MALA.hpp

Go to the documentation of this file.

 
#pragma once
 
#include "U_sampler.hpp"

class MALA : public U_sampler {
 
private:
  double epsilon = 1.0;

  double old_epsilon = 1.0;

  double grad_log_conditional_density_U(double U) const;

  double grad_log_conditional_density_V(double v) const;

  bool accept = false;

  void sampling_U();

  void sampling_V();

  bool use_V = false;

  bool tuning_enabled = false;

  void Robbins_Monro_tuning();

  int BI_adapt = 5 / (0.574 * (1 - 0.574));
 
public:
  MALA(Params &p, Data &d, bool use_V = false, double eps = 1,
       bool tuning = false)
      : U_sampler(p, d), epsilon(eps), old_epsilon(epsilon),
        tuning_enabled(tuning) {};

  void update_U() override;
};