mcpdf.h

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// $Id: mcpdf.h 30606 2009-10-02 10:01:02Z tdelaet $
// Copyright (C) 2002 Klaas Gadeyne <first dot last at gmail dot com>
 /***************************************************************************
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#ifndef MCPDF_H
#define MCPDF_H

#include "pdf.h"
#include "../sample/weightedsample.h"
#include "../wrappers/rng/rng.h"
#include "../bfl_err.h"
#include <list>
#include <vector>
#include <cassert>

namespace BFL
{


  template <typename T> class MCPdf: public Pdf<T>
    {
    protected:

      double _SumWeights;
      vector<WeightedSample<T> > _listOfSamples;
      //  vector<WeightedSample<T> >::iterator _it;
      vector<double> _CumPDF;
      //  typename vector<double>::iterator CumPDFit;


      bool SumWeightsUpdate();
      bool NormalizeWeights();
      void CumPDFUpdate();

    private:
        // Variables to avoid allocation during call of
        //expectedvalueget/covarianceget
        mutable T _CumSum;
        mutable vector<WeightedSample<T> > _los;
        mutable T _mean;
        mutable T _diff;
        mutable SymmetricMatrix _covariance;
        mutable Matrix _diffsum;
        mutable typename vector<WeightedSample<T> >::iterator _it_los;

    public:

      MCPdf(unsigned int num_samples = 0, unsigned int dimension=0);
      virtual ~MCPdf();
      MCPdf(const MCPdf<T> &);

      virtual MCPdf<T>* Clone() const;

      // implemented virtual functions
      bool SampleFrom (Sample<T>& one_sample, int method = DEFAULT, void * args = NULL) const;
      bool SampleFrom (vector<Sample<T> >& list_samples, const unsigned int num_samples, int method = DEFAULT,
                       void * args = NULL) const;
      T ExpectedValueGet() const;
      MatrixWrapper::SymmetricMatrix CovarianceGet() const;



      void NumSamplesSet(unsigned int num_samples);



      unsigned int NumSamplesGet() const;


      const WeightedSample<T>& SampleGet(unsigned int i) const;


      bool ListOfSamplesSet(const vector<WeightedSample<T> > & list_of_samples);

      bool ListOfSamplesSet(const vector<Sample<T> > & list_of_samples);


      const vector<WeightedSample<T> > & ListOfSamplesGet() const;


      bool ListOfSamplesUpdate(const vector<WeightedSample<T> > & list_of_samples);


      bool ListOfSamplesUpdate(const vector<Sample<T> > & list_of_samples);


      // void SampleAdd(WeightedSample<T>  sample);


      vector<double> & CumulativePDFGet();

    };

  // Template Code here

  // Constructor
  template <typename T> MCPdf<T>::MCPdf(unsigned int num_samples, unsigned int dimension) :
    Pdf<T>(dimension)
    , _covariance(dimension)
    , _diffsum(dimension,dimension)
    {
      _SumWeights = 0;
      WeightedSample<T> my_sample(dimension);
      _listOfSamples.insert(_listOfSamples.begin(),num_samples,my_sample);
      _CumPDF.insert(_CumPDF.begin(),num_samples+1,0.0);

     _los.assign(num_samples,WeightedSample<T>(dimension));
     _it_los = _los.begin();
#ifdef __CONSTRUCTOR__
      // if (num_samples > 0)
      cout << "MCPDF Constructor: NumSamples = " << _listOfSamples.size()
           << ", CumPDF Samples = " << _CumPDF.size()
           << ", _SumWeights = " << _SumWeights << endl;
#endif // __CONSTRUCTOR__
    }



  // Destructor
  template <typename T>
    MCPdf<T>::~MCPdf()
    {
#ifdef __DESTRUCTOR__
      cout << "MCPDF::Destructor" << endl;
#endif // __DESTRUCTOR__
    }

