[ADMB Users] hybrid mcmc
davef at otter-rsch.com
Tue Aug 31 12:50:25 PDT 2010
> First, it seems that within hybrid, ADMB
> automatically produces some output at every
> iteration. Piping to a file speeds things up, but
> is there a way to turn this extra output off or
> reduce the frequency? Actually, if I knew what the
> output was, maybe I'd be more excited about seeing it.
You can edit the source file hybridmcmc.cpp I think it is called.
It should be easy to add the mcsave option
> Second, is there any sort of rescaling of the jump
> function(s) in the hybrid MCMC, akin to what
> happens in the normal MCMC mode in ADMB? I suppose
> the epsilon and n-steps inputs are a manual
> analogue to the automatic rescaling, but I haven't
> really taken the time to study the theory behind
> hybrid MCMC and therefore don't fully understand
> how rescaling might work.
The steps are rescaled via the Hessian at the mode.
see the choleski-decomp stuff in the code.
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