metropolisHastingsSampler.hpp

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#ifndef MONTECARLO_DGL_METROPOLISHASTINGSSAMPLER_HPP
#define MONTECARLO_DGL_METROPOLISHASTINGSSAMPLER_HPP
 
#include "../domains/integration_domain.hpp"
#include "../geometry.hpp"
 
#include <array>
#include <random>
#include <utility>
#include <functional>
 
namespace mc{
namespace mcmc{
 
 
template <size_t dim>
class MetropolisHastingsSampler
{
public:
    explicit MetropolisHastingsSampler(const mc::domains::IntegrationDomain<dim>& d,
                                       const std::function<double(const mc::geom::Point<dim>&)>& p,
                                       mc::geom::Point<dim> x0,
                                       double deviation);
 
    mc::geom::Point<dim> next(std::mt19937& rng);
 
    double target_pdf(const mc::geom::Point<dim>& x);
 
    double acceptance_rate() const;
 
private:
    const mc::domains::IntegrationDomain<dim>& domain;
 
    std::function<double(const mc::geom::Point<dim>&)> target;
 
    mc::geom::Point<dim> current;
 
    std::size_t n_steps = 0;
    std::size_t n_accept = 0;
 
    std::normal_distribution<double> rw_normal;
    std::uniform_real_distribution<double> uni;
};
 
} //namespace mcmc
} //namespace mc
 
#include "metropolisHastingsSampler.tpp"
 
#endif //MONTECARLO_DGL_METROPOLISHASTINGSSAMPLER_HPP