hmc: Hamiltonian Monte Carlo

In vsartor/rhmc: Hamiltonian Monte Carlo

Description

Performs Hamiltonian Monte Carlo for a desired target function.

Usage

hmc(f, init, numit, L, eps, mass)

Arguments

f	Minus log-density function of interest.
init	Initial point for the algorithm.
numit	Number of iterations.
L	Leapfrog parameter: number of steps.
eps	Leapfrog parameter: size of each step.
mass	Mass vector.

Value

A list with the chain with the samples of interest, the values of the log-density calculated at each step and the acceptance rate.

Examples

f = function(x) -dnorm(x, 20, 10, log = TRUE)
hmc(f, 19, 1000, 16, 0.3, 0.1)

vsartor/rhmc documentation built on May 10, 2019, 8:27 a.m.