mcmcensemble (version 2.0)

s.m.mcmc: MCMC Ensemble sampler with the stretch move (emcee)

Description

Markov Chain Monte Carlo sampler: using the stretch move (implementation of the Goodman and Ware emcee)

Usage

s.m.mcmc(f, lower.inits, upper.inits, max.iter, n.walkers, ...)

Arguments

f

function that returns a single scalar value proportional to the log probability density to sample from.

lower.inits

vector specifying for each parameter the lower value the initial distribution.

upper.inits

vector specifying for each parameter the upper value the initial distribution.

max.iter

maximum number of function evaluations

n.walkers

number of walkers (ensemble size)

...

further arguments passed to f

Value

List containing:

  • samples[n.walkers,chain.length,n.dim]

  • log.p[n.walkers,chain.length]

References

Goodman, J. and Weare, J. (2010) Ensemble samplers with affine invariance. Communications in Applied Mathematics and Computational Science, 5(1), 65<U+2013>80, 10.2140/camcos.2010.5.65