Parameter object and adaptation

ChangeLog

@@ -1,4 +1,24 @@
-2017-08-04    <adam.johansen@gmail.com>
+2017-08-06  Leah South  <leah.south@hdr.qut.edu.au>
+
+	* inst/include/algParam.h: A base class to contain
+	additional algorithm parameters and virtual functions to
+	adapt them.
+	* inst/include/moveset.h: Changing the MCMC step to perform
+	multiple iterations within the library rather than on user end.
+	* inst/include/sampler.h: Adding an additional template
+	parameter for additional parameters and allowing for
+	optional adaptation at multiple points.
+
+	* src/LinReg.cpp: Boolean return for MCMC function and
+	setting MCMC repeats separately.
+	* src/LinReg.cpp: Idem.
+	* inst/include/LinReg.h: Idem.
+	* inst/include/LinReg_LA.h: Idem.
+
+	* src/RcppExports.cpp: Regenerated.
+	* R/RcppExports.R: Idem.
+
+2017-08-04  Adam M. Johansen  <adam.johansen@gmail.com>
 
 	* R/LinRegLA.R: Suppressing redundant call to data().
 	* R/LinReg.R: Idem.

R/RcppExports.R

@@ -2,26 +2,26 @@
 # Generator token: 10BE3573-1514-4C36-9D1C-5A225CD40393
 
 blockpfGaussianOpt_impl <- function(data, part, lag) {
-    .Call(`_RcppSMC_blockpfGaussianOpt_impl`, data, part, lag)
+    .Call('RcppSMC_blockpfGaussianOpt_impl', PACKAGE = 'RcppSMC', data, part, lag)
 }
 
-LinRegLA_impl <- function(Data, intemps, lNumber) {
-    .Call(`_RcppSMC_LinRegLA_impl`, Data, intemps, lNumber)
+LinReg_impl <- function(Data, lNumber) {
+    .Call('RcppSMC_LinReg_impl', PACKAGE = 'RcppSMC', Data, lNumber)
 }
 
-LinReg_impl <- function(Data, lNumber) {
-    .Call(`_RcppSMC_LinReg_impl`, Data, lNumber)
+LinRegLA_impl <- function(Data, intemps, lNumber) {
+    .Call('RcppSMC_LinRegLA_impl', PACKAGE = 'RcppSMC', Data, intemps, lNumber)
 }
 
 nonLinPMMH_impl <- function(data, lNumber, lMCMCits) {
-    .Call(`_RcppSMC_nonLinPMMH_impl`, data, lNumber, lMCMCits)
+    .Call('RcppSMC_nonLinPMMH_impl', PACKAGE = 'RcppSMC', data, lNumber, lMCMCits)
 }
 
 pfLineartBS_impl <- function(data, part, usef, fun) {
-    .Call(`_RcppSMC_pfLineartBS_impl`, data, part, usef, fun)
+    .Call('RcppSMC_pfLineartBS_impl', PACKAGE = 'RcppSMC', data, part, usef, fun)
 }
 
 pfNonlinBS_impl <- function(data, part) {
-    .Call(`_RcppSMC_pfNonlinBS_impl`, data, part)
+    .Call('RcppSMC_pfNonlinBS_impl', PACKAGE = 'RcppSMC', data, part)
 }
 

inst/include/LinReg.h

@@ -43,5 +43,5 @@ namespace LinReg {
     double logPosterior(long lTime, const rad_state & value);
     void fInitialise(rad_state & value, double & logweight);
     void fMove(long lTime, rad_state & value, double & logweight);
-    int fMCMC(long lTime, rad_state & value, double & logweight);
+    bool fMCMC(long lTime, rad_state & value, double & logweight);
 }

inst/include/LinReg_LA.h

@@ -48,7 +48,7 @@ namespace LinReg_LA {
 
     void fInitialise(rad_state & value, double & logweight);
     void fMove(long lTime, rad_state & value, double & logweight);
-    int fMCMC(long lTime, rad_state & value, double & logweight);
+    bool fMCMC(long lTime, rad_state & value, double & logweight);
 
     double integrand_ps(long,const rad_state &, void *);
     double width_ps(long, void *);

inst/include/algParam.h

@@ -0,0 +1,63 @@
+// -*- mode: C++; c-indent-level: 4; c-basic-offset: 4; indent-tabs-mode: nil; -*-
+//
+// algParam: A class that holds all of the algorithm parameters that can be adapted
+//
+// Copyright (C) 2017         Dirk Eddelbuettel, Adam Johansen and Leah South
+//
+// This file is part of RcppSMC.
+//
+// RcppSMC is free software: you can redistribute it and/or modify it
+// under the terms of the GNU General Public License as published by
+// the Free Software Foundation, either version 2 of the License, or
+// (at your option) any later version.
+//
+// RcppSMC is distributed in the hope that it will be useful, but
+// WITHOUT ANY WARRANTY; without even the implied warranty of
+// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+// GNU General Public License for more details.
+//
+// You should have received a copy of the GNU General Public License
+// along with RInside.  If not, see <http://www.gnu.org/licenses/>.
+
+
+//! \file
+//! \brief A base class containing algorithm parameters and virtual
+//! functions to adapt them.
+//!
+
+#ifndef __SMC_ALGPARAM_H
+#define __SMC_ALGPARAM_H 1.0
+
+#include <population.h>
+
+
+namespace smc {
+
+    /// A base class which contains the algorithm parameters and virtual functions to adapt them.
+    template <class Space, class Params> class algParam {
+
+    protected:
+        Params param;
+
+    public:
+
+        /// Free the workspace allocated for the algorithm parameters.
+        virtual ~algParam() {
+        }
+
+        /// Holder function for updates to be done before the move step.
+        virtual void updateForMove(const population<Space> & pop) {}
+
+        /// Holder function for updates to be done before the MCMC step.
+        virtual void updateForMCMC(const population<Space> & pop, double acceptProb, int nResampled, int & nRepeats) {}
+
+        /// Holder function for updates to be done at the end of each iteration.
+        virtual void updateEnd(const population<Space> & pop) {}
+
+        /// Returns the parameters.
+        const Params & GetParams(void) const {return param;}
+    };
+}
+
+
+#endif

