README.md

In ChristofSeiler/curvature: Convergence Diagnosis of Hamiltonian Monte Carlo

R Package curvature

This package implements a simulation-based approach to our NIPS paper:

Positive Curvature and Hamiltonian Monte Carlo 
C. Seiler, S. Rubinstein-Salzedo, and S. Holmes 
NIPS, December, 2014, Montreal, Canada

and our long version:

Curvature and Concentration of Hamiltonian Monte Carlo in High Dimensions 
S. Holmes, S. Rubinstein-Salzedo, and C. Seiler 
https://arxiv.org/abs/1407.1114

Installation

install.packages("devtools")
devtools::install_github("ChristofSeiler/curvature")

Getting Started

library("curvature")
fit = rstan::sampling(...)
res = curvature(fit)
summary(res)
plot(res)

Vignette

A compiled vignette is avaible here. To build it yourself, we need to install the package again with the build_vignettes enabled.

devtools::install_github("ChristofSeiler/curvature", build_vignettes=TRUE)
library("curvature")
vignette("curvature", package="curvature")

ChristofSeiler/curvature documentation built on May 28, 2019, 12:17 p.m.