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RooStats::MetropolisHastings Class Reference

This class uses the Metropolis-Hastings algorithm to construct a Markov Chain of data points using Monte Carlo.

In the main algorithm, new points in the parameter space are proposed and then visited based on their relative likelihoods. This class can use any implementation of the ProposalFunction, including non-symmetric proposal functions, to propose parameter points and still maintain detailed balance when constructing the chain.

The "Likelihood" function that is sampled when deciding what steps to take in the chain has been given a very generic implementation. The user can create any RooAbsReal based on the parameters and pass it to a MetropolisHastings object with the method SetFunction(RooAbsReal&). Be sure to tell MetropolisHastings whether your RooAbsReal is on a (+/-) regular or log scale, so that it knows what logic to use when sampling your RooAbsReal. For example, a common use is to sample from a -log(Likelihood) distribution (NLL), for which the appropriate configuration calls are SetType(MetropolisHastings::kLog); SetSign(MetropolisHastings::kNegative); If you're using a traditional likelihood function: SetType(MetropolisHastings::kRegular); SetSign(MetropolisHastings::kPositive); You must set these type and sign flags or MetropolisHastings will not construct a MarkovChain.

Also note that in ConstructChain(), the values of the variables are randomized uniformly over their intervals before construction of the MarkovChain begins.

Definition at line 24 of file MetropolisHastings.h.

Public Types

enum  FunctionSign { kNegative , kPositive , kSignUnset }
 
enum  FunctionType { kRegular , kLog , kTypeUnset }
 
- Public Types inherited from TObject
enum  {
  kIsOnHeap = 0x01000000 , kNotDeleted = 0x02000000 , kZombie = 0x04000000 , kInconsistent = 0x08000000 ,
  kBitMask = 0x00ffffff
}
 
enum  { kSingleKey = (1ULL << ( 0 )) , kOverwrite = (1ULL << ( 1 )) , kWriteDelete = (1ULL << ( 2 )) }
 
enum  EDeprecatedStatusBits { kObjInCanvas = (1ULL << ( 3 )) }
 
enum  EStatusBits {
  kCanDelete = (1ULL << ( 0 )) , kMustCleanup = (1ULL << ( 3 )) , kIsReferenced = (1ULL << ( 4 )) , kHasUUID = (1ULL << ( 5 )) ,
  kCannotPick = (1ULL << ( 6 )) , kNoContextMenu = (1ULL << ( 8 )) , kInvalidObject = (1ULL << ( 13 ))
}
 

Public Member Functions

 MetropolisHastings ()=default
 default constructor
 
 MetropolisHastings (RooAbsReal &function, const RooArgSet &paramsOfInterest, ProposalFunction &proposalFunction, Int_t numIters)
 alternate constructor
 
virtual MarkovChainConstructChain ()
 main purpose of MetropolisHastings - run Metropolis-Hastings algorithm to generate Markov Chain of points in the parameter space
 
TClassIsA () const override
 
virtual void SetChainParameters (const RooArgSet &set)
 specify the parameters to store in the chain if not specified all of them will be stored
 
virtual void SetFunction (RooAbsReal &function)
 set the (likelihood) function
 
virtual void SetNumBurnInSteps (Int_t numBurnInSteps)
 set the number of steps in the chain to discard as burn-in, starting from the first
 
virtual void SetNumIters (Int_t numIters)
 set the number of iterations to run the metropolis algorithm
 
virtual void SetParameters (const RooArgSet &set)
 specify all the parameters of interest in the interval
 
virtual void SetProposalFunction (ProposalFunction &proposalFunction)
 set the proposal function for suggesting new points for the MCMC
 
virtual void SetSign (enum FunctionSign sign)
 set the sign of the function
 
virtual void SetType (enum FunctionType type)
 set the type of the function
 
void Streamer (TBuffer &) override
 Stream an object of class TObject.
 
void StreamerNVirtual (TBuffer &ClassDef_StreamerNVirtual_b)
 
- Public Member Functions inherited from TObject
 TObject ()
 TObject constructor.
 
