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EntropyMCMC (version 1.0.4)

MCMC Simulation and Convergence Evaluation using Entropy and Kullback-Leibler Divergence Estimation

Description

Tools for Markov Chain Monte Carlo (MCMC) simulation and performance analysis. Simulate MCMC algorithms including adaptive MCMC, evaluate their convergence rate, and compare candidate MCMC algorithms for a same target density, based on entropy and Kullback-Leibler divergence criteria. MCMC algorithms can be simulated using provided functions, or imported from external codes. This package is based upon work starting with Chauveau, D. and Vandekerkhove, P. (2013) and next articles.

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Version

Install

install.packages('EntropyMCMC')

Monthly Downloads

59

Version

1.0.4

License

GPL (>= 3)

Maintainer

Didier Chauveau

Last Published

March 8th, 2019

Functions in EntropyMCMC (1.0.4)

plot.plMCMC

Plot paths of copies of Markov chains
MCMCcopies.mc

Simulates iid copies of a MCMC algorithm - multicore version
RWHM_chain

Simulating MCMC single chains using MCMC algorithms
accept_ratio

Acceptance ratio for Hastings-Metropolis simulated MCMC chains
gaussian_pdf

Proposal density evaluation and simulation
plot_Kblist

Plot sequences of Kullback distance estimates for comparison of several MCMC algorithms for a same target density
normEntropy

Theoretical value of the entropy for the multivariate gaussian
summary.plMCMC

Summarizes content of a plMCMC object holding iid copies of MCMC's
plot.KbMCMC

Plot sequences of estimates of Kullback distance or Entropy against iterations
EntropyMCMC

Kullback and entropy estimation from MCMC simulation output - single and multicore versions
EntropyParallel

Parallel simulation and Entropy estimation of MCMC's - single core and cluster versions
plottarget3d

3D plot of a two-dimensional MCMC target, or any function
EntropyMCMC-internal

Internal 'EntropyMCMC' Functions
MCMCcopies

Simulates iid copies of a MCMC algorithm
MCMCcopies.cl

Parallel simulation of iid copies of a MCMC algorithm - cluster versions
CollectChains

Collect MCMC chains in a single object
DrawInit

Random draws for initialization
EntropyMCMC-package

(A)MCMC Simulation and Convergence Evaluation using Entropy and Kullback-Leibler Divergence Estimation