IntervalExamples.C

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/// \file
/// \ingroup tutorial_roostats
/// \notebook
/// Example showing confidence intervals with four techniques.
///
/// An example that shows confidence intervals with four techniques.
/// The model is a Normal Gaussian G(x|mu,sigma) with 100 samples of x.
/// The answer is known analytically, so this is a good example to validate
/// the RooStats tools.
///
///  - expected interval is [-0.162917, 0.229075]
///  - plc  interval is     [-0.162917, 0.229075]
///  - fc   interval is     [-0.17    , 0.23]        // stepsize is 0.01
///  - bc   interval is     [-0.162918, 0.229076]
///  - mcmc interval is     [-0.166999, 0.230224]
///
/// \macro_image
/// \macro_output
/// \macro_code
///
/// \author Kyle Cranmer

#include "RooStats/ConfInterval.h"
#include "RooStats/PointSetInterval.h"
#include "RooStats/ConfidenceBelt.h"
#include "RooStats/FeldmanCousins.h"
#include "RooStats/ProfileLikelihoodCalculator.h"
#include "RooStats/MCMCCalculator.h"
#include "RooStats/BayesianCalculator.h"
#include "RooStats/MCMCIntervalPlot.h"
#include "RooStats/LikelihoodIntervalPlot.h"

#include "RooStats/ProofConfig.h"
#include "RooStats/ToyMCSampler.h"

#include "RooRandom.h"
#include "RooDataSet.h"
#include "RooRealVar.h"
#include "RooConstVar.h"
#include "RooAddition.h"
#include "RooDataHist.h"
#include "RooPoisson.h"
#include "RooPlot.h"

#include "TCanvas.h"
#include "TTree.h"
#include "TStyle.h"
#include "TMath.h"
#include "Math/DistFunc.h"
#include "TH1F.h"
#include "TMarker.h"
#include "TStopwatch.h"

#include <iostream>

// use this order for safety on library loading
using namespace RooFit;
using namespace RooStats;

void IntervalExamples()
{

   // Time this macro
   TStopwatch t;
   t.Start();

   // set RooFit random seed for reproducible results
   RooRandom::randomGenerator()->SetSeed(3001);

   // make a simple model via the workspace factory
   RooWorkspace *wspace = new RooWorkspace();
   wspace->factory("Gaussian::normal(x[-10,10],mu[-1,1],sigma[1])");
   wspace->defineSet("poi", "mu");
   wspace->defineSet("obs", "x");

   // specify components of model for statistical tools
   ModelConfig *modelConfig = new ModelConfig("Example G(x|mu,1)");
   modelConfig->SetWorkspace(*wspace);
   modelConfig->SetPdf(*wspace->pdf("normal"));
   modelConfig->SetParametersOfInterest(*wspace->set("poi"));
   modelConfig->SetObservables(*wspace->set("obs"));

   // create a toy dataset
   RooDataSet *data = wspace->pdf("normal")->generate(*wspace->set("obs"), 100);
   data->Print();

   // for convenience later on
   RooRealVar *x = wspace->var("x");
   RooRealVar *mu = wspace->var("mu");

   // set confidence level
   double confidenceLevel = 0.95;

   // example use profile likelihood calculator
   ProfileLikelihoodCalculator plc(*data, *modelConfig);
   plc.SetConfidenceLevel(confidenceLevel);
   LikelihoodInterval *plInt = plc.GetInterval();

   // example use of Feldman-Cousins
   FeldmanCousins fc(*data, *modelConfig);
   fc.SetConfidenceLevel(confidenceLevel);
   fc.SetNBins(100);             // number of points to test per parameter
   fc.UseAdaptiveSampling(true); // make it go faster

   // Here, we consider only ensembles with 100 events
   // The PDF could be extended and this could be removed
   fc.FluctuateNumDataEntries(false);

