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 constructor

	MetropolisHastings (RooAbsReal &function, const RooArgSet &paramsOfInterest, ProposalFunction &proposalFunction, Int_t numIters)
	alternate constructor

	~MetropolisHastings () override

virtual MarkovChain *	ConstructChain ()
	main purpose of MetropolisHastings - run Metropolis-Hastings algorithm to generate Markov Chain of points in the parameter space

TClass *	IsA () 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 TObject *	Clone (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 TObject *	DrawClone (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 TObject *	FindObject (const char *name) const
	Must be redefined in derived classes.

virtual TObject *	FindObject (const TObject *obj) const
	Must be redefined in derived classes.

virtual Option_t *	GetDrawOption () 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_t *	GetOption () 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.

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)

TObject &	operator= (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 TClass *	Class ()

static const char *	Class_Name ()

static constexpr Version_t	Class_Version ()

static const char *	DeclFileName ()

Static Public Member Functions inherited from TObject
static TClass *	Class ()

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.

RooAbsReal *	fFunction
	function that will generate likelihood values

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

Int_t	fNumIters
	number of iterations to run metropolis algorithm

RooArgSet	fParameters
	RooRealVars that define all parameter space.

ProposalFunction *	fPropFunc
	Proposal function for MCMC integration.

enum FunctionSign	fSign
	whether the likelihood is negative (like NLL) or positive

enum FunctionType	fType
	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

enum RooStats::MetropolisHastings::FunctionSign

Enumerator
kNegative
kPositive
kSignUnset

Definition at line 28 of file MetropolisHastings.h.

◆ FunctionType

enum RooStats::MetropolisHastings::FunctionType

Enumerator
kRegular
kLog
kTypeUnset

Definition at line 29 of file MetropolisHastings.h.

Constructor & Destructor Documentation

◆ MetropolisHastings() [1/2]

MetropolisHastings::MetropolisHastings ( )

default constructor

Definition at line 68 of file MetropolisHastings.cxx.

◆ MetropolisHastings() [2/2]

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

alternate constructor

Definition at line 81 of file MetropolisHastings.cxx.

◆ ~MetropolisHastings()

RooStats::MetropolisHastings::~MetropolisHastings ( )

inlineoverride

Definition at line 38 of file MetropolisHastings.h.

Member Function Documentation

◆ CalcNLL()

double MetropolisHastings::CalcNLL ( double xL )

protectedvirtual

Definition at line 297 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 83 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 95 of file MetropolisHastings.cxx.

◆ DeclFileName()

static const char * RooStats::MetropolisHastings::DeclFileName ( )

inlinestatic

Returns: Name of the file containing the class declaration

Definition at line 83 of file MetropolisHastings.h.

◆ IsA()

TClass * RooStats::MetropolisHastings::IsA ( ) const

inlineoverridevirtual

Returns: TClass describing current object

Reimplemented from TObject.

Definition at line 83 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 46 of file MetropolisHastings.h.

◆ SetFunction()

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

inlinevirtual

set the (likelihood) function

Definition at line 62 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 59 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 55 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 49 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 52 of file MetropolisHastings.h.

◆ SetSign()

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

inlinevirtual

set the sign of the function

Definition at line 64 of file MetropolisHastings.h.

◆ SetType()

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

inlinevirtual

set the type of the function

Definition at line 66 of file MetropolisHastings.h.

◆ ShouldTakeStep()

bool MetropolisHastings::ShouldTakeStep ( double d )

protectedvirtual

Definition at line 262 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 83 of file MetropolisHastings.h.

Member Data Documentation

◆ fChainParams

RooArgSet RooStats::MetropolisHastings::fChainParams

protected

RooRealVars that are stored in the chain.

Definition at line 72 of file MetropolisHastings.h.

◆ fFunction

RooAbsReal* RooStats::MetropolisHastings::fFunction

protected

function that will generate likelihood values

Definition at line 70 of file MetropolisHastings.h.

◆ fNumBurnInSteps

Int_t RooStats::MetropolisHastings::fNumBurnInSteps

protected

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

Definition at line 75 of file MetropolisHastings.h.

◆ fNumIters

Int_t RooStats::MetropolisHastings::fNumIters

protected

number of iterations to run metropolis algorithm

Definition at line 74 of file MetropolisHastings.h.

◆ fParameters

RooArgSet RooStats::MetropolisHastings::fParameters

protected

RooRealVars that define all parameter space.

Definition at line 71 of file MetropolisHastings.h.

◆ fPropFunc

ProposalFunction* RooStats::MetropolisHastings::fPropFunc

protected

Proposal function for MCMC integration.

Definition at line 73 of file MetropolisHastings.h.

◆ fSign

enum FunctionSign RooStats::MetropolisHastings::fSign

protected

whether the likelihood is negative (like NLL) or positive

Definition at line 76 of file MetropolisHastings.h.

◆ fType

enum FunctionType RooStats::MetropolisHastings::fType

protected

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

Definition at line 77 of file MetropolisHastings.h.

Libraries for RooStats::MetropolisHastings:

[legend]

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

roofit/roostats/inc/RooStats/MetropolisHastings.h
roofit/roostats/src/MetropolisHastings.cxx

Public Types

Public Member Functions

Static Public Member Functions

Protected Member Functions

Protected Attributes

Additional Inherited Members

Member Enumeration Documentation

◆ FunctionSign

◆ FunctionType

Constructor & Destructor Documentation

◆ MetropolisHastings() [1/2]

◆ MetropolisHastings() [2/2]

◆ ~MetropolisHastings()

Member Function Documentation

◆ CalcNLL()

◆ Class()

◆ Class_Name()

◆ Class_Version()

◆ ConstructChain()

◆ DeclFileName()

◆ IsA()

◆ SetChainParameters()

◆ SetFunction()

◆ SetNumBurnInSteps()

◆ SetNumIters()

◆ SetParameters()

◆ SetProposalFunction()

◆ SetSign()

◆ SetType()

◆ ShouldTakeStep()

◆ Streamer()

◆ StreamerNVirtual()

Member Data Documentation

◆ fChainParams

◆ fFunction

◆ fNumBurnInSteps

◆ fNumIters

◆ fParameters

◆ fPropFunc

◆ fSign

◆ fType