coxprocess_unbiased_increment: Unbiased estimator for the value of the increment at the...
In jeremyhengjm/UnbiasedMultilevel: Unbiased estimators for discretized models

Generate four coupled chains and compute the estimator of the increment

coxprocess_unbiased_increment(
  parameters,
  model_coarse,
  model_fine,
  mcmc,
  h_coarse = function(x) x,
  h_fine = function(x) x,
  k = 0,
  m = 1,
  max_iterations = Inf
)

`parameters`	a list of model parameters (sigmasq, mu, beta)
`model_coarse`	a list of functions for coarser resolution model with keys `logtarget`, `gradlogtarget`, `rinit` and `dimension`
`model_fine`	a list of functions for finer resolution model with keys `logtarget`, `gradlogtarget`, `rinit` and `dimension`
`mcmc`	a list of MCMC kernels with keys `multilevel_kernel` and `coupled4_kernel`
`h_coarse`	function that represents quantity of interest on coarser resolution
`h_fine`	function that represents quantity of interest on finer resolution
`k`	an integer: lower bound for time-averaging
`m`	an integer: upper bound for time-averaging
`max_iterations`	iteration at which to stop the while loop (default to infinity)

a list with the value of MCMC estimator without correction, value of Unbiased MCMC estimator, meeting time, value of iteration counter, flag that is "True" if chains have met before the iteration counter reached the value in max_iterations, cost of calculations

jeremyhengjm/UnbiasedMultilevel documentation built on Dec. 20, 2021, 11:03 p.m.