convergence-checker: Convergence Monitoring

In fmcmc: A friendly MCMC framework

Convergence Monitoring

Description

Built-in set of functions to be used in companion with the argument conv_checker in MCMC. These functions are not intended to be used in a context other than the MCMC function.

The object LAST_CONV_CHECK is an environment that holds information regarding the convergence checker used. This information can be updated every time that the conv_checker function is called by MCMC using the functions convergence_data_set and convergence_msg_set. The function convergence_data_get is just a wrapper of get().

The msg member of LAST_CONV_CHECK is resetted before conv_checker is called.

Usage

LAST_CONV_CHECK

convergence_data_set(x)

convergence_data_get(x)

convergence_msg_set(msg = NA_character_)

convergence_msg_get()

convergence_gelman(freq = 1000L, threshold = 1.1, check_invariant = TRUE, ...)

convergence_geweke(
  freq = 1000L,
  threshold = 0.025,
  check_invariant = TRUE,
  ...
)

convergence_heildel(freq = 1000L, ..., check_invariant = TRUE)

convergence_auto(freq = 1000L)

Arguments

x	In the case of convergence_data_set, a named list. For convergence_data_get, a character vector.
msg	Character scalar. Personalized message to print.
freq	Integer scalar. Frequency of checking.
threshold	Numeric value. A Gelman statistic below the threshold will return TRUE.
check_invariant	Logical. When TRUE the function only computes the Gelman diagnostic using variables with greater than 1e-10 variance.
...	Further arguments passed to the method.

Format

An object of class fmcmc_output_conv_check (inherits from environment) of length 1.

Details

convergence_gelman is a wrapper of coda::gelman.diag().

In the case of convergence_geweke, threshold sets the p-value for the null H_0: Z = 0, i.e. equal means between the first and last chunks of the chain. See coda::geweke.diag. This implies that the higher the threshold, the lower the probability of stopping the chain.

In the case that the chain has more than one parameter, the algorithm will return true if and only if the test fails to reject the null for all the parameters.

For the convergence_heildel, see coda::heidel.diag for details.

The convergence_auto function is the default and is just a wrapper for convergence_gelman and convergence_geweke. This function returns a convergence checker that will be either of the other two depending on whether nchains in MCMC is greater than one–in which case it will use the Gelman test–or not–in which case it will use the Geweke test.

Value

A function passed to MCMC to check automatic convergence.

Building a convergence checker

Convergence checkers are simply a function that receives as argument a matrix (or list of them) with sampled values, and returns a logical scalar with the value TRUE if the chain converged. An example of a personalized convergence checker is provided below. The frequency with which the check is performed is retrieved from the attribute "freq" from the convergence checker function, i.e., attr(..., "freq"). If missing, convergence will be checked halfway the number of steps in the chain, i.e., floor(nsteps/2).

Examples

# Example 1: Presonalized conv checker --------------------------------------
# Dummy rule, if acceptance rate is near between .2 and .3.
convergence_example <- function(x) {
  arate <- 1 - coda::rejectionRate(x)
  all(
    abs(arate - .25) < .05
  )
}

# Tell fmcmc::MCMC what is the frequency
attr(convergence_example, "freq") <- 2e3

set.seed(223)
x <- rnorm(1000)
y <- x * 2 + rnorm(1000)
logpost <- function(p) {
  sum(dnorm(y, mean = x * p, log = TRUE))
}

ans <- MCMC(
  initial = 0, fun = logpost, nsteps = 5e4,
  kernel= kernel_ram(),
  conv_checker = convergence_example
)

# Example 2: Adding information ---------------------------------------------
# Here we do two things: Save a value and set a message for the user
convergence_example_with_info <- structure(function(x) {
  arate <- 1 - coda::rejectionRate(x)
  
  # Saving a value
  if (!exists("arates", envir = LAST_CONV_CHECK, inherits = FALSE)) {
    convergence_data_set(list(arates = arate))
  } else {
    convergence_data_set(list(
      arates = rbind(convergence_data_get("arates"), arate)
    ))
  }
  
  # Setting up the message
  convergence_msg_set(
    sprintf("Current Avg. Accept. Rate: %.2f", mean(arate))
  )
  
  all(
    abs(arate - .25) < .05
  )
}, freq = 2000)


ans <- MCMC(
  initial = 0, fun = logpost, nsteps = 5e4,
  kernel= kernel_ram(),
  conv_checker = convergence_example_with_info,
  seed = 112,
  progress = FALSE
)

fmcmc documentation built on Aug. 30, 2023, 1:09 a.m.