ess_summary: ess_summary

In lrioudurand/malt: Metropolis Adjusted Langevin Trajectories

ess_summary

Description

computes effective sample sizes of the chain

Usage

ess_summary(output)

Arguments

output

an output of the malt function

Value

a list of effective sample sizes when estimating the first and second moments

Examples

d=50
sigma=((d:1)/d)^(1/2)
init=rnorm(d)*sigma
U=function(x){sum(0.5*x^2/sigma^2)}
grad=function(x){x/sigma^2}
n=10^4
g=1.5
h=0.20
L=8
output=malt(init,U,grad,n,g,h,L)
ess_summary(output)

lrioudurand/malt documentation built on July 28, 2022, 11:06 p.m.