autotune: autotune

In mickwar/mwBASE: Collection of functions frequently used by myself

Description

Used to adjust candidate sigmas for normal candidate densities Requires the calculation of acceptance rates within some given window of mcmc iterations. For example, every 500 draws compute the acceptance rate (0 <= A <= 1) for each parameter using the last 500 draws. Multiply each candidate sigma by autotune().

Usage

autotune(accept, target = 0.25, k = 2.5)

Arguments

accept	the acceptance rate within a given window
target	the acceptance rate goal
k	the maximum the candidate sigma can change by, 1/k is minimum it can change by. For instance, if the current sigma is 2, and in some window of mcmc iterations every draw was accepted, the new candidate sigma would now be 2*k, which should serve to reduce the acceptance rate. On the other hand, if no draws are accepted, the new candidate sigma would then be 2/k. I recommend k = window/50 Larger values of k will change sigma by a larger amount, and vice versa for smaller values (k -> 1, autotune() -> 1, everywhere)

mickwar/mwBASE documentation built on May 22, 2019, 9:56 p.m.