AffineInvariantMCMC.jl
Module AffineInvariantMCMC.jl provides functions for Bayesian sampling using Affine Invariant Markov chain Monte Carlo (MCMC) Ensemble sampler (aka Emcee) based on a paper by Goodman & Weare, "Ensemble samplers with affine invariance" Communications in Applied Mathematics and Computational Science, DOI: 10.2140/camcos.2010.5.65, 2010.
AffineInvariantMCMC.jl module functions:
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AffineInvariantMCMC.flattenmcmcarray
— Method.
Flatten MCMC arrays
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AffineInvariantMCMC.sample
— Function.
Bayesian sampling using Goodman & Weare's Affine Invariant Markov chain Monte Carlo (MCMC) Ensemble sampler (aka Emcee)
AffineInvariantMCMC.sample(llhood, numwalkers=10, numsamples_perwalker=100, thinning=1)
Arguments:
llhood
: function estimating loglikelihood (for example, generated using Mads.makearrayloglikelihood())numwalkers
: number of walkersx0
: normalized initial parameters (matrix of size (length(params), numwalkers))thinning
: removal of anythinning
realizationa
:
Returns:
mcmcchain
: final MCMC chainllhoodvals
: log likelihoods of the final samples in the chain
Reference:
Goodman & Weare, "Ensemble samplers with affine invariance", Communications in Applied Mathematics and Computational Science, DOI: 10.2140/camcos.2010.5.65, 2010.
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AffineInvariantMCMC.test
— Method.
Test AffineInvariantMCMC