[ADMB Users] Metropolis coupled MCMC example available online
James.Thorson at noaa.gov
Fri May 25 12:11:44 PDT 2012
I thought I'd post an example of Metropolis-Coupled MCMC (MCMCMC) that Ian
Taylor and I put together (available
It's designed to improve mixing for highly multimodal MCMC problems, and
can be easily adapted to other applications by adding one line in any given
TPL (we demonstrate it using a mixture of bivariate normals). It
coordinates ADMB's MCMC utility for unheated and heated sampling chains
from within R, and could be parallelized easily.
I post it in case it's helpful to other people, either immediately or as
rubric for MCMC changes within the ADMB source code. I'm open to
questions, suggestions, or comments.
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