Outcome of a likelihood-weighting (importance-sampling) pass. More...

#include "MonteCarloSampler.h"

Public Member Functions
double	evidence () const
	Marginal likelihood P(data): the mean raw importance weight.
double	effectiveSampleSize () const
	Effective sample size (Sum w)^2 / (Sum w^2); 0 when all weights are 0.

Public Attributes
std::vector< std::pair< double, double > >	particles
	(x, w) with w > 0.
double	weight_sum = 0.0
	Sum of w over all attempted draws.
double	weight_sq_sum = 0.0
	Sum of w^2 over all attempted draws.
unsigned	attempted = 0
	Number of prior draws.

Detailed Description

Outcome of a likelihood-weighting (importance-sampling) pass.

Latent-variable posterior inference draws latents from the prior via the forward recursion and weights each draw by the observed leaves' densities at the data (self-normalised importance sampling; the continuous generalisation of rejection conditioning, which is the 0/1-weight case).

particles holds one (x, w) pair per prior draw with positive weight (x = the queried root's value, w = the product of the evidence factors); the caller derives any weighted posterior statistic (mean, variance, quantile) from them. weight_sum / weight_sq_sum accumulate over all attempted draws (a zero-weight draw contributes 0), so evidence() is the marginal likelihood P(data) and effectiveSampleSize() the ESS diagnostic.

Definition at line 343 of file MonteCarloSampler.h.

Member Function Documentation

◆ effectiveSampleSize()

double provsql::WeightedPosterior::effectiveSampleSize ( ) const

inline

Effective sample size (Sum w)^2 / (Sum w^2); 0 when all weights are 0.

Definition at line 354 of file MonteCarloSampler.h.

◆ evidence()

double provsql::WeightedPosterior::evidence ( ) const

inline

Marginal likelihood P(data): the mean raw importance weight.

Definition at line 350 of file MonteCarloSampler.h.

Member Data Documentation

◆ attempted

unsigned provsql::WeightedPosterior::attempted = 0

Number of prior draws.

Definition at line 347 of file MonteCarloSampler.h.

◆ particles

std::vector<std::pair<double, double> > provsql::WeightedPosterior::particles

(x, w) with w > 0.

Definition at line 344 of file MonteCarloSampler.h.

◆ weight_sq_sum

double provsql::WeightedPosterior::weight_sq_sum = 0.0

Sum of w^2 over all attempted draws.

Definition at line 346 of file MonteCarloSampler.h.

◆ weight_sum

double provsql::WeightedPosterior::weight_sum = 0.0

Sum of w over all attempted draws.

Definition at line 345 of file MonteCarloSampler.h.

The documentation for this struct was generated from the following file:

/home/pierre/git/software/provsql/src/MonteCarloSampler.h

Public Member Functions

Public Attributes