StandardBayesianMCMCDemo.C

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/// \file
/// \ingroup tutorial_roostats
/// \notebook -js
/// Standard demo of the Bayesian MCMC calculator
///
/// This is a standard demo that can be used with any ROOT file
/// prepared in the standard way.  You specify:
///  - name for input ROOT file
///  - name of workspace inside ROOT file that holds model and data
///  - name of ModelConfig that specifies details for calculator tools
///  - name of dataset
///
/// With default parameters the macro will attempt to run the
/// standard hist2workspace example and read the ROOT file
/// that it produces.
///
/// The actual heart of the demo is only about 10 lines long.
///
/// The MCMCCalculator is a Bayesian tool that uses
/// the Metropolis-Hastings algorithm to efficiently integrate
/// in many dimensions.  It is not as accurate as the BayesianCalculator
/// for simple problems, but it scales to much more complicated cases.
///
/// \macro_image
/// \macro_output
/// \macro_code
///
/// \author Kyle Cranmer

#include "TFile.h"
#include "TROOT.h"
#include "TCanvas.h"
#include "TMath.h"
#include "TSystem.h"
#include "RooWorkspace.h"
#include "RooAbsData.h"

#include "RooStats/ModelConfig.h"
#include "RooStats/MCMCCalculator.h"
#include "RooStats/MCMCInterval.h"
#include "RooStats/MCMCIntervalPlot.h"
#include "RooStats/SequentialProposal.h"
#include "RooStats/ProposalHelper.h"
#include "RooStats/ProposalHelper.h"
#include "RooFitResult.h"

using namespace RooFit;
using namespace RooStats;

struct BayesianMCMCOptions {

   double confLevel = 0.95;
   int intervalType = 2; // type of interval (0 is shortest, 1 central, 2 upper limit)
   double maxPOI = -999; // force different values of POI for doing the scan (default is given value)
   double minPOI = -999;
   int numIters = 100000;    // number of iterations
   int numBurnInSteps = 100; // number of burn in steps to be ignored
};

BayesianMCMCOptions optMCMC;

void StandardBayesianMCMCDemo(const char *infile = "", const char *workspaceName = "combined",
                              const char *modelConfigName = "ModelConfig", const char *dataName = "obsData")
{

   // -------------------------------------------------------
   // First part is just to access a user-defined file
   // or create the standard example file if it doesn't exist

   const char *filename = "";
   if (!strcmp(infile, "")) {
      filename = "results/example_combined_GaussExample_model.root";
      bool fileExist = !gSystem->AccessPathName(filename); // note opposite return code
      // if file does not exists generate with histfactory
      if (!fileExist) {
#ifdef _WIN32
         cout << "HistFactory file cannot be generated on Windows - exit" << endl;
         return;
#endif
         // Normally this would be run on the command line
         cout << "will run standard hist2workspace example" << endl;
         gROOT->ProcessLine(".! prepareHistFactory .");
         gROOT->ProcessLine(".! hist2workspace config/example.xml");
         cout << "\n\n---------------------" << endl;
         cout << "Done creating example input" << endl;
         cout << "---------------------\n\n" << endl;
      }

   } else
      filename = infile;

   // Try to open the file
   TFile *file = TFile::Open(filename);

   // if input file was specified byt not found, quit
   if (!file) {
      cout << "StandardRooStatsDemoMacro: Input file " << filename << " is not found" << endl;
      return;
   }

   // -------------------------------------------------------
   // Tutorial starts here
   // -------------------------------------------------------

   // get the workspace out of the file
   RooWorkspace *w = (RooWorkspace *)file->Get(workspaceName);
   if (!w) {
      cout << "workspace not found" << endl;
      return;
   }

   // get the modelConfig out of the file
   ModelConfig *mc = (ModelConfig *)w->obj(modelConfigName);

   // get the modelConfig out of the file
   RooAbsData *data = w->data(dataName);

   // make sure ingredients are found
   if (!data || !mc) {
      w->Print();
      cout << "data or ModelConfig was not found" << endl;
      return;
   }

   // Want an efficient proposal function
   // default is uniform.

   /*
   // this one is based on the covariance matrix of fit
   RooFitResult* fit = mc->GetPdf()->fitTo(*data,Save());
   ProposalHelper ph;
   ph.SetVariables((RooArgSet&)fit->floatParsFinal());
   ph.SetCovMatrix(fit->covarianceMatrix());
   ph.SetUpdateProposalParameters(kTRUE); // auto-create mean vars and add mappings
   ph.SetCacheSize(100);
   ProposalFunction* pf = ph.GetProposalFunction();
   */

   // this proposal function seems fairly robust
   SequentialProposal sp(0.1);
   // -------------------------------------------------------
   // create and use the MCMCCalculator
   // to find and plot the 95% credible interval
   // on the parameter of interest as specified
   // in the model config
   MCMCCalculator mcmc(*data, *mc);
   mcmc.SetConfidenceLevel(optMCMC.confLevel); // 95% interval
   //  mcmc.SetProposalFunction(*pf);
   mcmc.SetProposalFunction(sp);
   mcmc.SetNumIters(optMCMC.numIters);             // Metropolis-Hastings algorithm iterations
   mcmc.SetNumBurnInSteps(optMCMC.numBurnInSteps); // first N steps to be ignored as burn-in

   // default is the shortest interval.
   if (optMCMC.intervalType == 0)
      mcmc.SetIntervalType(MCMCInterval::kShortest); // for shortest interval (not really needed)
   if (optMCMC.intervalType == 1)
      mcmc.SetLeftSideTailFraction(0.5); // for central interval
   if (optMCMC.intervalType == 2)
      mcmc.SetLeftSideTailFraction(0.); // for upper limit

   RooRealVar *firstPOI = (RooRealVar *)mc->GetParametersOfInterest()->first();
   if (optMCMC.minPOI != -999)
      firstPOI->setMin(optMCMC.minPOI);
   if (optMCMC.maxPOI != -999)
      firstPOI->setMax(optMCMC.maxPOI);

   MCMCInterval *interval = mcmc.GetInterval();

   // make a plot
   // TCanvas* c1 =
   auto c1 = new TCanvas("IntervalPlot");
   MCMCIntervalPlot plot(*interval);
   plot.Draw();

   TCanvas *c2 = new TCanvas("extraPlots");
   const RooArgSet *list = mc->GetNuisanceParameters();
   if (list->getSize() > 1) {
      double n = list->getSize();
      int ny = TMath::CeilNint(sqrt(n));
      int nx = TMath::CeilNint(double(n) / ny);
      c2->Divide(nx, ny);
   }

   // draw a scatter plot of chain results for poi vs each nuisance parameters
   TIterator *it = mc->GetNuisanceParameters()->createIterator();
   RooRealVar *nuis = NULL;
   int iPad = 1; // iPad, that's funny
   while ((nuis = (RooRealVar *)it->Next())) {
      c2->cd(iPad++);
      plot.DrawChainScatter(*firstPOI, *nuis);
   }

   // print out the interval on the first Parameter of Interest
   cout << "\n>>>> RESULT : " << optMCMC.confLevel * 100 << "% interval on " << firstPOI->GetName() << " is : ["
        << interval->LowerLimit(*firstPOI) << ", " << interval->UpperLimit(*firstPOI) << "] " << endl;

   gPad = c1;
}