inst/include/moveset.h

@@ -46,25 +46,25 @@ namespace smc {
         long (*pfMoveSelect)(long , const Space &, const double &);
         ///The functions which perform actual moves on a single particle.
         void (**pfMoves)(long, Space &, double &);
-        ///A Markov Chain Monte Carlo move for a single particle.
-        int (*pfMCMC)(long, Space &,double &);
+        ///One iteration of a Markov Chain Monte Carlo move for a single particle.
+        bool (*pfMCMC)(long, Space &,double &);
 
     public:
         ///Create a completely unspecified moveset
         moveset();
         ///Create a reduced moveset with a single move
         moveset(void (*pfInit)(Space &, double &),
         void (*pfNewMoves)(long, Space &,double &),
-        int (*pfNewMCMC)(long,Space &,double &));
+        bool (*pfNewMCMC)(long,Space &,double &));
         ///Create a fully specified moveset
         moveset(void (*pfInit)(Space &, double &),long (*pfMoveSelector)(long , const Space &, const double &), 
         long nMoves, void (**pfNewMoves)(long, Space &,double &),
-        int (*pfNewMCMC)(long,Space &, double &));
+        bool (*pfNewMCMC)(long,Space &, double &));
 
         ///Initialise the population of particles
         void DoInit(population<Space> & pFrom, long N);
         ///Perform an MCMC move on the particles
-        int DoMCMC(long lTime, population<Space> & pFrom, long N);
+        bool DoMCMC(long lTime, population<Space> & pFrom, long N, int nRepeats, int & nAccepted);
         ///Select an appropriate move at time lTime and apply it to pFrom
         void DoMove(long lTime, population<Space> & pFrom,long N);
 
@@ -78,7 +78,7 @@ namespace smc {
 
         /// \brief Set the MCMC function
         /// \param pfNewMCMC  The function which performs an MCMC move
-        void SetMCMCFunction(int (*pfNewMCMC)(long,Space &,double &)) {pfMCMC = pfNewMCMC;}
+        void SetMCMCFunction(bool (*pfNewMCMC)(long,Space &,double &)) {pfMCMC = pfNewMCMC;}
 
         /// \brief Set the move selection function
         /// \param pfMoveSelectNew returns the index of move to perform at the specified time given the specified particle
@@ -114,7 +114,7 @@ namespace smc {
     template <class Space>
     moveset<Space>::moveset(void (*pfInit)(Space &, double &),
     void (*pfNewMoves)(long, Space &,double &),
-    int (*pfNewMCMC)(long,Space &,double &))
+    bool (*pfNewMCMC)(long,Space &,double &))
     {
         SetInitialisor(pfInit);
         SetMoveSelectionFunction(NULL);
@@ -133,7 +133,7 @@ namespace smc {
     template <class Space>
     moveset<Space>::moveset(void (*pfInit)(Space &, double &),long (*pfMoveSelector)(long ,const Space &, const double &), 
     long nMoves, void (**pfNewMoves)(long, Space &,double &),
-    int (*pfNewMCMC)(long,Space &,double &))
+    bool (*pfNewMCMC)(long,Space &,double &))
     {
         SetInitialisor(pfInit);
         SetMoveSelectionFunction(pfMoveSelector);
@@ -157,16 +157,20 @@ namespace smc {
     }
 
     template <class Space>
-    int moveset<Space>::DoMCMC(long lTime, population<Space> & pFrom, long N)
-    {    if(pfMCMC) {
-            int count = 0;
-            for (long i=0; i<N; i++){
-                count += pfMCMC(lTime,pFrom.GetValueRefN(i),pFrom.GetLogWeightRefN(i));
+    bool moveset<Space>::DoMCMC(long lTime, population<Space> & pFrom, long N, int nRepeats, int & nAccepted)
+    {
+        if(pfMCMC && nRepeats>0) {
+            nAccepted = 0;
+            for (int j=0; j<nRepeats; j++){
+                for (long i=0; i<N; i++){
+                    nAccepted += pfMCMC(lTime,pFrom.GetValueRefN(i),pFrom.GetLogWeightRefN(i));
+                }
             }
-            return count;
+            return TRUE;
         }
         else {
-            return 0;
+            nAccepted = 0;
+            return FALSE; // an MCMC step was not performed because there was no user defined MCMC step or because the number of MCMC repeats was zero.
         }
     }