Create object to adapt proposal scale to coerce average acceptance rate.

Create object to adapt proposal scale to coerce average acceptance rate.

Usage

scale_adapter(proposal, initial_scale, target_accept_prob = 0.4, kappa = 0.6)

Arguments

proposal

Proposal object to adapt. Must define an update function which accepts a parameter scale for setting scale parameter of proposal.

initial_scale

Initial value to use for scale parameter.

target_accept_prob

Target value for average accept probability for chain.

kappa

Decay rate exponent in [0.5, 1] for adaptation learning rate.

Value

List of functions with entries

• initialize, a function for initializing adapter state at beginning of chain,

• update a function for updating adapter state and proposal parameters on each chain iteration,

• finalize a function for performing any final updates to adapter state and proposal parameters on completion of chain sampling (may be NULL if unused).

Examples

target_distribution <- list(
  log_density = function(x) -sum(x^2) / 2,
  grad_log_density = function(x) -x
)
proposal <- barker_proposal(target_distribution)
adapter <- scale_adapter(
  proposal,
  initial_scale = 1., target_accept_prob = 0.4
)