## Running tmcmcR on some simple illustrative examples
library(devtools)
library(tmcmcR2)
library(Rcpp)
library(mcmc)
d=50; ## dimension of the simulated variable
L=30; ### the number of replications we use for finding KS statistic
nsamples <- 5000;
Mult_Mattingly=array(0,c(2,L,nsamples,d));
mu_target=rep(0,d);
Sigma_target = 0.01*diag(1/(1:(d))*d);
L=30; ### the number of replications we use for finding KS statistic
Mult_Mattingly=array(0,c(2,L,nsamples,d));
Mattingly_matrix <- 100*(diag(1-0.7,d)+0.7*rep(1,d)%*%t(rep(1,d)));
library(mvtnorm)
pdf = function(x)
{
return (dmvnorm(x,mu_target,Sigma_target,log=TRUE)-t(x)%*%Mattingly_matrix%*%x)
}
base=rnorm(d,0,1);
for ( l in 1:L)
{
Mult_Mattingly[1,l,,] <- tmcmcR2:::tmcmc_metrop(pdf,base=base, scale=1,nsamples=5000,burn_in = NULL)$chain;
Mult_Mattingly[2,l,,] <- tmcmcR2:::rwmh_metrop(pdf,base=base, scale=1,nsamples=5000,burn_in = NULL)$chain;
cat("We are at iter:",l, "\n")
}
KSval_TMCMC=array(0,nsamples);
KSval_MCMC=array(0,nsamples);
for(d in 1:40)
{
for(n in 1:nsamples)
{
simulate.vec <- rnorm(L,mu_target[d],Sigma_target[d,d]/(sqrt(2*Sigma_target[d,d]^2+1)));
KSval_TMCMC[n]=ks.test(Mult_Mattingly[1,,n,d],simulate.vec)$statistic;
KSval_MCMC[n]=ks.test(Mult_Mattingly[2,,n,d],simulate.vec)$statistic;
}
plot(1:nsamples,KSval_TMCMC,col="red",type="l",lwd=1,pch=2,xlab="",ylab="")
lines(1:nsamples,KSval_MCMC,col="blue",lwd=1,pch=3)
title(xlab="Time step of run");
title(ylab="KS test distance");
title(main="KS plot comparison");
legend("topright",c("TMCMC","RWMH"),fill=c("red","blue"),border="black");
}
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