[ADMB Users] hybrid mcmc

[dave fournier]

If anyone wants to play with it the hybrid mcmc is already partially
implemented.  What is missing is restarts, and it currently only works
for non random effects models.  Here is a trivial example I call
hysimple.tpl

DATA_SECTION
   int n
  !! n=10;
PARAMETER_SECTION
   init_vector x(1,n)
   sdreport_number x1
   objective_function_value f
PROCEDURE_SECTION
   x1=x(1);
   f+=0.5*norm2(x);
   if (mceval_phase())
     cout << x1 << endl

You do the hybrid mcmc with a command like

  ./hysimple -hybrid -mcmc 2000 -hyeps .3 -hynsteps 20

It does not create any hst files, just saves the values in
a psv file. You get the results with -mceval afterwards.

  ./hysimple -mceval