proposal.hpp

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#ifndef VMCMC_PROPOSAL_H_
#define VMCMC_PROPOSAL_H_

#include <vmcmc/blas.hpp>
#include <vmcmc/parameter.hpp>
#include <vmcmc/sample.hpp>
#include <vmcmc/random.hpp>

namespace vmcmc
{

class Proposal
{
public:
    Proposal() { }
    virtual ~Proposal() { }

    virtual Proposal* Clone() const = 0;

    virtual double Transition(const Vector& s1, Vector& s2) = 0;

    double Transition(const Sample& s1, Sample& s2) { return Transition(s1.Values(), s2.Values()); }

    virtual void UpdateParameterConfig(const ParameterConfig& /*paramConfig*/) { };
};


template <typename DistributionT>
class ProposalDistribution : public Proposal
{
public:
    ProposalDistribution(DistributionT&& dist = DistributionT()) :
        fDistribution( std::forward<DistributionT>(dist) ),
        fCholeskyDecomp( ublas::identity_matrix<double>() )
    { }
    virtual ~ProposalDistribution() { }

    double Transition(const Vector& s1, Vector& s2) override;
    using Proposal::Transition;

    void UpdateParameterConfig(const ParameterConfig& paramConfig) override;

    const MatrixLower& GetCholeskyDecomp() const { return fCholeskyDecomp; }

protected:
    DistributionT fDistribution;
    MatrixLower fCholeskyDecomp;
};

class ProposalNormal : public ProposalDistribution< std::normal_distribution<double> >
{
public:
    ProposalNormal() { }
    virtual ~ProposalNormal() { }

    virtual ProposalNormal* Clone() const override { return new ProposalNormal(*this); }
};

class ProposalStudentT : public ProposalDistribution< std::student_t_distribution<double> >
{
public:
    ProposalStudentT(double dof = 1.0) :
        ProposalDistribution(std::student_t_distribution<double>(dof)) { }
    virtual ~ProposalStudentT() { }

    virtual ProposalStudentT* Clone() const override { return new ProposalStudentT(*this); }

    void SetDOF(double n = 1.0) { fDistribution = std::student_t_distribution<double>(n); }
    double GetDOF() const { return fDistribution.n(); }
};

} /* namespace vmcmc */

#endif /* VMCMC_PROPOSAL_H_ */