def adapt(self, mcmc_chain, step_output):
# this is an extension of the base adapt call
KameleonWindow.adapt(self, mcmc_chain, step_output)
iter_no = mcmc_chain.iteration
if iter_no > self.sample_discard and iter_no < self.stop_adapt:
learn_scale = 1.0 / sqrt(iter_no - self.sample_discard + 1.0)
self.nu2 = exp(log(self.nu2) + learn_scale * (exp(step_output.log_ratio) - self.accstar))
def adapt(self, mcmc_chain, step_output):
# this is an extension of the base adapt call
KameleonWindow.adapt(self, mcmc_chain, step_output)
iter_no = mcmc_chain.iteration
if iter_no > self.sample_discard and iter_no < self.stop_adapt:
learn_scale = 1.0 / sqrt(iter_no - self.sample_discard + 1.0)
self.nu2 = exp(
log(self.nu2) + learn_scale *
(exp(step_output.log_ratio) - self.accstar))
def main():
distribution = Banana(dimension=8, bananicity=0.1, V=100.0)
sigma = 5
print "using sigma", sigma
kernel = GaussianKernel(sigma=sigma)
mcmc_sampler = KameleonWindow(distribution, kernel)
start = zeros(distribution.dimension)
mcmc_params = MCMCParams(start=start, num_iterations=80000)
chain = MCMCChain(mcmc_sampler, mcmc_params)
# chain.append_mcmc_output(PlottingOutput(distribution, plot_from=3000))
chain.append_mcmc_output(StatisticsOutput(plot_times=True))
chain.run()
print distribution.emp_quantiles(chain.samples)
def __init__(self, distribution, kernel, nu2=0.1, gamma=None, \
sample_discard=500, num_samples_Z=1000, stop_adapt=20000, accstar=0.234):
KameleonWindow.__init__(self, distribution, kernel, nu2, gamma, \
sample_discard, num_samples_Z, stop_adapt)
self.accstar = accstar
def __str__(self):
s = self.__class__.__name__ + "=["
s += "accstar=" + str(self.accstar)
s += ", " + KameleonWindow.__str__(self)
s += "]"
return s
def __init__(self, distribution, kernel, nu2=0.1, gamma=0.1, \
sample_discard=500, num_samples_Z=1000, stop_adapt=20000, accstar=0.234):
KameleonWindow.__init__(self, distribution, kernel, nu2, gamma, \
sample_discard, num_samples_Z, stop_adapt)
self.accstar = accstar
def __str__(self):
s = self.__class__.__name__ + "=["
s += "accstar=" + str(self.accstar)
s += ", " + KameleonWindow.__str__(self)
s += "]"
return s
