rnorm_rw_fac: Random walk normal distribution (factory)

In weiyaw/blackbox: A SMC-SA Algorithm for Constrained Optimisation

Description

This is a factory that creates a random walk normal distribution that adds some noise to the provided values.

Usage

rnorm_rw_fac(sd = 1, fraction = 0.97)

Arguments

sd	the standard deviation of the normal distribution at the first iteration, that is when k = 1. (num)
fraction	the percentage of standard deviation (relative to the previous iteration) left after each iteration. (num)

Details

This proposal is designed to decrease after each iteration. The default option is to decrese 3 percentage from the standard deviation at the previous iteration.

Value

a function that takes a matrix of current states (each column corresponds to a state) (num mat) and the current iteration count (num), and produces a matrix of proposed states (num mat).

weiyaw/blackbox documentation built on June 7, 2019, 5:12 a.m.