rejection-samplers: Custom uniform rejection samplers

Description Usage Arguments Details References Examples

Description

These functions create rejection samplers, and uniform manifold samplers based on them, using user-provided parameterization and Jacobian functions.

Usage

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make_rejection_sampler(
  parameterization,
  jacobian,
  min_params,
  max_params,
  max_jacobian
)

Arguments

parameterization

A function that takes parameter vector arguments and returns a matrix of coordinates.

jacobian

A function that takes parameter vector arguments and returns a vector of Jacobian determinants.

min_params, max_params

(Optionally named) vectors of minimum and maximum values of the parameters, used for uniform sampling.

max_jacobian

An (ideally sharp) upper bound on the Jacobian determinant.

Details

The rejection sampling technique of Diaconis, Holmes, and Shahshahani (2013) uses a parameterized embedding from a parameter space to a coordinate space and relies on a formula for its jacobian determinant. The parameterization must be a function that takes vector arguments of equal length and returns a coordinate matrix of the same number of rows. The jacobian must be a function that takes the same arguments and returns a scalar value. The parameters must range from their respective minima min_params to their respective maxima max_params. max_jacobian must be provided, though it may be larger than the theoretical maximum of the jacobian determinant.

References

P Diaconis, S Holmes, and M Shahshahani (2013) Sampling from a Manifold. Advances in Modern Statistical Theory and Applications: A Festschrift in honor of Morris L. Eaton, 102–125. doi: 10.1214/12-IMSCOLL1006

Examples

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set.seed(47569L)

# parameterization and Jacobian for Klein bottle tube embedding
klein_parameterization <- function(theta, phi) {
  cbind(
    w = (1 + .5 * cos(theta)) * cos(phi),
    x = (1 + .5 * cos(theta)) * sin(phi),
    y = .5 * sin(theta) * cos(phi/2),
    z = .5 * sin(theta) * sin(phi/2)
  )
}
klein_jacobian <- function(theta, phi) {
  unname(.5 * sqrt((1 + .5 * cos(theta)) ^ 2 + (.5 * .5 * sin(theta)) ^ 2))
}
# custom sampler based on these functions
klein_sampler <- make_rejection_sampler(
  klein_parameterization,
  klein_jacobian,
  max_params = c(theta = 2*pi, phi = 2*pi),
  max_jacobian = klein_jacobian(cbind(theta = 0))
)
# compare custom sampler to `sample_klein_tube()`
pairs(klein_sampler(n = 360), asp = 1, pch = 19, cex = .5)
pairs(sample_klein_tube(n = 360, ar = 2), asp = 1, pch = 19, cex = .5)

tdaunif documentation built on Oct. 26, 2020, 5:08 p.m.