step_adapter.hpp

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#pragma once
#include <cstddef>
#include <cmath>
 
namespace ppl {
 
struct StepConfig
{
    double delta = 0.8;
    double gamma = 0.05;
    double t0 = 10.;
    double kappa = 0.75;
};
 
namespace mcmc {
 
struct StepAdapter
{
    StepAdapter(double _log_eps)
    {
        init(_log_eps);
    }
 
    void init(double _log_eps) 
    {
        log_eps = _log_eps;
        mu = mu_constant + log_eps;
    }
 
    void adapt(double alpha_ratio)
    {
        ++counter;
        alpha_ratio = (alpha_ratio > 1) ? 1 : alpha_ratio;
        const double adapt_ratio = 1./(counter + step_config.t0);
        H_bar = (1 - adapt_ratio) * H_bar + 
                adapt_ratio * (step_config.delta - alpha_ratio);
        log_eps = mu - std::sqrt(counter)/step_config.gamma * H_bar;
        const double m_ratio = std::pow(counter, -step_config.kappa);
        log_eps_bar = m_ratio * log_eps +
                      (1 - m_ratio) * log_eps_bar;
    }
 
    void reset() 
    {
        counter = 0;
        log_eps_bar = 0.;
        H_bar = 0.;
    }
 
    size_t counter = 0;
    double log_eps = 0.;
    double log_eps_bar = 0.;
    double H_bar = 0.;
    double mu = 0.;
    const double mu_constant = std::log(10);
    StepConfig step_config;
};
 
} // namespace mcmc
} // namespace ppl