metropoliswalker.h

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/*

  This file is a part of MeanWalker, a library which provides utilities to
  sample from probability distributions using methods like the 
  Metropilis-Hastings algorithm and Goodman-Weare algorithm.

  Copyright (C) 2012 Jori Liesenborgs

  Contact: jori.liesenborgs@gmail.com
  
  This program 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.
  
  This program 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 this program; if not, write to the Free Software
  Foundation, Inc., 51 Franklin St, Fifth Floor, Boston, MA  02110-1301  USA
  
*/

#ifndef MEANWALKER_METROPOLISWALKER_H

#define MEANWALKER_METROPOLISWALKER_H

#include "meanwalkerconfig.h"
#include "walker.h"
#include <errut/errorbase.h>
#include <vector>

namespace meanwalker
{

class RandomNumberGenerator;

class MEANWALKER_IMPORTEXPORT MetropolisWalker : public Walker
{
public:
        MetropolisWalker(RandomNumberGenerator *pRndGen);
        ~MetropolisWalker();

        bool init(Function *pProbFunction, const double *pMinCoords, const double *pMaxCoords, const double *pStartCoords, 
                  bool keepInside = true);

        void setNewStartCoordinates(double *pStartCoords);

        void walk(size_t numSteps);
        const double *getBestCoordinates() const                                                        { return &(m_bestCoords[0]); }
protected:
        virtual void stepToNewCoords(const double *pCurCoords, double *pNewCoords);
private:
        std::vector<double> m_minCoords, m_maxCoords;
        std::vector<double> m_coords, m_tryCoords;
        std::vector<double> m_stepScale;
        std::vector<double> m_bestCoords;
        bool m_keepInside;
};

} // end namespace   

#endif // MEANWALKER_METROPOLISWALKER_H