coupled_cpm_chains_Tblocking: Coupled correlated pseudo-marginal chains with blocking

In lolmid/unbiased_intractable_targets: Debiased particle MCMC with couplings

Description

Sample two CPM chains, each following single_kernel marginally, and coupled_kernel jointly, until min(max(tau, K), max_iterations), where tau is the first time at which the two chains meet (i.e. take the same value exactly). Or more precisely, they meet with a delay of one, i.e. X_t = Y_t-1. The chains are initialized from the distribution provided in rinit.

Usage

coupled_cpm_chains_Tblocking(single_kernel, coupled_kernel, coupled_init,
  nparticles, nobs, iters_per_cycle = 1, K = 1, max_iterations = Inf,
  preallocate = 10, coupled_state = F, verbose = F, finish_time = NULL)

Arguments

single_kernel	function taking a state (in a vector) and an iteration, and returning a list with a key named chain_state and containing the next state.
coupled_kernel	function taking two states (in two vectors) and an iteration, and returning a list with keys chain_state1 and chain_state2.
coupled_init	function taking no arguments are returning an initial state for a Markov chain.
K	number of iterations desired (will be proportional to the computing cost if meeting occurs before K, default to 1).
max_iterations	number of iterations at which the function stops if it is still running (default to Inf).
preallocate	expected number of iterations, used to pre-allocate memory (default to 10).

lolmid/unbiased_intractable_targets documentation built on May 13, 2019, 11:54 p.m.