Returns a list with function to sample from the proposal, evaluate the log
density ratio for a state pair for the proposal and update the proposal
parameters. The proposal has two parameters scale
and shape
. At least one
of scale
and shape
must be set before sampling from the proposal or
evaluating the log density ratio.
Arguments
- target_distribution
Target stationary distribution for chain. A list with named entries
log_density
andgradient_log_density
corresponding to respectively functions for evaluating the logarithm of the (potentially unnormalized) density of the target distribution and its gradient. As an alternative togradient_log_density
an entryvalue_and_gradient_log_density
may instead be provided which is a function returning both the value and gradient of the logarithm of the (unnormalized) density of the target distribution as a list under the namesvalue
andgradient
respectively.- scale
Scale parameter of proposal distribution. A non-negative scalar value determining scale of steps proposed.
- shape
Shape parameter of proposal distribution. Either a vector corresponding to a diagonal shape matrix with per-dimension scaling factors, or a matrix allowing arbitrary linear transformations.
- sample_auxiliary
Function which generates a random vector from auxiliary variable distribution.
- sample_uniform
Function which generates a random vector from standard uniform distribution given an integer size.
Value
Proposal object. A list with entries
sample
: a function to generate sample from proposal distribution given current chain state,log_density_ratio
: a function to compute log density ratio for proposal for a given pair of current and proposed chain states,update
: a function to update parameters of proposal,parameters
: a function to return list of current parameter values.default_target_accept_prob
: a function returning the default target acceptance rate to use for any scale adaptation.default_initial_scale
: a function which given a dimension gives a default value to use for the initial proposal scale parameter.
Examples
target_distribution <- list(
log_density = function(x) -sum(x^2) / 2,
gradient_log_density = function(x) -x
)
proposal <- barker_proposal(target_distribution, scale = 1.)
state <- chain_state(c(0., 0.))
withr::with_seed(876287L, proposed_state <- proposal$sample(state))
log_density_ratio <- proposal$log_density_ratio(state, proposed_state)
proposal$update(scale = 0.5)