 TObject (const TObject &object)
 TObject copy ctor.
 
virtual ~TObject ()
 TObject destructor.
 
void AbstractMethod (const char *method) const
 Use this method to implement an "abstract" method that you don't want to leave purely abstract.
 
virtual void AppendPad (Option_t *option="")
 Append graphics object to current pad.
 
virtual void Browse (TBrowser *b)
 Browse object. May be overridden for another default action.
 
ULong_t CheckedHash ()
 Check and record whether this class has a consistent Hash/RecursiveRemove setup (*) and then return the regular Hash value for this object.
 
virtual const char * ClassName () const
 Returns name of class to which the object belongs.
 
virtual void Clear (Option_t *="")
 
virtual TObjectClone (const char *newname="") const
 Make a clone of an object using the Streamer facility.
 
virtual Int_t Compare (const TObject *obj) const
 Compare abstract method.
 
virtual void Copy (TObject &object) const
 Copy this to obj.
 
virtual void Delete (Option_t *option="")
 Delete this object.
 
virtual Int_t DistancetoPrimitive (Int_t px, Int_t py)
 Computes distance from point (px,py) to the object.
 
virtual void Draw (Option_t *option="")
 Default Draw method for all objects.
 
virtual void DrawClass () const
 Draw class inheritance tree of the class to which this object belongs.
 
virtual TObjectDrawClone (Option_t *option="") const
 Draw a clone of this object in the current selected pad with: gROOT->SetSelectedPad(c1).
 
virtual void Dump () const
 Dump contents of object on stdout.
 
virtual void Error (const char *method, const char *msgfmt,...) const
 Issue error message.
 
virtual void Execute (const char *method, const char *params, Int_t *error=nullptr)
 Execute method on this object with the given parameter string, e.g.
 
virtual void Execute (TMethod *method, TObjArray *params, Int_t *error=nullptr)
 Execute method on this object with parameters stored in the TObjArray.
 
virtual void ExecuteEvent (Int_t event, Int_t px, Int_t py)
 Execute action corresponding to an event at (px,py).
 
virtual void Fatal (const char *method, const char *msgfmt,...) const
 Issue fatal error message.
 
virtual TObjectFindObject (const char *name) const
 Must be redefined in derived classes.
 
virtual TObjectFindObject (const TObject *obj) const
 Must be redefined in derived classes.
 
virtual Option_tGetDrawOption () const
 Get option used by the graphics system to draw this object.
 
virtual const char * GetIconName () const
 Returns mime type name of object.
 
virtual const char * GetName () const
 Returns name of object.
 
virtual char * GetObjectInfo (Int_t px, Int_t py) const
 Returns string containing info about the object at position (px,py).
 
virtual Option_tGetOption () const
 
virtual const char * GetTitle () const
 Returns title of object.
 
virtual UInt_t GetUniqueID () const
 Return the unique object id.
 
virtual Bool_t HandleTimer (TTimer *timer)
 Execute action in response of a timer timing out.
 
virtual ULong_t Hash () const
 Return hash value for this object.
 
Bool_t HasInconsistentHash () const
 Return true is the type of this object is known to have an inconsistent setup for Hash and RecursiveRemove (i.e.
 
virtual void Info (const char *method, const char *msgfmt,...) const
 Issue info message.
 
virtual Bool_t InheritsFrom (const char *classname) const
 Returns kTRUE if object inherits from class "classname".
 
virtual Bool_t InheritsFrom (const TClass *cl) const
 Returns kTRUE if object inherits from TClass cl.
 
virtual void Inspect () const
 Dump contents of this object in a graphics canvas.
 
void InvertBit (UInt_t f)
 
Bool_t IsDestructed () const
 IsDestructed.
 
virtual Bool_t IsEqual (const TObject *obj) const
 Default equal comparison (objects are equal if they have the same address in memory).
 
virtual Bool_t IsFolder () const
 Returns kTRUE in case object contains browsable objects (like containers or lists of other objects).
 
