mlmc-cpp

mlmc-cpp is an implementation of MLMC(Multilevel Monte Carlo method) to the calclation of EVPPI(Expected Value of Partial Perfect information). MLMC enables us to calc EVPPI faster than NMC(Nested Monte Carlo method).

see https://arxiv.org/abs/1708.05531 .

Usage

if you run existing models

Run commands bellow. The output is written both on your console (standard output) and in output.txt which is ignored by git.

$ cd any_model
$ make
$ ./evppi

if you run a new model

1. create a new directory and new files

$ mkdir new_model
$ cd new_model
$ touch new_model.cpp Makefile

2. edit cpp file

You need to define 1 struct and 4 functions. Here is an example of a very simple model (see ./test). If you need Matrix structure or other complicated function, see ./matrix.hpp or ./util.hpp.

struct ModelInfo {
  // variables of the model
  // example
  double x, y;
}

void sampling_init(EvppiInfo *info) {
  // define how many model functions are 
  info->model_num = ...
  
  // allocate memory for ModelInfo
  info->model_info = new ModelInfo;
  
  // allocate memory for outputs
  info->val.resize(info->model_num);
}

void pre_sampling(ModelInfo *model) {
  // generate outer variables of which you are calclating EVPPI
  model->x = ...
}

void post_sampling(ModelInfo *model) {
  // generate inner variables
  model->y = ...
}

void f(EvppiInfo *info) {
  // after you generate all the variables, calc the model functions
  // store the outputs in `info->val[i]`
  info->val[0] = ...
  info->val[1] = ...
}

int main() {
  MlmcInfo *info = mlmc_init(1, 2, 30, 1.0, 0.25);
  
  // calc EVPI (because this program outputs `EVPI - EVPPI` value)
  smc_evpi_calc(info->layer[0].evppi_info, 1000000);
  
  mlmc_test(info, 10, 200000);
  
  // define epsirons you need
  vector <double> eps = {...};
  mlmc_test_eval_eps(info, eps);
}

3. edit Makefile

PROGRAM = evppi
SRCS = new_model.cpp ../evppi.cpp
OBJS = $(SRCS:.cpp = .o)
CC = g++
CFLAGS = -Wall -Wextra -std=c++11 -o3

$(PROGRAM) : $(OBJS)
	$(CC) $(CFLAGS) -o $(PROGRAM) $(OBJS)

clean:
	rm -rf $(PROGRAM) *.o