StandardBayesianMCMCDemo.C

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// Standard demo of the Bayesian MCMC calculator

/*

Author: Kyle Cranmer
date: Dec. 2010
updated: July 2011 for 1-sided upper limit and SequentialProposalFunction

This is a standard demo that can be used with any ROOT file
prepared in the standard way.  You specify:
 - name for input ROOT file
 - name of workspace inside ROOT file that holds model and data
 - name of ModelConfig that specifies details for calculator tools
 - name of dataset

With default parameters the macro will attempt to run the
standard hist2workspace example and read the ROOT file
that it produces.

The actual heart of the demo is only about 10 lines long.

The MCMCCalculator is a Bayesian tool that uses
the Metropolis-Hastings algorithm to efficiently integrate
in many dimensions.  It is not as accurate as the BayesianCalculator
for simple problems, but it scales to much more complicated cases.
*/

#include "TFile.h"
#include "TROOT.h"
#include "TCanvas.h"
#include "TMath.h"
#include "TSystem.h"
#include "RooWorkspace.h"
#include "RooAbsData.h"

#include "RooStats/ModelConfig.h"
#include "RooStats/MCMCCalculator.h"
#include "RooStats/MCMCInterval.h"
#include "RooStats/MCMCIntervalPlot.h"
#include "RooStats/SequentialProposal.h"
#include "RooStats/ProposalHelper.h"
#include "RooStats/ProposalHelper.h"
#include "RooFitResult.h"


using namespace RooFit;
using namespace RooStats;

int intervalType = 2;          // type of interval (0 is shortest, 1 central, 2 upper limit)
double   maxPOI = -999;        // force a different value of POI for doing the scan (default is given value)


void StandardBayesianMCMCDemo(const char* infile = "",
                              const char* workspaceName = "combined",
                              const char* modelConfigName = "ModelConfig",
                              const char* dataName = "obsData"){

  /////////////////////////////////////////////////////////////
  // First part is just to access a user-defined file
  // or create the standard example file if it doesn't exist
  ////////////////////////////////////////////////////////////

   

   const char* filename = "";
   if (!strcmp(infile,"")) {
      filename = "results/example_combined_GaussExample_model.root";
      bool fileExist = !gSystem->AccessPathName(filename); // note opposite return code
      // if file does not exists generate with histfactory
      if (!fileExist) {
#ifdef _WIN32
         cout << "HistFactory file cannot be generated on Windows - exit" << endl;
         return;
#endif
         // Normally this would be run on the command line
         cout <<"will run standard hist2workspace example"<<endl;
         gROOT->ProcessLine(".! prepareHistFactory .");
         gROOT->ProcessLine(".! hist2workspace config/example.xml");
         cout <<"\n\n---------------------"<<endl;
         cout <<"Done creating example input"<<endl;
         cout <<"---------------------\n\n"<<endl;
      }

   }
   else
      filename = infile;

   // Try to open the file
   TFile *file = TFile::Open(filename);

   // if input file was specified byt not found, quit
   if(!file ){
      cout <<"StandardRooStatsDemoMacro: Input file " << filename << " is not found" << endl;
      return;
   }



  /////////////////////////////////////////////////////////////
  // Tutorial starts here
  ////////////////////////////////////////////////////////////

  // get the workspace out of the file
  RooWorkspace* w = (RooWorkspace*) file->Get(workspaceName);
  if(!w){
    cout <<"workspace not found" << endl;
    return;
  }

  // get the modelConfig out of the file
  ModelConfig* mc = (ModelConfig*) w->obj(modelConfigName);

  // get the modelConfig out of the file
  RooAbsData* data = w->data(dataName);

  // make sure ingredients are found
  if(!data || !mc){
    w->Print();
    cout << "data or ModelConfig was not found" <<endl;
    return;
  }

  // Want an efficient proposal function
  // default is uniform.

  /*
  // this one is based on the covariance matrix of fit
  RooFitResult* fit = mc->GetPdf()->fitTo(*data,Save());
  ProposalHelper ph;
  ph.SetVariables((RooArgSet&)fit->floatParsFinal());
  ph.SetCovMatrix(fit->covarianceMatrix());
  ph.SetUpdateProposalParameters(kTRUE); // auto-create mean vars and add mappings
  ph.SetCacheSize(100);
  ProposalFunction* pf = ph.GetProposalFunction();
  */

  // this proposal function seems fairly robust
  SequentialProposal sp(0.1);
  /////////////////////////////////////////////
  // create and use the MCMCCalculator
  // to find and plot the 95% credible interval
  // on the parameter of interest as specified
  // in the model config
  MCMCCalculator mcmc(*data,*mc);
  mcmc.SetConfidenceLevel(0.95); // 95% interval
  //  mcmc.SetProposalFunction(*pf);
  mcmc.SetProposalFunction(sp);
  mcmc.SetNumIters(1000000);         // Metropolis-Hastings algorithm iterations
  mcmc.SetNumBurnInSteps(50);       // first N steps to be ignored as burn-in

  // default is the shortest interval.  
  if (intervalType == 0)  mcmc.SetIntervalType(MCMCInterval::kShortest); // for shortest interval (not really needed)
  if (intervalType == 1)  mcmc.SetLeftSideTailFraction(0.5); // for central interval
  if (intervalType == 2)  mcmc.SetLeftSideTailFraction(0.); // for upper limit                                    

  RooRealVar* firstPOI = (RooRealVar*) mc->GetParametersOfInterest()->first();
  if (maxPOI != -999) 
     firstPOI->setMax(maxPOI);

  MCMCInterval* interval = mcmc.GetInterval();

  // make a plot
  //TCanvas* c1 =
  new TCanvas("IntervalPlot");
  MCMCIntervalPlot plot(*interval);
  plot.Draw();

  TCanvas* c2 = new TCanvas("extraPlots");
  const RooArgSet* list = mc->GetNuisanceParameters();
  if(list->getSize()>1){
    double n = list->getSize();
    int ny = TMath::CeilNint( sqrt(n) );
    int nx = TMath::CeilNint(double(n)/ny);
    c2->Divide( nx,ny);
  }

  // draw a scatter plot of chain results for poi vs each nuisance parameters
  TIterator* it = mc->GetNuisanceParameters()->createIterator();
  RooRealVar* nuis = NULL;
  int iPad=1; // iPad, that's funny
  while( (nuis = (RooRealVar*) it->Next() )){
    c2->cd(iPad++);
    plot.DrawChainScatter(*firstPOI,*nuis);
  }

  // print out the iterval on the first Parameter of Interest
  cout << "\n95% interval on " <<firstPOI->GetName()<<" is : ["<<
    interval->LowerLimit(*firstPOI) << ", "<<
    interval->UpperLimit(*firstPOI) <<"] "<<endl;

}