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.

Author | Alireza S. Mahani, Asad Hasan, Marshall Jiang, Mansour T.A. Sharabiani |

Date of publication | 2016-10-25 10:31:12 |

Maintainer | Alireza Mahani <alireza.s.mahani@gmail.com> |

License | GPL (>= 2) |

Version | 1.1.2 |

**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

ess | Man page |

plot.sns | Man page |

predict.sns | Man page |

print.sns.check.logdensity | Man page |

print.summary.predict.sns | Man page |

print.summary.sns | Man page |

sns | Man page |

sns.check.logdensity | Man page |

sns.check.part | Man page |

sns.fghEval.numaug | Man page |

sns.make.part | Man page |

sns.run | Man page |

summary.predict.sns | Man page |

summary.sns | Man page |

sns

sns/inst

sns/inst/CITATION

sns/inst/doc

sns/inst/doc/SNS.Rnw

sns/inst/doc/SNS.R

sns/inst/doc/SNS.pdf

sns/NAMESPACE

sns/R

sns/R/sns.R
sns/R/sns.methods.R
sns/R/ess.R
sns/R/zzz.R
sns/vignettes

sns/vignettes/SNS.bib

sns/vignettes/fig_bench_corr_binomial.pdf

sns/vignettes/fig_bench_N_binomial.pdf

sns/vignettes/fig_bench_N_exponential.pdf

sns/vignettes/fig_bench_corr_exponential.pdf

sns/vignettes/SNS.Rnw

sns/vignettes/fig_bench_N_poisson.pdf

sns/vignettes/fig_bench_corr_poisson.pdf

sns/MD5

sns/build

sns/build/vignette.rds

sns/DESCRIPTION

sns/ChangeLog

sns/man

sns/man/plot.sns.Rd
sns/man/sns.fghEval.numaug.Rd
sns/man/summary.sns.Rd
sns/man/predict.sns.Rd
sns/man/sns.part.Rd
sns/man/sns.check.logdensity.Rd
sns/man/sns.run.Rd
sns/man/ess.Rd
sns/man/sns.Rd
Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.