Initial ci of gi dir

git-svn-id: https://ws10smt.googlecode.com/svn/trunk@5 ec762483-ff6d-05da-a07a-a48fb63a330f

1 files changed, 192 insertions, 0 deletions

diff --git a/gi/pyp-topics/src/slice-sampler.h b/gi/pyp-topics/src/slice-sampler.h
new file mode 100644
index 00000000..3108a0f7
--- /dev/null
+++ b/gi/pyp-topics/src/slice-sampler.h
@@ -0,0 +1,192 @@
+//! slice-sampler.h is an MCMC slice sampler
+//!
+//! Mark Johnson, 1st August 2008
+
+#ifndef SLICE_SAMPLER_H
+#define SLICE_SAMPLER_H
+
+#include <algorithm>
+#include <cassert>
+#include <cmath>
+#include <iostream>
+#include <limits>
+
+//! slice_sampler_rfc_type{} returns the value of a user-specified
+//! function if the argument is within range, or - infinity otherwise
+//
+template <typename F, typename Fn, typename U>
+struct slice_sampler_rfc_type {
+  F min_x, max_x;
+  const Fn& f;
+  U max_nfeval, nfeval;
+  slice_sampler_rfc_type(F min_x, F max_x, const Fn& f, U max_nfeval) 
+    : min_x(min_x), max_x(max_x), f(f), max_nfeval(max_nfeval), nfeval(0) { }
+    
+  F operator() (F x) {
+    if (min_x < x && x < max_x) {
+      assert(++nfeval <= max_nfeval);
+      F fx = f(x);
+      assert(std::isfinite(fx));
+      return fx;
+    }
+    else
+      return -std::numeric_limits<F>::infinity();
+  }
+};  // slice_sampler_rfc_type{}
+
+//! slice_sampler1d() implements the univariate "range doubling" slice sampler
+//! described in Neal (2003) "Slice Sampling", The Annals of Statistics 31(3), 705-767.
+//
+template <typename F, typename LogF, typename Uniform01>
+F slice_sampler1d(const LogF& logF0,               //!< log of function to sample
+		  F x,                             //!< starting point
+		  Uniform01& u01,                  //!< uniform [0,1) random number generator
+		  F min_x = -std::numeric_limits<F>::infinity(),  //!< minimum value of support
+		  F max_x = std::numeric_limits<F>::infinity(),   //!< maximum value of support
+		  F w = 0.0,                       //!< guess at initial width
+		  unsigned nsamples=1,             //!< number of samples to draw
+		  unsigned max_nfeval=200)         //!< max number of function evaluations
+{
+  typedef unsigned U;
+  slice_sampler_rfc_type<F,LogF,U> logF(min_x, max_x, logF0, max_nfeval);
+
+  assert(std::isfinite(x));
+
+  if (w <= 0.0) {                           // set w to a default width 
+    if (min_x > -std::numeric_limits<F>::infinity() && max_x < std::numeric_limits<F>::infinity())
+      w = (max_x - min_x)/4;
+    else
+      w = std::max(((x < 0.0) ? -x : x)/4, (F) 0.1);
+  }
+  assert(std::isfinite(w));
+
+  F logFx = logF(x);
+  for (U sample = 0; sample < nsamples; ++sample) {
+    F logY = logFx + log(u01()+1e-100);     //! slice logFx at this value
+    assert(std::isfinite(logY));
+
+    F xl = x - w*u01();                     //! lower bound on slice interval
+    F logFxl = logF(xl);
+    F xr = xl + w;                          //! upper bound on slice interval
+    F logFxr = logF(xr);
+
+    while (logY < logFxl || logY < logFxr)  // doubling procedure
+      if (u01() < 0.5) 
+	logFxl = logF(xl -= xr - xl);
+      else
+	logFxr = logF(xr += xr - xl);
+	
+    F xl1 = xl;
+    F xr1 = xr;
+    while (true) {                          // shrinking procedure
+      F x1 = xl1 + u01()*(xr1 - xl1);
+      if (logY < logF(x1)) {
+	F xl2 = xl;                         // acceptance procedure
+	F xr2 = xr; 
+	bool d = false;
+	while (xr2 - xl2 > 1.1*w) {
+	  F xm = (xl2 + xr2)/2;
