[Developers] MCMC in ADMB

[Steve Martell]

Hi Cole,

I would be happy to help you with changes to the source code.  I agree with Sibert, the attached document could be quickly integrated into the ADMB user manual.  This is by far the most comprehensive documentation on all the options.

Steve
On Nov 13, 2014, at 9:05 AM, Cole Monnahan <monnahc at uw.edu<mailto:monnahc at uw.edu>> wrote:

Hi ADMB developers,

We're grad students at the University of Washington and we've been looking through the source code to better understand how MCMC is implemented in ADMB. I started doing this because I wanted to specify an arbitrary covariance matrix, but Jim Ianelli encouraged me to explore some of the algorithms for the other available options. I couldn't find documentation for them, so I began writing them up with the idea of putting them into the ADMB manual. As time went on it grew more from a technical description to a starting place for users who had never used ADMB for Bayesian analyses before (as we were). So we're calling it a "guide" for lack of a better term. Our intent, as recommended by Jim, is to put it on the ADMB website, probably in a similar place to my other short write-up about the bounding functions<http://www.admb-project.org/examples/admb-tricks/covariance-calculations>.

In doing this work we developed a list of updates we think would be worthwhile to include in future versions. We're not experienced C++ programmers, but we would be happy to work with someone to help implement those into the source.

Some proposed ideas for changes:

  *   Set mcsave default to 1, current default is to save nothing which would be unexpected for a lot of users.
  *   Warn users if mcsave is invoked with the hybrid method (it has no effect).
  *   Create new output file similar to .hst that outputs useful information of the analysis (mcmc options used, time started, ended, acceptance ratios, final scaling factor, etc.).
  *   Another file similiar to the .psv file (which contains only parameters) that stores the draws of sd_report variables.
  *   Remove need for a sdreport variable for MCMC (checked with Dave, not needed).
  *   Use a random seed if none is provided by user, or at least warn user of the default which is to use the same seed value (36519). In practice most users are reusing the same seed across models -- maybe not a good idea except for reproducibility which could be done by looking at the seed in the .hst file.
  *   Clean up the console output for both Metropolis and hybrid runs.

So please have a quick look through and let us know if (1) you find anything incorrect, and (2) whether you think it should be added into the ADMB manual or left as a separate document.

Thanks,
Cole, Melissa, and Peter
<admb_guide.pdf>_______________________________________________
Developers mailing list
Developers at admb-project.org<mailto:Developers at admb-project.org>
http://lists.admb-project.org/mailman/listinfo/developers


________________________________

This internet e-mail message, and any files transmitted with it, contains confidential, privileged information that is intended only for the addressee. If you have received this e-mail message in error, please call us at (206) 634-1838 collect if necessary) and ask to speak to the message sender. Nothing in this e-mail or the act of transmitting it, is to be construed as a waiver of any rights or privileges enjoyed by the sender or the International Pacific Halibut Commission pursuant to the International Organizations Immunities Act, 22 U.S.C. Sec. 288 et seq.
-------------- next part --------------
An HTML attachment was scrubbed...
URL: <http://lists.admb-project.org/pipermail/developers/attachments/20141115/343283e7/attachment.html>