example evaluating TMCMC samples with umbridge

examples/CMakeLists.txt

@@ -13,6 +13,7 @@ add_subdirectory (ops)
 add_subdirectory (kle_ex1)
 add_subdirectory (line_infer)
 add_subdirectory (tmcmc_bimodal)
+add_subdirectory (tmcmc_umbridge)
 add_subdirectory (pce_bcs)
 add_subdirectory (surf_rxn)
 add_subdirectory (uqpc)

examples/README

@@ -63,6 +63,12 @@ uqpc
 ==============================
 construct Polynomial Chaos surrogates for multiple outputs/functions
 
+==============================
+um_bridge
+==============================
+Uses C++ TMCMC to sample from multimodal posterior, and um-bridge
+to evaluate samples from a python function
+
 
 ==============================
 iuq

examples/tmcm_umbridge/CMakeLists.txt

@@ -0,0 +1,68 @@
+project (UQTk)
+
+SET(copy_FILES
+ tmcmc_getLL.sh
+ tmcmc_getLP.sh
+ tmcmc_moveIntermediateFiles.sh
+ tmcmc_prior_samples.dat
+ tmcmc_umbridge.py
+ minimal-umbridge-model.py
+ README
+ )
+
+link_directories(${CMAKE_SUNDIALS_DIR}/lib)
+
+add_executable (umbridge_model.x umbridge_model.cpp)
+add_executable (tmcmc_umbridge.x tmcmc_umbridge.cpp)
+
+target_link_libraries (tmcmc_umbridge.x uqtk )
+target_link_libraries (tmcmc_umbridge.x depdsfmt )
+target_link_libraries (tmcmc_umbridge.x depslatec)
+target_link_libraries (tmcmc_umbridge.x deplbfgs )
+
+
+# Link fortran libraries
+if ("${CMAKE_CXX_COMPILER_ID}" STREQUAL "GNU")
+ # using GCC
+ target_link_libraries (tmcmc_umbridge.x gfortran expat stdc++)
+elseif ("${CMAKE_CXX_COMPILER_ID}" STREQUAL "Intel")
+ # using Intel
+ if ("${IntelLibPath}" STREQUAL "")
+ target_link_libraries (tmcmc_umbridge.x ifcore ifport)
+ else()
+ target_link_libraries (tmcmc_umbridge.x ${IntelLibPath}/libifcore.a)
+ target_link_libraries (tmcmc_umbridge.x ${IntelLibPath}/libifport.a)
+ endif()
+elseif (CMAKE_CXX_COMPILER_ID MATCHES "Clang")
+ # using Clang
+ if ("${ClangLibPath}" STREQUAL "")
+ target_link_libraries (tmcmc_umbridge.x gfortran stdc++)
+ else()
+ target_link_libraries (tmcmc_umbridge.x ${ClangLibPath}/libgfortran.dylib ${ClangLibPath}/libstdc++.dylib)
+ endif()
+endif()
+
+target_link_libraries (tmcmc_umbridge.x m lapack)
+target_link_libraries (tmcmc_umbridge.x m blas)
+
+include_directories(../../examples/tmcmc_umbridge)
+
+include_directories(../../cpp/lib/pce )
+include_directories(../../cpp/lib/array )
+include_directories(../../cpp/lib/include)
+include_directories(../../cpp/lib/quad )
+include_directories(../../cpp/lib/tools )
+include_directories(../../cpp/lib/mcmc )
+include_directories(../../cpp/lib/tmcmc )
+
+include_directories(../../dep/dsfmt)
+include_directories(../../dep/slatec)
+include_directories(../../dep/lbfgs)
+
+
+INSTALL(TARGETS tmcmc_umbridge.x DESTINATION examples/tmcmc_umbridge)
+INSTALL(TARGETS umbridge_model.x DESTINATION examples/tmcmc_umbridge)
+
+INSTALL(FILES ${copy_FILES}
+ PERMISSIONS OWNER_EXECUTE OWNER_WRITE OWNER_READ
+ DESTINATION examples/tmcmc_umbridge)

examples/tmcm_umbridge/README

@@ -0,0 +1,32 @@
+tmcmc_bimodal example
+
+
+contains example for sampling of 3-dimensional bimodal posterior probability density using TMCMC. The C++ libraries are called directly from the driver program.
+By changing the likelihood function and the prior function in bimodal.cpp, this program can be tailored to other inference problems.
+
+================================================================================
+Files
+
+tmcmc_bimodal.py: main scripts
+
+tmcmc_bimodal.cpp: C++ code that produces some of the needed functions - 
+ sets up the MCMC class object, specifying the
+ dimensionality of the problem, number of
+ samples required, number of processes for
+ parallel evaluation of likelihood and prior
+
+bimodal.cpp: C++ code for evaluating the likelihood and prior pdfs - 
+ the corresponding executable is invoked
+ multiple times for parallel evaluation
+ of likelihood and prior pdfs
+
+tmcmc_prior_samples.dat: samples from prior pdf (as required by TMCMC) - 
+ 3D Normal prior for this example with 5000
+ samples
+
+tmcmc_getLL.sh: Shell script that spawns multiple processes for parallel
+ evaluation of likelihood function
+tmcmc_getLP.sh Shell script that spawns multiple processes for parallel
+ evaluation of prior PDF
+tmcmc_moveIntermediateFiles.sh: Shell script used for moving all
+ artifacts of TMCMC into a subdirectory