R/MHPropMain_rw.R

In thiyangt/fformpp: Feature-based FORecast Model Performance Prediction

##' The Main file for Metropolis–Hastings algorithm
##'
##' @export
MHPropMain_rw <- function(param.cur, gradhess.fun.name, logpost.fun.name, nNewtonStep,
                       Params, hessMethod, Y.iCross, x.iCross, callParam, splineArgs,
                       priorArgs, prop.df, Params_Transform, propMethod)
{
    ## This is the mail MH file,  It will call individual functions for each proposal
    # print("MH-Main \n")
    # browser("MH-Main")
    require("MASS")
    require("Matrix")
    if (tolower(propMethod) == "inverse-wishart")
    {
        ## The Metropolis-Hastings with inverse Wishart proposal
        out <- MHPropWithIWishart(param.cur = param.cur, logpost.fun.name =
                                      logpost.fun.name, Params = Params, Y = Y.iCross, x0 =
                                      x.iCross, callParam = callParam,
                                  splineArgs = splineArgs, priorArgs = priorArgs,
                                  Params_Transform = Params_Transform)
    }
    else if((tolower(propMethod) == "kstepnewton"))
    {
        ## The Metropolis-Hastings with k-step Newton proposal
        out <- MHPropWithKStepNewton(param.cur = param.cur, gradhess.fun.name =
                                         gradhess.fun.name, logpost.fun.name =
                                         logpost.fun.name, nNewtonStep =
                                         nNewtonStep, Params = Params, hessMethod =
                                         hessMethod, Y = Y.iCross, x0 = x.iCross,
                                     callParam = callParam,
                                     splineArgs = splineArgs, priorArgs = priorArgs,
                                     prop.df = prop.df, Params_Transform =
                                         Params_Transform)
    }
    else if ((tolower(propMethod) == "random-walk"))
    {
        ## The Metropolis with random walk proposal
        out <- RandomWalkMetropolis(param.cur = param.cur,
                                    logpost.fun.name = logpost.fun.name,
                                    Params = Params,
                                    Y = Y.iCross,
                                    x0 = x.iCross,
                                    callParam = callParam,
                                    splineArgs = splineArgs,
                                    priorArgs = priorArgs,
                                    Params_Transform = Params_Transform)
    }
    else
    {
        stop("Wrong argument for propDensity!")
    }

    return(out)
}