AcceptanceRate: Acceptance Rate

In LaplacesDemon: Complete Environment for Bayesian Inference

Description

The Acceptance.Rate function calculates the acceptance rate per chain from a matrix of posterior MCMC samples.

Usage

AcceptanceRate(x)

Arguments

x	This required argument accepts a S x J numeric matrix of S posterior samples for J variables, such as Posterior1 or Posterior2 from an object of class demonoid.

Details

The acceptance rate of an MCMC algorithm is the percentage of iterations in which the proposals were accepted.

Optimal Acceptance Rates
The optimal acceptance rate varies with the number of parameters and by algorithm. Algorithms with componentwise Gaussian proposals have an optimal acceptance rate of 0.44, regardless of the number of parameters. Algorithms that update with multivariate Gaussian proposals tend to have an optimal acceptance rate that ranges from 0.44 for one parameter (one IID Gaussian target distribution) to 0.234 for an infinite number of parameters (IID Gaussian target distributions), and 0.234 is approached quickly as the number of parameters increases. The AHMC, HMC, and THMC algorithms have an optimal acceptance rate of 0.67, except with the algorithm specification L=1, where the optimal acceptance rate is 0.574. The target acceptance rate is specified in HMCDA and NUTS, and the recommended rate is 0.65 and 0.60 respectively. Some algorithms have an acceptance rate of 1, such as AGG, ESS, GG, GS (MISS only), SGLD, or Slice.

Global and Local Acceptance Rates
LaplacesDemon reports the global acceptance rate for the un-thinned chains. However, componentwise algorithms make a proposal per parameter, and therefore have a local acceptance rate for each parameter. Since only the global acceptance rate is reported, the AcceptanceRate function may be used to calculate the local acceptance rates from a matrix of un-thinned posterior samples.

Thinning
Thinned samples tend to have higher local acceptance rates than un-thinned samples. With enough samples and enough thinning, local acceptance rates approach 1. Local acceptance rates do not need to approach the optimal acceptance rates above. Conversely, local acceptance rates do not need to approach 1, because too much information may possibly be discarded by thinning. For more information on thinning, see the Thin function.

Diagnostics
The AcceptanceRate function may be used to calculate local acceptance rates on a matrix of thinned or un-thinned samples. Any chain with a local acceptance rate that is an outlier may be studied for reasons that may cause the outlier. A local acceptance rate outlier does not violate theory and is often acceptable, but may indicate a potential problem. Only some of the many potential problems include: identifiability, model misspecification, multicollinearity, multimodality, choice of prior distributions, or becoming trapped in a low-probability space. The solution to local acceptance rate outliers tends to be either changing the MCMC algorithm or re-specifying the model or priors. For example, an MCMC algorithm that makes multivariate Gaussian proposals for a large number of parameters may have low global and local acceptance rates when far from the target distributions.

Value

The AcceptanceRate function returns a vector of acceptance rates, one for each chain.

Author(s)

Statisticat, LLC. [e-mail]

See Also

LaplacesDemon, MISS, PosteriorChecks, and Thin.

Examples

library(LaplacesDemon)
AcceptanceRate(matrix(rnorm(5000),1000,5))

LaplacesDemon documentation built on July 9, 2021, 5:07 p.m.