[Rcpp-commits] r3522 - pkg/RcppSMC/deprecated/rareEvents

[noreply at r-forge.r-project.org]

Author: adamj
Date: 2012-03-18 12:16:38 +0100 (Sun, 18 Mar 2012)
New Revision: 3522

Added:
   pkg/RcppSMC/deprecated/rareEvents/rareEventsEx.R
   pkg/RcppSMC/deprecated/rareEvents/rareEventsEx.Rd
Removed:
   pkg/RcppSMC/deprecated/rareEvents/rareEvents/
   pkg/RcppSMC/deprecated/rareEvents/rareEventsEx/
Log:
Tidying up previous...


Copied: pkg/RcppSMC/deprecated/rareEvents/rareEventsEx.R (from rev 3521, pkg/RcppSMC/deprecated/rareEvents/rareEvents/rareEventsEx.R)
===================================================================
--- pkg/RcppSMC/deprecated/rareEvents/rareEventsEx.R	                        (rev 0)
+++ pkg/RcppSMC/deprecated/rareEvents/rareEventsEx.R	2012-03-18 11:16:38 UTC (rev 3522)
@@ -0,0 +1,9 @@
+## example 2 of Johansen (2009)
+
+rareEventsEx <- function(number=100, iterations=10, threshold=5.0, schedule=30.0) {
+
+    res <- .Call("rareEvents", number, iterations, threshold, schedule, package="RcppSMC")
+
+    invisible(res)
+}
+

Copied: pkg/RcppSMC/deprecated/rareEvents/rareEventsEx.Rd (from rev 3521, pkg/RcppSMC/deprecated/rareEvents/rareEventsEx/rareEventsEx.Rd)
===================================================================
--- pkg/RcppSMC/deprecated/rareEvents/rareEventsEx.Rd	                        (rev 0)
+++ pkg/RcppSMC/deprecated/rareEvents/rareEventsEx.Rd	2012-03-18 11:16:38 UTC (rev 3522)
@@ -0,0 +1,46 @@
+\name{rareEventsEx}
+\alias{rareEventsEx}
+\title{Particle Filter Example}
+\description{
+  The \code{rareEventsEx} function provides another example for
+  \pkg{RcppSMC}. It is based on the second example in \code{SMCTC} and
+  the discussion in Section 5.2 of Johansen (2009). It implements an
+  algorithm in Johansen et al (2006) which estimates rare event
+  probabilities for a Gaussian distribution.
+}
+\usage{
+  rareEventsEx(number=100, iterations=10, threshold=5.0, schedule=30.0)
+}
+\arguments{
+  \item{number}{An integer specifying the number of particles.}
+  \item{iterations}{An integer specifying the number of iterations.}
+  \item{threshold}{A numericd describing the rare event threshold.}
+  \item{schedule}{A numericd describing the annealing schedule constant.}
+}
+\value{
+  The function returns a named \code{vector.frame} containing three values.
+}
+\details{
+  The \code{rareEventsEx} function provides the second simple example for
+  \pkg{RcppSMC}. It is based on the \code{rare-events} example in the
+  \code{SMCTC} library, and discussed in the Section 5.2 of his
+  corresponding paper (Johansen, 2009), which in turn refers to Johansen
+  et al (2006) for a deeper discussion.
+}
+\references{
+  A. M. Johansen. SMCTC: Sequential Monte Carlo in C++.
+  Journal of Statistical Software, 30(6):1-41, April
+  2009. \url{http://www.jstatsoft.org/v30/i06/paper}
+
+  A. M. Johansen, P. Del Moral, A. Doucet. Sequential Monte Carlo
+  Samplers for Rare Events. Proceedings of the 6th International
+  Workshop on Rare Event Simulation, pages 256--267, Bamberg (Germany).
+}
+\seealso{The SMCTC paper and code at \url{http://www.jstatsoft.org/v30/i06/paper}.}
+\examples{
+\dontrun{
+  res <- rareEventsEx()
+}
+}
+\author{Adam M. Johansen for SMCTC, Dirk Eddelbuettel for the RcppSMC wrapper.}
+\keyword{programming}