R__ALWAYS_INLINE Bool_t IsOnHeap () const
 
virtual Bool_t IsSortable () const
 
R__ALWAYS_INLINE Bool_t IsZombie () const
 
virtual void ls (Option_t *option="") const
 The ls function lists the contents of a class on stdout.
 
void MayNotUse (const char *method) const
 Use this method to signal that a method (defined in a base class) may not be called in a derived class (in principle against good design since a child class should not provide less functionality than its parent, however, sometimes it is necessary).
 
virtual Bool_t Notify ()
 This method must be overridden to handle object notification (the base implementation is no-op).
 
void Obsolete (const char *method, const char *asOfVers, const char *removedFromVers) const
 Use this method to declare a method obsolete.
 
void operator delete (void *ptr)
 Operator delete.
 
void operator delete[] (void *ptr)
 Operator delete [].
 
void * operator new (size_t sz)
 
void * operator new (size_t sz, void *vp)
 
void * operator new[] (size_t sz)
 
void * operator new[] (size_t sz, void *vp)
 
TObjectoperator= (const TObject &rhs)
 TObject assignment operator.
 
virtual void Paint (Option_t *option="")
 This method must be overridden if a class wants to paint itself.
 
virtual void Pop ()
 Pop on object drawn in a pad to the top of the display list.
 
virtual void Print (Option_t *option="") const
 This method must be overridden when a class wants to print itself.
 
virtual Int_t Read (const char *name)
 Read contents of object with specified name from the current directory.
 
virtual void RecursiveRemove (TObject *obj)
 Recursively remove this object from a list.
 
void ResetBit (UInt_t f)
 
virtual void SaveAs (const char *filename="", Option_t *option="") const
 Save this object in the file specified by filename.
 
virtual void SavePrimitive (std::ostream &out, Option_t *option="")
 Save a primitive as a C++ statement(s) on output stream "out".
 
void SetBit (UInt_t f)
 
void SetBit (UInt_t f, Bool_t set)
 Set or unset the user status bits as specified in f.
 
virtual void SetDrawOption (Option_t *option="")
 Set drawing option for object.
 
virtual void SetUniqueID (UInt_t uid)
 Set the unique object id.
 
void StreamerNVirtual (TBuffer &ClassDef_StreamerNVirtual_b)
 
virtual void SysError (const char *method, const char *msgfmt,...) const
 Issue system error message.
 
R__ALWAYS_INLINE Bool_t TestBit (UInt_t f) const
 
Int_t TestBits (UInt_t f) const
 
virtual void UseCurrentStyle ()
 Set current style settings in this object This function is called when either TCanvas::UseCurrentStyle or TROOT::ForceStyle have been invoked.
 
virtual void Warning (const char *method, const char *msgfmt,...) const
 Issue warning message.
 
virtual Int_t Write (const char *name=nullptr, Int_t option=0, Int_t bufsize=0)
 Write this object to the current directory.
 
virtual Int_t Write (const char *name=nullptr, Int_t option=0, Int_t bufsize=0) const
 Write this object to the current directory.
 

Static Public Member Functions

static TClassClass ()
 
static const char * Class_Name ()
 
static constexpr Version_t Class_Version ()
 
static const char * DeclFileName ()
 
- Static Public Member Functions inherited from TObject
static TClassClass ()
 
static const char * Class_Name ()
 
static constexpr Version_t Class_Version ()
 
static const char * DeclFileName ()
 
static Longptr_t GetDtorOnly ()
 Return destructor only flag.
 
static Bool_t GetObjectStat ()
 Get status of object stat flag.
 
static void SetDtorOnly (void *obj)
 Set destructor only flag.
 
static void SetObjectStat (Bool_t stat)
 Turn on/off tracking of objects in the TObjectTable.
 

