SMC2.hs

-- |
-- Module      : Control.Monad.Bayes.Inference.SMC2
-- Description : Sequential Monte Carlo squared (SMC²)
-- Copyright   : (c) Adam Scibior, 2015-2020
-- License     : MIT
-- Maintainer  : leonhard.markert@tweag.io
-- Stability   : experimental
-- Portability : GHC
--
-- Sequential Monte Carlo squared (SMC²) sampling.
--
-- Nicolas Chopin, Pierre E. Jacob, and Omiros Papaspiliopoulos. 2013. SMC²: an efficient algorithm for sequential analysis of state space models. /Journal of the Royal Statistical Society Series B: Statistical Methodology/ 75 (2013), 397-426. Issue 3. <https://doi.org/10.1111/j.1467-9868.2012.01046.x>
module Control.Monad.Bayes.Inference.SMC2
  ( smc2,
  )
where

import Control.Monad.Bayes.Class
import Control.Monad.Bayes.Helpers
import Control.Monad.Bayes.Inference.RMSMC
import Control.Monad.Bayes.Inference.SMC
import Control.Monad.Bayes.Population as Pop
import Control.Monad.Trans
import Numeric.Log

-- | Helper monad transformer for preprocessing the model for 'smc2'.
newtype SMC2 m a = SMC2 (S (T (P m)) a)
  deriving (Functor, Applicative, Monad)

setup :: SMC2 m a -> S (T (P m)) a
setup (SMC2 m) = m

instance MonadTrans SMC2 where
  lift = SMC2 . lift . lift . lift

instance MonadSample m => MonadSample (SMC2 m) where
  random = lift random

instance Monad m => MonadCond (SMC2 m) where
  score = SMC2 . score

instance MonadSample m => MonadInfer (SMC2 m)

-- | Sequential Monte Carlo squared.
smc2 ::
  MonadSample m =>
  -- | number of time steps
  Int ->
  -- | number of inner particles
  Int ->
  -- | number of outer particles
  Int ->
  -- | number of MH transitions
  Int ->
  -- | model parameters
  S (T (P m)) b ->
  -- | model
  (b -> S (P (SMC2 m)) a) ->
  P m [(a, Log Double)]
smc2 k n p t param model =
  rmsmc k p t (param >>= setup . runPopulation . smcSystematicPush k n . model)