Create object to adapt proposal with per dimension scales based on estimates of target distribution variances. — variance_adapter • rmcmc

Create object to adapt proposal with per dimension scales based on estimates of target distribution variances.

Usage

variance_adapter(proposal, kappa = 0.6)

Arguments

proposal: Proposal object to adapt. Must define an update function which accepts a parameter shape for setting shape parameter of proposal.
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 <- variance_adapter(proposal)