Adaptive-MCMC 0.1.1

Adaptive Markov Chain Monte Carlo (MCMC) algorithms

Adaptive-MCMC

Adaptive Markov Chain Monte Carlo (MCMC) algorithms

Examples

    from scipy.stats import multivariate_normal

    dim = 20
    cov = 0.5 * np.eye(dim) + 0.5
    inv_cov = np.linalg.inv(cov)

    def logp(x):
        return multivariate_normal.logpdf(x, mean=np.zeros(dim), cov=cov)

    def grad_logp(x):
        return -inv_cov @ x

    mala = ESJDMALA(logp, grad_logp, initial_sample=np.zeros(dim), eps0=0.5)
    samples, acc, eps_hist, esjd_hist = mala.run(20_000)
    print(f"Acceptance: {acc:.3f}, Final epsilon = {eps_hist[-1]:.4f}")