+	  if ((x < xm && x1 >= xm) || (x >= xm && x1 < xm))
+	    d = true;
+	  if (x1 < xm)
+	    xr2 = xm;
+	  else
+	    xl2 = xm;
+	  if (d && logY >= logF(xl2) && logY >= logF(xr2))
+	    goto unacceptable;
+	}
+	x = x1;
+	goto acceptable;
+      }
+      goto acceptable;
+    unacceptable:
+      if (x1 < x)                           // rest of shrinking procedure
+	xl1 = x1;
+      else 
+	xr1 = x1;
+    }
+  acceptable:
+    w = (4*w + (xr1 - xl1))/5;              // update width estimate
+  }
+  return x;
+}
+
+/*
+//! slice_sampler1d() implements a 1-d MCMC slice sampler.
+//! It should be correct for unimodal distributions, but
+//! not for multimodal ones.
+//
+template <typename F, typename LogP, typename Uniform01>
+F slice_sampler1d(const LogP& logP,     //!< log of distribution to sample
+		  F x,                  //!< initial sample
+		  Uniform01& u01,       //!< uniform random number generator
+		  F min_x = -std::numeric_limits<F>::infinity(),  //!< minimum value of support
+		  F max_x = std::numeric_limits<F>::infinity(),   //!< maximum value of support
+		  F w = 0.0,            //!< guess at initial width
+		  unsigned nsamples=1,  //!< number of samples to draw
+		  unsigned max_nfeval=200)  //!< max number of function evaluations
+{
+  typedef unsigned U;
+  assert(std::isfinite(x));
+  if (w <= 0.0) {
+    if (min_x > -std::numeric_limits<F>::infinity() && max_x < std::numeric_limits<F>::infinity())
+      w = (max_x - min_x)/4;
+    else
+      w = std::max(((x < 0.0) ? -x : x)/4, 0.1);
+  }
+  // TRACE4(x, min_x, max_x, w);
+  F logPx = logP(x);
+  assert(std::isfinite(logPx));
+  U nfeval = 1;
+  for (U sample = 0; sample < nsamples; ++sample) {
+    F x0 = x;
+    F logU = logPx + log(u01()+1e-100);
+    assert(std::isfinite(logU));
+    F r = u01();
+    F xl = std::max(min_x, x - r*w);
+    F xr = std::min(max_x, x + (1-r)*w);
+    // TRACE3(x, logPx, logU);
+    while (xl > min_x && logP(xl) > logU) {
+      xl -= w;
+      w *= 2;
+      ++nfeval;
+      if (nfeval >= max_nfeval)
+	std::cerr << "## Error: nfeval = " << nfeval << ", max_nfeval = " << max_nfeval << ", sample = " << sample << ", nsamples = " << nsamples << ", r = " << r << ", w = " << w << ", xl = " << xl << std::endl;
+      assert(nfeval < max_nfeval);
+    }
+    xl = std::max(xl, min_x);
+    while (xr < max_x && logP(xr) > logU) {
+      xr += w;
+      w *= 2;
+      ++nfeval;
+      if (nfeval >= max_nfeval)
+	std::cerr << "## Error: nfeval = " << nfeval << ", max_nfeval = " << max_nfeval << ", sample = " << sample << ", nsamples = " << nsamples << ", r = " << r << ", w = " << w << ", xr = " << xr << std::endl;
+      assert(nfeval < max_nfeval);
+    }
+    xr = std::min(xr, max_x);
+    while (true) {
+      r = u01();
+      x = r*xl + (1-r)*xr;
+      assert(std::isfinite(x));
+      logPx = logP(x);
+      // TRACE4(logPx, x, xl, xr);
+      assert(std::isfinite(logPx));
+      ++nfeval;
+      if (nfeval >= max_nfeval)
+	std::cerr << "## Error: nfeval = " << nfeval << ", max_nfeval = " << max_nfeval << ", sample = " << sample << ", nsamples = " << nsamples << ", r = " << r << ", w = " << w << ", xl = " << xl << ", xr = " << xr << ", x = " << x << std::endl;
+      assert(nfeval < max_nfeval);
+      if (logPx > logU)
+        break;
+      else if (x > x0)
+          xr = x;
+        else
+          xl = x;
+    }
+    // w = (4*w + (xr-xl))/5;   // gradually adjust w
+  }
+  // TRACE2(logPx, x);
+  return x;
+}  // slice_sampler1d()
+*/
+
+#endif  // SLICE_SAMPLER_H