adaptive.mcmc.cpp: Adaptive MCMC algorithm implemented in C++

In MJomaba/flu-evidence-synthesis: Flu Evidence Synthesis: Analysing Effectiveness of Vaccine Strategies

Adaptive MCMC algorithm implemented in C++

Description

MCMC which adapts its proposal distribution for faster convergence following: Sherlock, C., Fearnhead, P. and Roberts, G.O. The Random Walk Metrolopois: Linking Theory and Practice Through a Case Study. Statistical Science 25, no.2 (2010): 172-190.

Usage

adaptive.mcmc.cpp(lprior, llikelihood, outfun, acceptfun, nburn, initial,
  nbatch, blen = 1L, verbose = FALSE)

Arguments

lprior	A function returning the log prior probability of the parameters
llikelihood	A function returning the log likelihood of the parameters given the data
outfun	A function that is called for each batch. Can be useful to log certain values.
acceptfun	A function that is called whenever a sample is accepted.
nburn	Number of iterations of burn in
initial	Vector with starting parameter values
nbatch	Number of batches to run (number of samples to return)
blen	Length of each batch
verbose	Output debugging information

Value

Returns a list with the accepted samples and the corresponding llikelihood values

See Also

adaptive.mcmc For a more flexible R frontend to this function.

MJomaba/flu-evidence-synthesis documentation built on April 26, 2022, 11:12 p.m.