   // Proof
   //  ProofConfig pc(*wspace, 4, "workers=4", kFALSE);    // proof-lite
   // ProofConfig pc(w, 8, "localhost");    // proof cluster at "localhost"
   //  ToyMCSampler* toymcsampler = (ToyMCSampler*) fc.GetTestStatSampler();
   //  toymcsampler->SetProofConfig(&pc);     // enable proof

   PointSetInterval *interval = (PointSetInterval *)fc.GetInterval();

   // example use of BayesianCalculator
   // now we also need to specify a prior in the ModelConfig
   wspace->factory("Uniform::prior(mu)");
   modelConfig->SetPriorPdf(*wspace->pdf("prior"));

   // example usage of BayesianCalculator
   BayesianCalculator bc(*data, *modelConfig);
   bc.SetConfidenceLevel(confidenceLevel);
   SimpleInterval *bcInt = bc.GetInterval();

   // example use of MCMCInterval
   MCMCCalculator mc(*data, *modelConfig);
   mc.SetConfidenceLevel(confidenceLevel);
   // special options
   mc.SetNumBins(200);              // bins used internally for representing posterior
   mc.SetNumBurnInSteps(500);       // first N steps to be ignored as burn-in
   mc.SetNumIters(100000);          // how long to run chain
   mc.SetLeftSideTailFraction(0.5); // for central interval
   MCMCInterval *mcInt = mc.GetInterval();

   // for this example we know the expected intervals
   double expectedLL =
      data->mean(*x) + ROOT::Math::normal_quantile((1 - confidenceLevel) / 2, 1) / sqrt(data->numEntries());
   double expectedUL =
      data->mean(*x) + ROOT::Math::normal_quantile_c((1 - confidenceLevel) / 2, 1) / sqrt(data->numEntries());

   // Use the intervals
   std::cout << "expected interval is [" << expectedLL << ", " << expectedUL << "]" << endl;

   cout << "plc interval is [" << plInt->LowerLimit(*mu) << ", " << plInt->UpperLimit(*mu) << "]" << endl;

   std::cout << "fc interval is [" << interval->LowerLimit(*mu) << " , " << interval->UpperLimit(*mu) << "]" << endl;

   cout << "bc interval is [" << bcInt->LowerLimit() << ", " << bcInt->UpperLimit() << "]" << endl;

   cout << "mc interval is [" << mcInt->LowerLimit(*mu) << ", " << mcInt->UpperLimit(*mu) << "]" << endl;

   mu->setVal(0);
   cout << "is mu=0 in the interval? " << plInt->IsInInterval(RooArgSet(*mu)) << endl;

   // make a reasonable style
   gStyle->SetCanvasColor(0);
   gStyle->SetCanvasBorderMode(0);
   gStyle->SetPadBorderMode(0);
   gStyle->SetPadColor(0);
   gStyle->SetCanvasColor(0);
   gStyle->SetTitleFillColor(0);
   gStyle->SetFillColor(0);
   gStyle->SetFrameFillColor(0);
   gStyle->SetStatColor(0);

   // some plots
   TCanvas *canvas = new TCanvas("canvas");
   canvas->Divide(2, 2);

   // plot the data
   canvas->cd(1);
   RooPlot *frame = x->frame();
   data->plotOn(frame);
   data->statOn(frame);
   frame->Draw();

   // plot the profile likelihood
   canvas->cd(2);
   LikelihoodIntervalPlot plot(plInt);
   plot.Draw();

   // plot the MCMC interval
   canvas->cd(3);
   MCMCIntervalPlot *mcPlot = new MCMCIntervalPlot(*mcInt);
   mcPlot->SetLineColor(kGreen);
   mcPlot->SetLineWidth(2);
   mcPlot->Draw();

   canvas->cd(4);
   RooPlot *bcPlot = bc.GetPosteriorPlot();
   bcPlot->Draw();

   canvas->Update();

   t.Stop();
   t.Print();
}