0, Generation) << "Metropolis-Hastings progress: ";

   // do main loop
   for (i = 0; i < fNumIters; i++) {
      // reset error handling flag
      hadEvalError = false;

      // print a dot every 1% of the chain construction
      if (i % (fNumIters / 100) == 0) ooccoutP((TObject*)0, Generation) << ".";

      fPropFunc->Propose(xPrime, x);

      RooStats::SetParameters(&xPrime, &fParameters);
      xPrimeL = fFunction->getVal();

      // check if log-likelihood for xprime had an error status
      if (fFunction->numEvalErrors() > 0 && fType == kLog) {
         xPrimeL = RooNumber::infinity();
         fFunction->clearEvalErrorLog();
         hadEvalError = true;
      }

      // why evaluate the last point again, can't we cache it?
      // kbelasco: commenting out lines below to add/test caching support
      //RooStats::SetParameters(&x, &fParameters);
      //xL = fFunction->getVal();

      if (fType == kLog) {
         if (fSign == kPositive)
            a = xL - xPrimeL;
         else
            a = xPrimeL - xL;
      }
      else
         a = xPrimeL / xL;
      //a = xL / xPrimeL;

      if (!hadEvalError && !fPropFunc->IsSymmetric(xPrime, x)) {
         Double_t xPrimePD = fPropFunc->GetProposalDensity(xPrime, x);
         Double_t xPD      = fPropFunc->GetProposalDensity(x, xPrime);
         if (fType == kRegular)
            a *= xPD / xPrimePD;
         else
            a += TMath::Log(xPrimePD) - TMath::Log(xPD);
      }

      if (!hadEvalError && ShouldTakeStep(a)) {
         // go to the proposed point xPrime

         // add the current point with the current weight
         if (weight != 0.0)
            chain->Add(x, CalcNLL(xL), (Double_t)weight);

         // reset the weight and go to xPrime
         weight = 1;
         RooStats::SetParameters(&xPrime, &x);
         xL = xPrimeL;
      } else {
         // stay at the current point
         weight++;
      }
   }

   // make sure to add the last point
   if (weight != 0.0)
      chain->Add(x, CalcNLL(xL), (Double_t)weight);
   ooccoutP((TObject *)0, Generation) << endl;

   RooMsgService::instance().setGlobalKillBelow(oldMsgLevel);

   Int_t numAccepted = chain->Size();
   coutI(Eval) << "Proposal acceptance rate: " <<
                   numAccepted/(Float_t)fNumIters * 100 << "%" << endl;
   coutI(Eval) << "Number of steps in chain: " << numAccepted << endl;

   //TFile chainDataFile("chainData.root", "recreate");
   //chain->GetDataSet()->Write();
   //chainDataFile.Close();

   return chain;
}

Bool_t MetropolisHastings::ShouldTakeStep(Double_t a)
{
   if ((fType == kLog && a <= 0.0) || (fType == kRegular && a >= 1.0)) {
      // The proposed point has a higher likelihood than the
      // current point, so we should go there
      return kTRUE;
   }
   else {
      // generate numbers on a log distribution to decide
      // whether to go to xPrime or stay at x
      //Double_t rand = fGen.Uniform(1.0);
      Double_t rand = RooRandom::uniform();
      if (fType == kLog) {
         rand = TMath::Log(rand);
         // kbelasco: should this be changed to just (-rand > a) for logical
         // consistency with below test when fType == kRegular?
         if (-1.0 * rand >= a)
            // we chose to go to the new proposed point
            // even though it has a lower likelihood than the current one
            return kTRUE;
      } else {
         // fType must be kRegular
         // kbelasco: ensure that we never visit a point where PDF == 0
         //if (rand <= a)
         if (rand < a)
            // we chose to go to the new proposed point
            // even though it has a lower likelihood than the current one
            return kTRUE;
      }
      return kFALSE;
   }
}

Double_t MetropolisHastings::CalcNLL(Double_t xL)
{
   if (fType == kLog) {
      if (fSign == kNegative)
         return xL;
      else
         return -xL;
   } else {
      if (fSign == kPositive)
         return -1.0 * TMath::Log(xL);
      else
         return -1.0 * TMath::Log(-xL);
   }
}