log_density_ratio_langevin: Compute logarithm of Langevin proposal density ratio.

In rmcmc: Robust Markov Chain Monte Carlo Methods

Compute logarithm of Langevin proposal density ratio.

Description

Compute logarithm of Langevin proposal density ratio.

Usage

log_density_ratio_langevin(
  state,
  proposed_state,
  target_distribution,
  scale_and_shape
)

Arguments

state	Current chain state.
proposed_state	Proposed chain state.
target_distribution	Target stationary distribution for chain. A list with named entries log_density and gradient_log_density corresponding to respectively functions for evaluating the logarithm of the (potentially unnormalized) density of the target distribution and its gradient. As an alternative to gradient_log_density an entry value_and_gradient_log_density may instead be provided which is a function returning both the value and gradient of the logarithm of the (unnormalized) density of the target distribution as a list under the names value and gradient respectively.
scale_and_shape	Scalar, vector or matrix which scales and shapes proposal distribution. If a scalar (in which case the value should be non-negative) the auxiliary vector will be isotropically scaled by the value. If a vector (in which case the value should be equal in length to the dimension of the space and all entries non-negative) each dimension of the auxiliary vector will be scaled separately. If a matrix (in which case the value should be a square matrix with size equal to the dimension of the space) then by pre-multiplying the auxiliary vector arbitrary linear transformations can be performed.

Value

Logarithm of proposal density ratio.

rmcmc documentation built on April 3, 2025, 5:27 p.m.