hmc: Hamiltonian Monte Carlo (HMC) sampling

In jtimonen/mc2: Markov Chain Monte Carlo Samplers

Description

Hamiltonian Monte Carlo (HMC) sampling

Usage

hmc(log_prob, hamiltonian, x0 = c(0, 0), iter = 100, step_size = 0.1)

Arguments

log_prob	a function that takes input theta and returns a value that is proportional to the log probability density at theta
hamiltonian	a function that takes as input the location and momentum and returns their time derivatives
x0	initial value
iter	number of iterations
step_size	leapfrog step size

Value

a list

jtimonen/mc2 documentation built on Jan. 20, 2020, 10:37 a.m.