MCEngine.cpp File Reference

#include "MCEngine.h"
#include "StatisticProgress.h"
#include "ParameterRuntimeContext.h"
#include <algorithm>
#include <atomic>
#include <exception>
#include <fstream>
#include <iomanip>
#include <limits>
#include <mutex>
#include <sstream>
#include <thread>

Include dependency graph for MCEngine.cpp:

Go to the source code of this file.

Functions
RealMatrix	symmetrize_covariance_matrix2 (RealMatrix cov)
RealMatrix	inverse_covariance_with_ridge2 (RealMatrix cov, double ridge_rel, double ridge_abs)
MCObservableCovariance	covariance_from_obs_samples (const ObsSamples &S, const std::vector< BinnedObservableId > &ids, double ridge_rel, double ridge_abs)
	Builds a regularized empirical covariance matrix from observable samples.
std::vector< BinnedObservableId >	covariance_ids_from_first_sample (const ObsSamples &S)
	Extracts the observable ordering from the first Monte Carlo sample.

Function Documentation

covariance_from_obs_samples()

MCObservableCovariance covariance_from_obs_samples	(	const ObsSamples &	S,
		const std::vector< BinnedObservableId > &	ids,
		double	ridge_rel = 1e-8,
		double	ridge_abs = 1e-12
	)

Builds a regularized empirical covariance matrix from observable samples.

The samples are read in the order specified by ids. The empirical covariance is converted to a dimensionless correlation matrix, a ridge of max(ridge_rel, ridge_abs) is added to its diagonal, and the inverse is transformed back to covariance units. The returned covariance itself remains the raw empirical estimate.

Parameters

S	Monte Carlo observable samples.
ids	Observable identifiers defining the covariance ordering.
ridge_rel	Relative ridge factor.
ridge_abs	Minimum dimensionless ridge floor.

Returns

Empirical covariance, inverse covariance and column means.

Exceptions

std::invalid_argument

if the sample set is empty, if ids is empty, or if fewer than two samples are provided.

Definition at line 102 of file MCEngine.cpp.

covariance_ids_from_first_sample()

std::vector< BinnedObservableId > covariance_ids_from_first_sample

(

const ObsSamples &

S

)

Extracts the observable ordering from the first Monte Carlo sample.

Parameters

S	Monte Carlo observable samples.

Returns

Observable identifiers present in the first sample.

Exceptions

std::invalid_argument

if S is empty.

Definition at line 164 of file MCEngine.cpp.

inverse_covariance_with_ridge2()

RealMatrix inverse_covariance_with_ridge2	(	RealMatrix	cov,
		double	ridge_rel,
		double	ridge_abs
	)

Definition at line 43 of file MCEngine.cpp.

symmetrize_covariance_matrix2()

RealMatrix symmetrize_covariance_matrix2

(

RealMatrix

cov

)

Definition at line 15 of file MCEngine.cpp.