sns: Stochastic Newton Sampler (SNS)
Version 1.1.2

Stochastic Newton Sampler (SNS) is a Metropolis-Hastings-based, Markov Chain Monte Carlo sampler for twice differentiable, log-concave probability density functions (PDFs) where the proposal density function is a multivariate Gaussian resulting from a second-order Taylor-series expansion of log-density around the current point. The mean of the Gaussian proposal is the full Newton-Raphson step from the current point. A Boolean flag allows for switching from SNS to Newton-Raphson optimization (by choosing the mean of proposal function as next point). This can be used during burn-in to get close to the mode of the PDF (which is unique due to concavity). For high-dimensional densities, mixing can be improved via 'state space partitioning' strategy, in which SNS is applied to disjoint subsets of state space, wrapped in a Gibbs cycle. Numerical differentiation is available when analytical expressions for gradient and Hessian are not available. Facilities for validation and numerical differentiation of log-density are provided.

AuthorAlireza S. Mahani, Asad Hasan, Marshall Jiang, Mansour T.A. Sharabiani
Date of publication2016-10-25 10:31:12
MaintainerAlireza Mahani <alireza.s.mahani@gmail.com>
LicenseGPL (>= 2)
Version1.1.2
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("sns")

Popular man pages

ess: Effective Sample Size Calculator
plot.sns: Plotting "sns" Objects
sns: Stochastic Newton Sampler (SNS)
sns.fghEval.numaug: Utility function for augmentation of a log-density function...
sns.part: Utility Functions for Creating and Validating State Space...
sns.run: Drawing multiple samples using Stochastic Newton Sampler
summary.sns: Summarizing "sns" Objects
See all...

All man pages Function index File listing

Man pages

ess: Effective Sample Size Calculator
plot.sns: Plotting "sns" Objects
predict.sns: Sample-based prediction using "sns" Objects
sns: Stochastic Newton Sampler (SNS)
sns.check.logdensity: Utility function for validating log-density
sns.fghEval.numaug: Utility function for augmentation of a log-density function...
sns.part: Utility Functions for Creating and Validating State Space...
sns.run: Drawing multiple samples using Stochastic Newton Sampler
summary.sns: Summarizing "sns" Objects

Functions

ess Man page Source code
onAttach Source code
plot.sns Man page Source code
predict.sns Man page Source code
print.sns Source code
print.sns.check.logdensity Man page Source code
print.summary.predict.sns Man page Source code
print.summary.sns Man page Source code
sns Man page Source code
sns.calc.pval Source code
sns.check.logdensity Man page Source code
sns.check.part Man page Source code
sns.fghEval.numaug Man page Source code
sns.make.part Man page Source code
sns.run Man page Source code
summary.predict.sns Man page Source code
summary.sns Man page Source code

Files

inst
inst/CITATION
inst/doc
inst/doc/SNS.Rnw
inst/doc/SNS.R
inst/doc/SNS.pdf
NAMESPACE
R
R/sns.R
R/sns.methods.R
R/ess.R
R/zzz.R
vignettes
vignettes/SNS.bib
vignettes/fig_bench_corr_binomial.pdf
vignettes/fig_bench_N_binomial.pdf
vignettes/fig_bench_N_exponential.pdf
vignettes/fig_bench_corr_exponential.pdf
vignettes/SNS.Rnw
vignettes/fig_bench_N_poisson.pdf
vignettes/fig_bench_corr_poisson.pdf
MD5
build
build/vignette.rds
DESCRIPTION
ChangeLog
man
man/plot.sns.Rd
man/sns.fghEval.numaug.Rd
man/summary.sns.Rd
man/predict.sns.Rd
man/sns.part.Rd
man/sns.check.logdensity.Rd
man/sns.run.Rd
man/ess.Rd
man/sns.Rd
sns documentation built on May 19, 2017, 11:08 a.m.

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