adnuts: adnuts: No-U-turn sampling for Template Model Builder and AD...

Description Details References

Description

Draw Bayesian posterior samples from a TMB or ADMB model using the no-U-turn MCMC sampler. Adaptation schemes are used so specifying tuning parameters is not necessary, and parallel execution reduces overall run time.

Details

The software package Stan pioneered the use of no-U-turn (NUTS) sampling for Bayesian models (Hoffman and Gelman 2014, Carpenter et al. 2017). This algorithm provides fast, efficient sampling across a wide range of models, including hierarchical ones, and thus can be used as a generic modeling tool (Monnahan et al. 2017). The functionality provided by adnuts is based loosely off Stan and R package rstan

adnuts R package provides NUTS sampling for two existing software platforms: ADMB (Fournier et al. 2011) and TMB (Kristensen et al. 2017, Kristensen 2017). The specific NUTS capabilities include adaptation of step size and metric (mass matrix), parallel execution, and links to diagnostic and inference tools provided by rstan and shinystan.

For TMB models, adnuts provides NUTS and other MCMC algorithms written in R. These can be used with a TMB model by plugging in the obj$fn and obj$gr functions from the DLL directly. It is possible to use these functions with models outside TMB, as long as the log density and gradients can be calculated. See sample_tmb for more details.

The ADMB implementation is different in that the NUTS code is bundled into the ADMB source itself. Thus, when a user builds an ADMB model the NUTS code is incorporated into the model executable. Thus, adnuts simply provides a convenient set of wrappers to more easily execute, diagnose, and make inference on a model.

References

Carpenter, B., Gelman, A., Hoffman, M.D., Lee, D., Goodrich, B., Betancourt, M., Riddell, A., Guo, J.Q., Li, P., Riddell, A., 2017. Stan: A Probabilistic Programming Language. J Stat Softw. 76:1-29.

Fournier, D.A., Skaug, H.J., Ancheta, J., Ianelli, J., Magnusson, A., Maunder, M.N., Nielsen, A., Sibert, J., 2012. AD Model Builder: using automatic differentiation for statistical inference of highly parameterized complex nonlinear models. Optim Method Softw. 27:233-249.

Hoffman, M.D., Gelman, A., 2014. The no-U-turn sampler: adaptively setting path lengths in Hamiltonian Monte Carlo. J Mach Learn Res. 15:1593-1623.

Kristensen, K., Nielsen, A., Berg, C.W., Skaug, H., Bell, B.M., 2016. TMB: Automatic differentiation and Laplace approximation. J Stat Softw. 70:21.

Kristensen, K., 2017. TMB: General random effect model builder tool inspired by ADMB. R package version 1.7.11.

Monnahan, C.C., Thorson, J.T., Branch, T.A., 2017. Faster estimation of Bayesian models in ecology using Hamiltonian Monte Carlo. Methods in Ecology and Evolution. 8:339-348.

Stan Development Team, 2016. Stan modeling language users guide and reference manual, version 2.11.0.

Stan Development Team, 2016. RStan: The R interface to Stan. R package version 2.14.1. http://mc-stan.org.


colemonnahan/rnuts documentation built on Feb. 13, 2018, 4 p.m.