dikin_walk: Dikin Walk

In andyyao95/walkr: Random Walks in the Intersection of Hyperplanes and the N-Simplex

Description

This function implements the Dikin Walk using the Hessian of the Log barrier function. Note that a $r$ of 1 guarantees that the ellipsoid generated won't leave our polytope $K$ (see Theorems online)

Usage

dikin_walk(A, b, x0 = list(), points, r = 1, thin = 1, burn = 0,
  chains = 1)

Arguments

A	is the lhs of Ax <= b
b	is the rhs of Ax <= b
x0	is the starting point (a list of points)
points	is the number of points we want to sample
r	is the radius of the ellipsoid (1 by default)
thin	every thin-th point is stored
burn	the first burn points are deleted
chains	is the number of chains we run

Value

a list of chains of the sampled points, each chain being a matrix object with each column as a point

Examples

## Not run: 
## note that this Ax <= b is different from Ax=b that the 
## user specifies for walkr (see transformation section in vignette) 
dikin_walk(A = A, b = b, x0, points = 100, 
           r = 1thin = 1, burn = 0, chains = 1) 

## End(Not run) 

andyyao95/walkr documentation built on June 4, 2019, 7:18 a.m.