adaptive.hpp File Reference

Contains the implementation of an adaptive proposal function. More...

#include <random>
#include <functional>
#include <Eigen/Core>

Include dependency graph for adaptive.hpp:

Namespaces
	stateline
	stateline::mcmc

Functions
Eigen::VectorXd	stateline::mcmc::bouncyBounds (const Eigen::VectorXd &val, const Eigen::VectorXd &min, const Eigen::VectorXd &max)
	A function to bounce the MCMC proposal off the hard boundaries. This allows the proposal to always move around without getting stuck at 'walls'. More...
Eigen::VectorXd	stateline::mcmc::adaptiveGaussianProposal (const Eigen::VectorXd &state, double sigma, const Eigen::VectorXd &min, const Eigen::VectorXd &max)
	An adaptive Gaussian proposal function. It randomly varies each value in the state according to a Gaussian distribution whose variance changes depending on the acceptance ratio of a chain. It also bounces of the walls of the hard boundaries given so as not to get stuck in corners. More...

Detailed Description

Contains the implementation of an adaptive proposal function.

Author

Darren Shen

Date

2014

License:

Affero General Public License version 3 or later

Copyright

(c) 2014, NICTA