swh:1:snp:d80eec3f654c152adbdd6e641362bcb340d39fe2
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Tip revision: e8c0967f38ba714b3397b175d21988dacec58601 authored by serban-nicusor-toptal on 18 October 2019, 22:22:13 UTC
release/v2.21.0: updating version numbers.
Tip revision: e8c0967
var_adaptation.hpp
#ifndef STAN_MCMC_VAR_ADAPTATION_HPP
#define STAN_MCMC_VAR_ADAPTATION_HPP

#include <stan/math/prim/mat.hpp>
#include <stan/mcmc/windowed_adaptation.hpp>
#include <vector>

namespace stan {

namespace mcmc {

class var_adaptation : public windowed_adaptation {
 public:
  explicit var_adaptation(int n)
      : windowed_adaptation("variance"), estimator_(n) {}

  bool learn_variance(Eigen::VectorXd& var, const Eigen::VectorXd& q) {
    if (adaptation_window())
      estimator_.add_sample(q);

    if (end_adaptation_window()) {
      compute_next_window();

      estimator_.sample_variance(var);

      double n = static_cast<double>(estimator_.num_samples());
      var = (n / (n + 5.0)) * var
            + 1e-3 * (5.0 / (n + 5.0)) * Eigen::VectorXd::Ones(var.size());

      estimator_.restart();

      ++adapt_window_counter_;
      return true;
    }

    ++adapt_window_counter_;
    return false;
  }

 protected:
  stan::math::welford_var_estimator estimator_;
};

}  // namespace mcmc

}  // namespace stan
#endif
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