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ImportanceSampler

oxiphysics_core::monte_carlo

Struct ImportanceSampler 

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pub struct ImportanceSampler {
    pub proposal_sigma: f64,
    /* private fields */
}
Expand description

Importance sampler with acceptance-rejection and adaptive IS weights.

Uses a proposal distribution q(x) to estimate expectations under target p(x).

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§proposal_sigma: f64

Proposal distribution standard deviation.

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impl ImportanceSampler

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pub fn new(seed: u64, proposal_sigma: f64) -> Self

Creates a new importance sampler.

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pub fn accept_reject<F, G>( &mut self, target: F, proposal_sample: G, c: f64, ) -> f64
where F: Fn(f64) -> f64, G: Fn(&mut LcgRng) -> (f64, f64),

Acceptance-rejection sampler for target pdf target with envelope c * proposal.

Returns a sample from the target distribution.

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pub fn importance_weights<F, G>( &self, samples: &[f64], target: F, proposal: G, ) -> Vec<f64>
where F: Fn(f64) -> f64, G: Fn(f64) -> f64,

Computes unnormalized importance weights for samples drawn from proposal.

w_i = target(x_i) / proposal(x_i).

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pub fn estimate<F, H>(&mut self, n: usize, f_fn: F, log_w_fn: H) -> f64
where F: Fn(f64) -> f64, H: Fn(f64) -> f64,

Estimates E_p[f(x)] using importance sampling from proposal q.

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