Rcpp - how to use a distribution function in the C++ code [duplicate]

问题

I'm writing a Metropolis-Hastings algorithm for a N(0,1) distribution:

#include <Rcpp.h>
using namespace Rcpp;

// [[Rcpp::export]]
NumericVector metropolis(int R, double b, double x0){
    NumericVector y(R);
    y(1) = x0;
    for(int i=1; i<R; ++i){
       y(i) = y(i-1);
       double xs = y(i)+runif(1, -b,b)[0];
       double a = dnorm(xs, 0, 1)[0]/dnorm(y(i), 0, 1)[0];
       NumericVector A(2);
       A(0) = 1;
       A(1) = a;
       double random = runif(1)[0];
       if(random <= min(A)){
            y[i] = xs;
       }
   }
   return y;
}

but every time I try to compile the function, this error occurs:

Line 12: no matching function for call to 'dnorm4'

I tried to write a trivial function using dnorm, like

NumericVector den(NumericVector y, double a, double b){
    NumericVector x = dnorm(y,a,b);
    return x;
}

and it works. Does someone know why I have this type of error in the Metropolis code? Are there some other ways to use density functions in the C++ code like in R?

回答1:

Within Rcpp there are two sets of samplers - scalar and vector - split by namespaces R:: and Rcpp::. They are divided such that:

Scalar returns a single value (e.g. double or int)
Vector returns multiple values (e.g. NumericVector or IntegerVector)

In this case, you want to be using the scalar sampling space and not the vector sampling space.

This is evident since:

double a = dnorm(xs, 0, 1)[0]/dnorm(y(i), 0, 1)[0];

Invokes the subset operator [0] to obtain the only element in the vector.

The second part of this problem is the missing part of the fourth parameter as hinted by

Line 12: no matching function for call to 'dnorm4'

If you look at the R definition of the dnorm function, you see:

dnorm(x, mean = 0, sd = 1, log = FALSE)

In this case, you've supplied all but the fourth parameter.

As a result, you'll probably want the following:

// [[Rcpp::export]]
NumericVector metropolis(int R, double b, double x0){
    NumericVector y(R);
    y(1) = x0; // C++ indices start at 0, you should change this!
    for(int i=1; i<R; ++i){ // C++ indices start at 0!!!
        y(i) = y(i-1);
        double xs = y(i) + R::runif(-b, b);
        double a = R::dnorm(xs, 0.0, 1.0, false)/R::dnorm(y(i), 0.0, 1.0, false);
        NumericVector A(2);
        A(0) = 1;
        A(1) = a;
        double random = R::runif(0.0, 1.0);
        if(random <= min(A)){
            y[i] = xs;
        }
    }
    return y;
}

Side note:

C++ indices start at 0 not 1. As a result, your vector above is slightly problematic as you being by filling the y vector at y(1) and not y(0). I'll leave this as an exercise for you to correct though.

来源：https://stackoverflow.com/questions/41384303/rcpp-how-to-use-a-distribution-function-in-the-c-code

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rcpp