I2 ICT software
AdaptiveMCMC.jl (2020)


Vihola, M. (2020). AdaptiveMCMC.jl. GitHub. https://github.com/mvihola/AdaptiveMCMC.jl


JYU authors or editors


Publication details

All authors or editors: Vihola, Matti

Publication year: 2020

Publication date: 11/10/2021

Publisher: GitHub

Publication language: English

Persistent website address: https://github.com/mvihola/AdaptiveMCMC.jl

Publication open access: Openly available

Publication channel open access: Open Access channel


Abstract

This package provides implementations of some general-purpose random-walk based adaptive MCMC algorithms, including the following:
Adaptive Metropolis, proposal covariance adaptation, (Haario, Saksman and Tamminen, 2001, and Andrieu and Moulines, 2006)
Adaptive scaling Metropolis, acceptance rate adaptation for scale (e.g. as in Andrieu and Thoms, 2008, and Atchadé and Fort, 2010)
Robust Adaptive Metropolis, acceptance rate adaptation for shape (Vihola, 2012)
Adaptive Parallel Tempering, acceptance rate adaptation for temperature levels (Miasojedow, Moulines and Vihola, 2013)
The aim of the package is to provide a simple and modular general-purpose implementation, which may be easily used to sample from a log-target density, but also used in a variety of custom settings.


Keywords: sampling (statistical methods); stochastic processes; Markov chains; Monte Carlo methods; algorithms


Contributing organizations


Ministry reporting: Yes


Last updated on 2022-15-06 at 17:20