hdtg (version 0.3.4)

getZigzagSample: Draw one MTN sample with Zigzag-HMC or Zigzag-NUTS

Description

Simulate the Zigzag-HMC or Zigzag-NUTS dynamics on a given MTN.

Usage

getZigzagSample(position, momentum = NULL, nutsFlg, engine, stepSize = NULL)

Value

one MCMC sample from the target MTN.

Arguments

position

a d-dimensional initial position vector.

momentum

a d-dimensional initial momentum vector.

nutsFlg

logical. If TRUE the No-U-Turn sampler will be used (Zigzag-NUTS).

engine

list. Its engine element is a pointer to the Zigzag-HMC engine (or Zigzag-NUTS engine) C++ object that implements fast computations for Zigzag-HMC (or Zigzag-NUTS).

stepSize

step size for Zigzag-HMC. If nutsFlg = TRUE, engine contains the base step size for Zigzag-NUTS).

See Also

zigzagHMC(), drawLaplaceMomentum()

Examples

set.seed(1)
n <- 1000
d <- 10
samples <- array(0, c(n, d))

# initialize MTN mean and precision
m <- rnorm(d, 0, 1)
prec <- rWishart(n = 1, df = d, Sigma = diag(d))[, , 1]
# call createEngine once
engine <- createEngine(dimension = d, lowerBounds = rep(0, d),
 upperBounds = rep(Inf, d), seed = 1, mean = m, precision = prec)

HZZtime <- sqrt(2) / sqrt(min(mgcv::slanczos(
 A = prec, k = 1,
 kl = 1
)[['values']]))

currentSample <- rep(0.1, d)
for (i in 1:n) {
  m <- rnorm(d, 0, 1)
  prec <- rWishart(n = 1, df = d, Sigma = diag(d))[,,1]
  setMean(engine = engine, mean = m)
  setPrecision(engine = engine, precision = prec)
  currentSample <- getZigzagSample(position = currentSample,
                                   nutsFlg = FALSE,
                                   engine = engine,
                                   stepSize = HZZtime)
  samples[i,] <- currentSample
}