HmcDual: HmcDual

In jodie0399/NUTS: Hamiltonian Monte Carlo and No-U-Turn Sampler with Dual Averaging

Description

Hamiltonian Monte Carlo with Dual Averaging

Usage

HmcDual(theta0, delta, lambda, L, M, Madapt)

Arguments

theta0	a p-dimensional vector with the initial value for each parameter.
delta	the desired average acceptance probability
lambda	trajectory length for leapfrog
L	a callable function that returns a 2-dimensional vector whose first element is the logarithm of the density of the input and the second is the gradient of the logarithm of the density evaluated at the input.
M	an integer specifying the number of iterations.
Madapt	an integer specifying the number of iterations of the warmup phase.

Value

This function returns a matrix whose m-th row is a sample from the joint density.

jodie0399/NUTS documentation built on May 29, 2019, 1:06 a.m.