Protected Member Functions

virtual double CalcNLL (double xL)
 
virtual bool ShouldTakeStep (double d)
 
- Protected Member Functions inherited from TObject
virtual void DoError (int level, const char *location, const char *fmt, va_list va) const
 Interface to ErrorHandler (protected).
 
void MakeZombie ()
 

Protected Attributes

RooArgSet fChainParams
 RooRealVars that are stored in the chain.
 
RooAbsRealfFunction = nullptr
 function that will generate likelihood values
 
Int_t fNumBurnInSteps = 0
 number of iterations to discard as burn-in, starting from the first
 
Int_t fNumIters = 0
 number of iterations to run metropolis algorithm
 
RooArgSet fParameters
 RooRealVars that define all parameter space.
 
ProposalFunctionfPropFunc = nullptr
 Proposal function for MCMC integration.
 
enum FunctionSign fSign = kSignUnset
 whether the likelihood is negative (like NLL) or positive
 
enum FunctionType fType = kTypeUnset
 whether the likelihood is on a regular, log, (or other) scale
 

Additional Inherited Members

- Protected Types inherited from TObject
enum  { kOnlyPrepStep = (1ULL << ( 3 )) }
 

#include <RooStats/MetropolisHastings.h>

Inheritance diagram for RooStats::MetropolisHastings:
[legend]

Member Enumeration Documentation

◆ FunctionSign

Enumerator
kNegative 
kPositive 
kSignUnset 

Definition at line 28 of file MetropolisHastings.h.

◆ FunctionType

Enumerator
kRegular 
kLog 
kTypeUnset 

Definition at line 29 of file MetropolisHastings.h.

Constructor & Destructor Documentation

◆ MetropolisHastings() [1/2]

RooStats::MetropolisHastings::MetropolisHastings ( )
default

default constructor

◆ MetropolisHastings() [2/2]

MetropolisHastings::MetropolisHastings ( RooAbsReal function,
const RooArgSet paramsOfInterest,
ProposalFunction proposalFunction,
Int_t  numIters 
)

alternate constructor

Definition at line 68 of file MetropolisHastings.cxx.

Member Function Documentation

◆ CalcNLL()

double MetropolisHastings::CalcNLL ( double  xL)
protectedvirtual

Definition at line 288 of file MetropolisHastings.cxx.

◆ Class()

static TClass * RooStats::MetropolisHastings::Class ( )
static
Returns
TClass describing this class

◆ Class_Name()

static const char * RooStats::MetropolisHastings::Class_Name ( )
static
Returns
Name of this class

◆ Class_Version()

static constexpr Version_t RooStats::MetropolisHastings::Class_Version ( )
inlinestaticconstexpr
Returns
Version of this class

Definition at line 81 of file MetropolisHastings.h.

◆ ConstructChain()

MarkovChain * MetropolisHastings::ConstructChain ( )
virtual

main purpose of MetropolisHastings - run Metropolis-Hastings algorithm to generate Markov Chain of points in the parameter space

Definition at line 78 of file MetropolisHastings.cxx.

◆ DeclFileName()

static const char * RooStats::MetropolisHastings::DeclFileName ( )
inlinestatic
Returns
Name of the file containing the class declaration

Definition at line 81 of file MetropolisHastings.h.

◆ IsA()

TClass * RooStats::MetropolisHastings::IsA ( ) const
inlineoverridevirtual
Returns
TClass describing current object

Reimplemented from TObject.

Definition at line 81 of file MetropolisHastings.h.

◆ SetChainParameters()

virtual void RooStats::MetropolisHastings::SetChainParameters ( const RooArgSet set)
inlinevirtual

specify the parameters to store in the chain if not specified all of them will be stored

Definition at line 44 of file MetropolisHastings.h.

