File langevin_walk.hpp

struct UnderdampedLangevinWalk

template<typename NT, typename OracleFunctor> struct parameters

Public Functions

inline parameters(OracleFunctor const &F, unsigned int dim, NT epsilon_ = 1e-4)

Public Members

NT epsilon

NT eta

NT u

template<typename Point, typename Polytope, typename RandomNumberGenerator, typename NegativeGradientFunctor, typename NegativeLogprobFunctor, typename Solver_> struct Walk

Public Types

typedef std::vector<Point> pts

typedef Point::FT NT

typedef std::vector<Polytope*> bounds

typedef RandomizedMipointSDESolver<Point, NT, Polytope, NegativeGradientFunctor, RandomNumberGenerator> Solver

Public Functions

inline Walk(Polytope *P, Point &initial_x, NegativeGradientFunctor &neg_grad_f, NegativeLogprobFunctor &neg_logprob_f, parameters<NT, NegativeGradientFunctor> &param)

inline void apply(RandomNumberGenerator &rng, int walk_length = 1, bool metropolis_filter = false)

inline NT hamiltonian(Point &pos, Point &vel) const

inline void disable_adaptive()

inline void enable_adaptive()

Public Members

parameters<NT, NegativeGradientFunctor> &params

Solver *solver

unsigned int dim

Point x

Point v

Point x_tilde

Point v_tilde

NegativeGradientFunctor &F

NegativeLogprobFunctor &f

NT H_tilde

NT H

NT log_prob

NT u_logprob