This class implements an Adaptive Multi-site Metropolis random walk algorithm.
Object of AdaptiveMultiMRW
cov
the current covariance
burnin
the number of updates to burn in
tune
the current tuning matrix
naccept
the number of accepted proposals
ncalls
the number of times update
has been called
node
the node to which the updater is attached
new(node, tune = rep(0.1, length(node$getData())), burning = 100)
constructor takes an instance of a StochasticNode node, initial tuning vector (diagonal of adaptive tuning matrix), and number of burnin calls.
update()
when called, updates node
acceptance()
return the acceptance rate
A multivariate Gaussian proposal is used, for which the proposal variance is a scaled version of the evolving empirical posterior covariance matrix. See Roberts and Rosenthal (2012) Examples of Adaptive MCMC. Journal of Computational and Graphical Statistics. 18:349--367.
Please note that no checks are performed as to the suitability of this algorithm for a particular StochasticNode. It is up to the user to use the correct update algorithm for the appropriate nodes.