variance_shape_adapter | R Documentation |
Corresponds to variance variant of Algorithm 2 in Andrieu and Thoms (2009), which is itself a restatement of method proposed in Haario et al. (2001).
variance_shape_adapter(kappa = 1)
kappa |
Decay rate exponent in |
List of functions with entries
initialize
, a function for initializing adapter state and proposal
parameters at beginning of chain,
update
a function for updating adapter state and proposal parameters on
each chain iteration,
finalize
a function for performing any final updates to adapter state and
proposal parameters on completion of chain sampling (may be NULL
if
unused).
state
a zero-argument function for accessing current values of adapter
state variables.
Andrieu, C., & Thoms, J. (2008). A tutorial on adaptive MCMC. Statistics and Computing, 18, 343-373.
Haario, H., Saksman, E., & Tamminen, J. (2001). An adaptive Metropolis algorithm. Bernoulli, 7(2): 223-242.
proposal <- barker_proposal()
adapter <- variance_shape_adapter()
adapter$initialize(proposal, chain_state(c(0, 0)))
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