  // Copy constructor
  template <typename T>
    MCPdf<T>::MCPdf(const MCPdf & pdf) : Pdf<T>(pdf)
    , _covariance(pdf.DimensionGet())
    , _diffsum(pdf.DimensionGet(),pdf.DimensionGet())
    {
      this->_listOfSamples = pdf._listOfSamples;
      this->_CumPDF = pdf._CumPDF;
      _SumWeights = pdf._SumWeights;
      this->_los = pdf._listOfSamples;
     _it_los = _los.begin();
#ifdef __CONSTRUCTOR__
      cout << "MCPDF Copy Constructor: NumSamples = " << _listOfSamples.size()
           << ", CumPDF Samples = " << _CumPDF.size()
           << ", SumWeights = " << _SumWeights << endl;
#endif // __CONSTRUCTOR__
    }

  //Clone function
  template <typename T> MCPdf<T>*
    MCPdf<T>::Clone() const
    {
        return new MCPdf<T>(*this);
    }

  template <typename T> bool
    MCPdf<T>::SampleFrom (vector<Sample<T> >& list_samples,
                          const unsigned int numsamples,
                          int method,
                          void * args) const
    {
      list_samples.resize(numsamples);
      switch(method)
        {
        case DEFAULT: // O(N log(N) efficiency)
          {
            return Pdf<T>::SampleFrom(list_samples, numsamples,method,args);
          }
        case RIPLEY: // Only possible here ( O(N) efficiency )
          /* See
             @Book{               ripley87,
             author     = {Ripley, Brian D.},
             title              = {Stochastic Simulation},
             publisher  = {John Wiley and Sons},
             year               = {1987},
             annote     = {ISBN 0271-6356, WBIB 1 519.245}
             }
          */
          // GENERATE N ORDERED IID UNIFORM SAMPLES
          {
            std::vector<double> unif_samples(numsamples);
            for ( unsigned int i = 0; i < numsamples ; i++)
              unif_samples[i] = runif();

            /* take n-th racine of u_N */
            unif_samples[numsamples-1] = pow(unif_samples[numsamples-1], double (1.0/numsamples));
            /* rescale other samples */
            // only resample if more than one sample
            if (numsamples > 1)
              for ( int i = numsamples-2; i >= 0 ; i--)
                unif_samples[i] = pow(unif_samples[i],double (1.0/(i+1))) * unif_samples[i+1];

            // CHECK WHERE THESE SAMPLES ARE IN _CUMPDF
            unsigned int index = 0;
            unsigned int size;
            size = _listOfSamples.size();
            typename vector<WeightedSample<T> >::const_iterator it = _listOfSamples.begin();
            typename vector<double>::const_iterator CumPDFit = _CumPDF.begin();
            typename vector<Sample<T> >::iterator sit = list_samples.begin();

            for ( unsigned int i = 0; i < numsamples ; i++)
              {
                while ( unif_samples[i] > *CumPDFit )
                  {
                    assert(index <= size);
                    index++; it++; CumPDFit++;
                  }
                it--;
                *sit = *it;
                it++;
                sit++;
              }
            return true;
          }
        default:
          {
            cerr << "MCPdf::Samplefrom(int, void *): No such sampling method" << endl;
            return false;
          }
        }
    }

  template <typename T> bool
    MCPdf<T>::SampleFrom(Sample<T>& one_sample, int method, void * args) const
    {
      switch(method)
        {
        case DEFAULT:
          {
            // Sample from univariate uniform rng between 0 and 1;
            double unif_sample; unif_sample = runif();
            // Compare where we should be:
            unsigned int index = 0;
            unsigned int size; size = _listOfSamples.size();
            typename vector<WeightedSample<T> >::const_iterator it;
            it = _listOfSamples.begin();
            typename vector<double>::const_iterator CumPDFit;
            CumPDFit = _CumPDF.begin();

            while ( unif_sample > *CumPDFit )
              {
                // check for internal error
                assert(index <= size);
                index++; it++; CumPDFit++;
              }
            it--;
            one_sample = *it;
            return true;
          }
        default:
          {
            cerr << "MCPdf::Samplefrom(int, void *): No such sampling method" << endl;
            return false;
          }
        }
    }


  template <typename T> unsigned int MCPdf<T>::NumSamplesGet() const
    {
      return _listOfSamples.size();
    }

  template <typename T> const WeightedSample<T>&
    MCPdf<T>::SampleGet(unsigned int i) const
    {
      assert(i < NumSamplesGet());
      return _listOfSamples[i];
    }

  // Get and set number of samples
  template <typename T> void
    MCPdf<T>::NumSamplesSet(unsigned int num_samples)
    {
#ifdef __MCPDF_DEBUG__
      cout << "MCPDF::NumSamplesSet BEFORE:  NumSamples " << _listOfSamples.size() << endl;
      cout << "MCPDF::NumSamplesSet BEFORE:  CumPDF Samples " << _CumPDF.size() << endl;
#endif // __MCPDF_DEBUG__
      unsigned int ns = num_samples;
      unsigned int size = _listOfSamples.size();
      static typename vector<double>::iterator CumPDFit;
      static typename vector<WeightedSample<T> >::iterator it;
      if (size < ns) // Add samples
        {
          WeightedSample<T> ws;
          _listOfSamples.insert(_listOfSamples.end(),(ns - size),ws);
          _CumPDF.insert(_CumPDF.end(),(ns - size),0.0);
        }
      else if (size > ns) // Delete some samples
        {
          it = _listOfSamples.begin(); CumPDFit = _CumPDF.begin();
          for ( unsigned int index = 0; index < (size-ns); index++ )
            {
              it = _listOfSamples.erase(it);
              CumPDFit = _CumPDF.erase(CumPDFit);
            }
#ifdef __MCPDF_DEBUG__
          cout << "MCPDF::NumSamplesSet: WARNING DELETING SAMPLES!!" << endl;
#endif // __MCPDF_DEBUG__
        }
      else {;} // Do nothing (number of samples are equal)
#ifdef __MCPDF_DEBUG__
      cout << "MCPDF::NumSamplesSet: Setting NumSamples to " << _listOfSamples.size() << endl;
      cout << "MCPDF::NumSamplesSet: Setting CumPDF Samples to " << _CumPDF.size() << endl;
#endif // __MCPDF_DEBUG__
    }


  // Get and set the list of samples
  template <typename T> bool
    MCPdf<T>::ListOfSamplesSet(const vector<WeightedSample<T> > & los)
    {
      // Allocate necessary memory
      this->NumSamplesSet(los.size());
      _listOfSamples = los;
#ifdef __MCPDF_DEBUG__
      cout << "MCPDF::ListOfSamplesSet: NumSamples = " << ListOfSamples.size() << endl;
#endif // __MCPDF_DEBUG__
      return this->NormalizeWeights();
    }


  template <typename T> bool
    MCPdf<T>::ListOfSamplesSet(const vector<Sample<T> > & los)
    {
      unsigned int numsamples = los.size();
      typename vector<Sample<T> >::const_iterator lit; lit=los.begin();
      static typename vector<WeightedSample<T> >::iterator it;
      // Allocate necessary memory
      this->NumSamplesSet(numsamples);
      // Update the list of samples
      for ( it = _listOfSamples.begin() ; it != _listOfSamples.end() ; it++ )
        {
          *it = *lit; ;
          it->WeightSet(1.0/numsamples);
          lit++;
        }
      _SumWeights = 1.0;
      // Update Cum PDF
      this->CumPDFUpdate();

#ifdef __MCPDF_DEBUG__
      cout << "MCPDF ListOfSamplesSet: NumSamples = " << _listOfSamples.size()
           << " SumWeights = " << _SumWeights << endl;
#endif // __MCPDF_DEBUG__

      return true;
    }

  template <typename T> const vector<WeightedSample<T> > &
    MCPdf<T>::ListOfSamplesGet() const
    {
      return _listOfSamples;
    }


  template <typename T> bool
    MCPdf<T>::ListOfSamplesUpdate(const vector<WeightedSample<T> > & los)
    {
      assert (los.size() == _listOfSamples.size());
      if (los.size() != 0)
        {
          _listOfSamples = los;
          return this->NormalizeWeights();
        }
      return true;
    }

  template <typename T> bool
    MCPdf<T>::ListOfSamplesUpdate(const vector<Sample<T> > & los)
    {
      unsigned int numsamples = _listOfSamples.size();
      if ((numsamples = los.size()) == _listOfSamples.size())
        {
          assert (numsamples != 0);
          typename vector<Sample<T> >::const_iterator lit; lit=los.begin();
          static typename vector<WeightedSample<T> >::iterator it;
          // Allocate necessary memory
          this->NumSamplesSet(numsamples);
          // Update the sumweights
          for ( it = _listOfSamples.begin() ; it != _listOfSamples.end() ; it++ )
            {
              *it = *lit; ;
              it->WeightSet(1.0/numsamples);
              lit++;
            }
          _SumWeights = 1.0;
          this->CumPDFUpdate();
        }
      return true;
    }


  template <typename T> bool
    MCPdf<T>::SumWeightsUpdate()
    {
      double SumOfWeights = 0.0;
      double current_weight;
      static typename vector<WeightedSample<T> >::iterator it;
      for ( it = _listOfSamples.begin() ; it != _listOfSamples.end() ; it++ )
        {
          current_weight = it->WeightGet();
          SumOfWeights += current_weight;
        }

#ifdef __MCPDF_DEBUG__
      cout << "MCPDF::SumWeightsUpdate: SumWeights = " << SumOfWeights << endl;
#endif // __MCPDF_DEBUG__

      if (SumOfWeights > 0){
        this->_SumWeights = SumOfWeights;
        return true;
      }
      else{
        cerr << "MCPDF::SumWeightsUpdate: SumWeights = " << SumOfWeights << endl;
        return false;
      }
    }

  template <typename T> bool
    MCPdf<T>::NormalizeWeights()
    {
      static typename vector<WeightedSample<T> >::iterator it;

      // if sumweights = 0, something is wrong
      if (!this->SumWeightsUpdate()) return false;

      for ( it = _listOfSamples.begin() ; it != _listOfSamples.end() ; it++ )
        {
          it->WeightSet(it->WeightGet() / _SumWeights);
        }
      this->_SumWeights = 1.0;
      this->CumPDFUpdate();
      return true;
    }


  template <typename T> void
    MCPdf<T>::CumPDFUpdate()
    {
      double CumSum=0.0;
      static typename vector<double>::iterator CumPDFit;
      static typename vector<WeightedSample<T> >::iterator it;
      CumPDFit = _CumPDF.begin(); *CumPDFit = 0.0;

      // Calculate the Cumulative PDF
      for ( it = _listOfSamples.begin() ; it != _listOfSamples.end() ; it++ )
        {
          CumPDFit++;
          // Calculate the __normalised__ Cumulative sum!!!
          CumSum += ( it->WeightGet() / _SumWeights);
          *CumPDFit = CumSum;
        }
    }


  template <typename T>
    T MCPdf<T>::ExpectedValueGet (  ) const
    {
      cerr << "MCPDF ExpectedValueGet: not implemented for the template parameters you use."
           << endl << "Use template specialization as shown in mcpdf.cpp " << endl;

      assert(0);
      T result;
      return result;
    }


  template <typename T>
    MatrixWrapper::SymmetricMatrix MCPdf<T>::CovarianceGet (  ) const
    {
      cerr << "MCPDF CovarianceGet: not implemented for the template parameters you use."
           << endl << "Use template specialization as shown in mcpdf.cpp " << endl;

      assert(0);
      MatrixWrapper::SymmetricMatrix result;
      return result;
    }



  template <typename T>
    vector<double> & MCPdf<T>::CumulativePDFGet()
    {
      return _CumPDF;
    }



} // End namespace BFL

#include "mcpdf.cpp"

#endif