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Stochastic Newton Sampler (SNS) is a Metropolis-Hastings-based, Markov Chain Monte Carlo sampler for twice differentiable, log-concave probability density functions (PDFs) where the proposal density function is a multivariate Gaussian resulting from a second-order Taylor-series expansion of log-density around the current point. The mean of the Gaussian proposal is the full Newton-Raphson step from the current point. A Boolean flag allows for switching from SNS to Newton-Raphson optimization (by choosing the mean of proposal function as next point). This can be used during burn-in to get close to the mode of the PDF (which is unique due to concavity). For high-dimensional densities, mixing can be improved via 'state space partitioning' strategy, in which SNS is applied to disjoint subsets of state space, wrapped in a Gibbs cycle. Numerical differentiation is available when analytical expressions for gradient and Hessian are not available. Facilities for validation and numerical differentiation of log-density are provided. Note: Formerly available versions of the MfUSampler can be obtained from the archive <https://cran.r-project.org/src/contrib/Archive/MfUSampler/>.
| Version: | 1.2.2 |
| Imports: | mvtnorm, coda, numDeriv |
| Suggests: | RegressionFactory, MfUSampler |
| Published: | 2022-11-02 |
| DOI: | 10.32614/CRAN.package.sns |
| Author: | Alireza S. Mahani, Asad Hasan, Marshall Jiang, Mansour T.A. Sharabiani |
| Maintainer: | Alireza Mahani <alireza.s.mahani at gmail.com> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| Citation: | sns citation info |
| Materials: | ChangeLog |
| CRAN checks: | sns results |
| Reference manual: | sns.pdf |
| Vignettes: |
Stochastic Newton Sampler: The R Package sns |
| Package source: | sns_1.2.2.tar.gz |
| Windows binaries: | r-devel: sns_1.2.2.zip, r-release: sns_1.2.2.zip, r-oldrel: sns_1.2.2.zip |
| macOS binaries: | r-release (arm64): sns_1.2.2.tgz, r-oldrel (arm64): sns_1.2.2.tgz, r-release (x86_64): sns_1.2.2.tgz, r-oldrel (x86_64): sns_1.2.2.tgz |
| Old sources: | sns archive |
| Reverse suggests: | MfUSampler, RegressionFactory |
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These binaries (installable software) and packages are in development.
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