McmcCore - 2023.2 English

#include "xf_fintech/pop_mcmc.hpp"

template <
    typename DT,
    unsigned int NCHAINS,
    unsigned int NSAMPLES_MAX
    >
void McmcCore (
    DT temp_inv [NCHAINS],
    DT sigma [NCHAINS],
    DT x [NSAMPLES_MAX],
    unsigned int nSamples
    )

Top level Kernel function. Consists of INIT_LOOP and main sample loop: SAMPLES_LOOP

Generates sample from target distribution function.

Uses multiple Markov Chains to allow drawing samples from multi mode target distribution functions.

Proposal is generated ussing Normal Distribution

.

Parameters:

DT	Data type used in whole function (double by default)
NCHAINS	Number of chains
NSAMPLES_MAX	Maximum Number of chains for synthesis purpose
temp_inv	Array of Inverted temperatures of the chain that density is generate for (1/Temp)
sigma	Array of sigmas for Proposal generation for each chain
nSamples	Number of samples to generate
x	Sample output