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Random Walk Sampler

Source: R/sampler-random-walk.R
monty_sampler_random_walk.Rd

Create a simple random walk sampler, which uses a symmetric proposal to move around parameter space. This sampler supports sampling from models where the likelihood is only computable randomly (e.g., for pmcmc).

Usage

monty_sampler_random_walk(vcv = NULL, boundaries = "reflect")

Arguments

vcv

A variance covariance matrix for the proposal.

boundaries

Control the behaviour of proposals that are outside the model domain. The supported options are:

  • "reflect" (the default): we reflect proposed parameters that lie outside the domain back into the domain (as many times as needed)

  • "reject": we do not evaluate the density function, and return -Inf for its density instead.

  • "ignore": evaluate the point anyway, even if it lies outside the domain.

The initial point selected will lie within the domain, as this is enforced by monty_sample.

Value

A monty_sampler object, which can be used with monty_sample