def __init__(self, distribution, num_eigen=2, \
mean_est=array([-2.0, -2.0]), cov_est=0.05 * eye(2), \
sample_discard=500, sample_lag=10, accstar=0.234):
AdaptiveMetropolis.__init__(self, distribution=distribution, \
mean_est=mean_est, cov_est=cov_est, \
sample_discard=sample_discard, sample_lag=sample_lag, accstar=accstar)
assert (num_eigen <= distribution.dimension)
self.num_eigen = num_eigen
self.dwscale = self.globalscale * ones([self.num_eigen])
u, s, _ = svd(self.cov_est)
self.eigvalues = s[0:self.num_eigen]
self.eigvectors = u[:, 0:self.num_eigen]
burnin = 40000
num_iterations = 80000
mcmc_samplers.append(
KameleonWindowLearnScale(distribution, kernel, stop_adapt=burnin))
mean_est = zeros(distribution.dimension, dtype="float64")
cov_est = 1.0 * eye(distribution.dimension)
cov_est[0, 0] = distribution.V
mcmc_samplers.append(
AdaptiveMetropolisLearnScale(distribution,
mean_est=mean_est,
cov_est=cov_est))
mcmc_samplers.append(
AdaptiveMetropolis(distribution,
mean_est=mean_est,
cov_est=cov_est))
#
# num_eigen = distribution.dimension
# mcmc_samplers.append(AdaptiveMetropolisPCA(distribution, num_eigen=num_eigen, mean_est=mean_est, cov_est=cov_est))
#
mcmc_samplers.append(StandardMetropolis(distribution))
start = zeros(distribution.dimension, dtype="float64")
mcmc_params = MCMCParams(start=start,
num_iterations=num_iterations,
burnin=burnin)
mcmc_chains = [
MCMCChain(mcmc_sampler, mcmc_params)
for mcmc_sampler in mcmc_samplers
def __init__(self, distribution, \
mean_est=None, cov_est=None, \
sample_discard=500, sample_lag=20, accstar=0.234):
AdaptiveMetropolis.__init__(self, distribution, mean_est, cov_est, \
sample_discard, sample_lag, accstar)
def __init__(self, distribution, \
mean_est=None, cov_est=None, \
sample_discard=500, sample_lag=20, accstar=0.234):
AdaptiveMetropolis.__init__(self, distribution, mean_est, cov_est, \
sample_discard, sample_lag, accstar)
distribution = Banana(dimension=8, bananicity=0.1, V=100)
sigma = GaussianKernel.get_sigma_median_heuristic(
distribution.sample(1000).samples)
sigma = 10
print "using sigma", sigma
kernel = GaussianKernel(sigma=sigma)
burnin = 40000
num_iterations = 80000
#mcmc_sampler = KameleonWindowLearnScale(distribution, kernel, stop_adapt=burnin)
mean_est = zeros(distribution.dimension, dtype="float64")
cov_est = 1.0 * eye(distribution.dimension)
cov_est[0, 0] = distribution.V
#mcmc_sampler = AdaptiveMetropolisLearnScale(distribution, mean_est=mean_est, cov_est=cov_est)
mcmc_sampler = AdaptiveMetropolis(distribution,
mean_est=mean_est,
cov_est=cov_est)
#mcmc_sampler = StandardMetropolis(distribution)
start = zeros(distribution.dimension, dtype="float64")
mcmc_params = MCMCParams(start=start,
num_iterations=num_iterations,
burnin=burnin)
mcmc_chain = MCMCChain(mcmc_sampler, mcmc_params)
mcmc_chain.append_mcmc_output(StatisticsOutput())
experiment = SingleChainExperiment(mcmc_chain, experiment_dir)
experiment.run()