Expand_Temperatures: Adjusting the temperature schedule

In ZVCV: Zero-Variance Control Variates

Adjusting the temperature schedule

Description

This function is used to adjust the temperature schedule so that it is more (or less) strict than the original.

Usage

Expand_Temperatures(
  temperatures,
  loglike,
  rho,
  bisec_tol = .Machine$double.eps^0.25
)

Arguments

temperatures	A vector of length T temperatures for the power posterior temperatures.
loglike	An N by T matrix of log likelihood values corresponding to the samples.
rho	The tolerance for the new temperatures. Temperatures are selected so that the conditional effective sample size (CESS) at each temperature is ρ*N where N is the population size.
bisec_tol	The tolerance for the bisection method used in selecting temperatures. The default is .Machine$double.eps^0.25

Value

A list is returned, containing the following components:

• temperatures_all: The new set of temperatures of length tau.

• relevant_samples: A vector of length tau containing indices to show which particle sets the new temperatures are based on.

• logw: An N by tau matrix of log normalised weights of the particles

Author(s)

Leah F. South

References

South, L. F., Oates, C. J., Mira, A., & Drovandi, C. (2019). Regularised zero variance control variates for high-dimensional variance reduction. https://arxiv.org/abs/1811.05073

See Also

See evidence for functions to estimate the evidence, VDP for an example and ZVCV for more package details.

ZVCV documentation built on Nov. 2, 2022, 5:17 p.m.