ordinal_sampler.h

 
#ifndef STOCHTREE_ORDINAL_SAMPLER_H_
#define STOCHTREE_ORDINAL_SAMPLER_H_
 
#include <stochtree/data.h>
#include <stochtree/ensemble.h>
#include <stochtree/gamma_sampler.h>
#include <stochtree/partition_tracker.h>
#include <stochtree/tree.h>
 
#include <Eigen/Dense>
#include <random>
 
namespace StochTree {
 
static double sample_truncated_exponential_low_high(double u, double rate, double low, double high) {
  return -std::log((1 - u) * std::exp(-rate * low) + u * std::exp(-rate * high)) / rate;
}
 
static double sample_truncated_exponential_low(double u, double rate, double low) {
  return -std::log((1 - u) * std::exp(-rate * low)) / rate;
}
 
static double sample_truncated_exponential_high(double u, double rate, double high) {
  return -std::log1p(u * std::expm1(-high * rate)) / rate;
}
 
static double sample_exponential(double u, double rate) {
  return -std::log1p(-u) / rate;
}
 
class OrdinalSampler {
 public:
  OrdinalSampler() {
    gamma_sampler_ = GammaSampler();
  }
  ~OrdinalSampler() {}
 
  static double SampleTruncatedExponential(std::mt19937& gen, double rate, double low = 0.0, double high = 1.0);
 
  void UpdateLatentVariables(ForestDataset& dataset, Eigen::VectorXd& outcome, std::mt19937& gen);
 
  void UpdateGammaParams(ForestDataset& dataset, Eigen::VectorXd& outcome,
                         double alpha_gamma, double beta_gamma,
                         double gamma_0, std::mt19937& gen);
 
  void UpdateCumulativeExpSums(ForestDataset& dataset);
 
 private:
  GammaSampler gamma_sampler_;
};
 
}  // namespace StochTree
 
#endif  // STOCHTREE_ORDINAL_SAMPLER_H_