[ADMB Users] mceval output inconsistent with mcmc display

[dave fournier]

On 11-06-09 07:34 PM, Campbell, Alex wrote:


So if I understand this you think the value should be closer to the mode.
Intuition about this is wrong.  In high dimensions you never get 
anywhere near the mode.
Think of a standard n dimensional multivariate normal. You can easily 
see that
the pdf for the distance r from 0 is prop. to r^{n-1}*exp(-r2/2}.
Do a quick calc to see what the probability is that you will get to 
within distance 1
of 0 when the dimension is 100. You may be surprised.



> Sorry yes it is the log likelihood. I was unclear.
>
> Mode estimate: approx 750 log likelihood. MCMC display output: ranges
> from 600 to 750 over one million iterations. Parameters read from psv
> file using mceval: around -600 after the first few hundred iterations.
>
> Thanks Ian that's exactly the sort of investigative tool I think I need.
>
> -alex
>
> -----Original Message-----
> From: users-bounces at admb-project.org
> [mailto:users-bounces at admb-project.org] On Behalf Of dave fournier
> Sent: Friday, 10 June 2011 8:41 AM
> To: users at admb-project.org
> Subject: Re: [ADMB Users] mceval output inconsistent with mcmc display
>
> Probably better to make a little example first.
> for example
> DATA_SECTION
> PARAMETER_SECTION
>     init_vector x(1,10)
>     sdreport_vector rx(1,10);
>     objective_function_value f
> PROCEDURE_SECTION
>     f=0.5*norm2(x);
>     rx=x;
>     if (mceval_phase())
>     {
>       cout<<  f<<  " "<<  x<<  endl;
>     }
>
> then running it with
>
>    ./small -mcmc 100000 -mcsave 1
>
> and the screen shows
>
> mcmc sim 1  acceptance rate 0 0
> -4.04084 -4.04084
>    mcmc sim 201  acceptance rate 0.169154 0.17
> -2.76404 -2.76404
>    mcmc sim 401  acceptance rate 0.187032 0.205
> -5.52107 -5.52107
>    mcmc sim 601  acceptance rate 0.189684 0.195
> -6.00142 -6.00142
>    mcmc sim 801  acceptance rate 0.187266 0.18
> -4.85913 -4.85913
>    mcmc sim 1001  acceptance rate 0.182817 0.165
> -1.51622 -1.51622
>    mcmc sim 1201  acceptance rate 0.181515 0.175
> -3.43209 -3.43209
>
> So this is the log-likelihood *NOT* minus the log-likelihood. Also it is
> every 200'th value. (Just printed out for amusement).
>
>
>
>
>
>
>
>
>
>
>
> ~
>
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