◆ SetFunction()

virtual void RooStats::MetropolisHastings::SetFunction ( RooAbsReal function)
inlinevirtual

set the (likelihood) function

Definition at line 60 of file MetropolisHastings.h.

◆ SetNumBurnInSteps()

virtual void RooStats::MetropolisHastings::SetNumBurnInSteps ( Int_t  numBurnInSteps)
inlinevirtual

set the number of steps in the chain to discard as burn-in, starting from the first

Definition at line 57 of file MetropolisHastings.h.

◆ SetNumIters()

virtual void RooStats::MetropolisHastings::SetNumIters ( Int_t  numIters)
inlinevirtual

set the number of iterations to run the metropolis algorithm

Definition at line 53 of file MetropolisHastings.h.

◆ SetParameters()

virtual void RooStats::MetropolisHastings::SetParameters ( const RooArgSet set)
inlinevirtual

specify all the parameters of interest in the interval

Definition at line 47 of file MetropolisHastings.h.

◆ SetProposalFunction()

virtual void RooStats::MetropolisHastings::SetProposalFunction ( ProposalFunction proposalFunction)
inlinevirtual

set the proposal function for suggesting new points for the MCMC

Definition at line 50 of file MetropolisHastings.h.

◆ SetSign()

virtual void RooStats::MetropolisHastings::SetSign ( enum FunctionSign  sign)
inlinevirtual

set the sign of the function

Definition at line 62 of file MetropolisHastings.h.

◆ SetType()

virtual void RooStats::MetropolisHastings::SetType ( enum FunctionType  type)
inlinevirtual

set the type of the function

Definition at line 64 of file MetropolisHastings.h.

◆ ShouldTakeStep()

bool MetropolisHastings::ShouldTakeStep ( double  d)
protectedvirtual

Definition at line 251 of file MetropolisHastings.cxx.

◆ Streamer()

void RooStats::MetropolisHastings::Streamer ( TBuffer R__b)
overridevirtual

Stream an object of class TObject.

Reimplemented from TObject.

◆ StreamerNVirtual()

void RooStats::MetropolisHastings::StreamerNVirtual ( TBuffer ClassDef_StreamerNVirtual_b)
inline

Definition at line 81 of file MetropolisHastings.h.

Member Data Documentation

◆ fChainParams

RooArgSet RooStats::MetropolisHastings::fChainParams
protected

RooRealVars that are stored in the chain.

Definition at line 70 of file MetropolisHastings.h.

◆ fFunction

RooAbsReal* RooStats::MetropolisHastings::fFunction = nullptr
protected

function that will generate likelihood values

Definition at line 68 of file MetropolisHastings.h.

◆ fNumBurnInSteps

Int_t RooStats::MetropolisHastings::fNumBurnInSteps = 0
protected

number of iterations to discard as burn-in, starting from the first

Definition at line 73 of file MetropolisHastings.h.

◆ fNumIters

Int_t RooStats::MetropolisHastings::fNumIters = 0
protected

number of iterations to run metropolis algorithm

Definition at line 72 of file MetropolisHastings.h.

◆ fParameters

RooArgSet RooStats::MetropolisHastings::fParameters
protected

RooRealVars that define all parameter space.

Definition at line 69 of file MetropolisHastings.h.

◆ fPropFunc

ProposalFunction* RooStats::MetropolisHastings::fPropFunc = nullptr
protected

Proposal function for MCMC integration.

Definition at line 71 of file MetropolisHastings.h.

◆ fSign

enum FunctionSign RooStats::MetropolisHastings::fSign = kSignUnset
protected

whether the likelihood is negative (like NLL) or positive

Definition at line 74 of file MetropolisHastings.h.

◆ fType

enum FunctionType RooStats::MetropolisHastings::fType = kTypeUnset
protected

whether the likelihood is on a regular, log, (or other) scale

Definition at line 75 of file MetropolisHastings.h.

Libraries for RooStats::MetropolisHastings:

The documentation for this class was generated from the following files: