KSLCore/ksl.utilities.random.mcmc/MetropolisHastings1D

MetropolisHastings1D

class MetropolisHastings1D(var initialX: Double, targetFun: FunctionIfc, proposalFun: ProposalFunction1DIfc) : Observable<Double> , RandomIfc

An implementation for a 1-Dimensional Metropolis Hasting process. The process is observable at each step

Parameters

initialX

the initial value to start generation process

targetFun

the target function

proposalFun

the proposal function

Constructors

MetropolisHastings1D

constructor(initialX: Double, targetFun: FunctionIfc, proposalFun: ProposalFunction1DIfc)

Types

object Companion

Properties

acceptanceStatistics

val acceptanceStatistics: Statistic

advanceToNextSubStreamOption

open override var advanceToNextSubStreamOption: Boolean

If true, the stream will automatically participate in having its stream advanced to the next sub-stream via stream managers

open override var antithetic: Boolean

Tells the stream to start producing antithetic variates

var currentX: Double

var initialX: Double

var isInitialized: Boolean

var isWarmedUp: Boolean

lastAcceptanceProbability

var lastAcceptanceProbability: Double

observedStatistics

val observedStatistics: Statistic

var previousX: Double

var proposedY: Double

resetStartStreamOption

open override var resetStartStreamOption: Boolean

If true, the stream will automatically participate in having its stream reset to its start stream via stream managers

open override var rnStream: RNStreamIfc

the underlying stream of random numbers

open val streamNumber: Int

targetFunctionAtCurrentX

var targetFunctionAtCurrentX: Double

targetFunctionAtProposedY

var targetFunctionAtProposedY: Double

open val value: Double

Functions

advanceToNextSubStream

open override fun advanceToNextSubStream()

Positions the RNG at the beginning of its next substream

fun asString(): String

open override fun attachObserver(observer: ObserverIfc<Double>)

Allows the adding (attaching) of an observer to the observable

open override fun countObservers(): Int

Returns how many observers are currently attached to the observable

detachAllObservers

open override fun detachAllObservers()

Detaches all the observers from the observable

open override fun detachObserver(observer: ObserverIfc<Double>)

Allows the deletion (removing) of an observer from the observable

fun initialize()

Resets statistics and sets the initial state the initial value or to the value found via the warmup period (if the warmup period was run).

open override fun isAttached(observer: ObserverIfc<Double>): Boolean

Returns true if the observer is already attached

fun next(): Double

Moves the process one step

fun <T> Observable<T>.observe(block: (T?) -> Unit)

resetStartStream

open override fun resetStartStream()

The resetStartStream method will position the RNG at the beginning of its stream. This is the same location in the stream as assigned when the RNG was created and initialized.

resetStartSubStream

open override fun resetStartSubStream()

Resets the position of the RNG at the start of the current substream

resetStatistics

fun resetStatistics()

Resets the automatically collected statistics

fun runAll(n: Int): Double

runWarmUpPeriod

fun runWarmUpPeriod(warmUpAmount: Int)

Runs a warmup period and assigns the initial value of the process to the last value from the warmup process.

open fun sample(sampleSize: Int): DoubleArray

Generates a random generated sample of the give size

open override fun sample(): Double

sampleAsColumns

open fun sampleAsColumns(sampleSize: Int, nCols: Int = 1): Array<DoubleArray>

Generates the number of columns nCols with each column holding a random sample of size sampleSize

open fun sampleAsRows(sampleSize: Int, nRows: Int = 1): Array<DoubleArray>

Generates the number of rows nRows with each row holding a random sample of size sampleSize

open fun sampleInto(matrix: Array<DoubleArray>)

Fills the supplied matrix with randomly generated values

open fun sampleInto(values: DoubleArray)

Fills the supplied array with randomly generated values

open fun sum(numInSum: Int): Double

open override fun toString(): String

useStreamNumber

open fun useStreamNumber(streamNumber: Int)

Assigns the stream associated with the supplied number from the default RNStreamProvider

open override fun value(): Double

This method simply returns the value.