Namespaces

Types in MathNet.Numerics.Statistics.Mcmc

Type HybridMCGeneric<T>

Namespace MathNet.Numerics.Statistics.Mcmc

Parent McmcSampler<T>

The Hybrid (also called Hamiltonian) Monte Carlo produces samples from distribution P using a set of Hamiltonian equations to guide the sampling process. It uses the negative of the log density as a potential energy, and a randomly generated momentum to set up a Hamiltonian system, which is then used to sample the distribution. This can result in a faster convergence than the random walk Metropolis sampler ( ).

Methods

Properties

Public Methods

bool Equals(object obj)

int GetHashCode()

Type GetType()

T Sample()

Returns a sample from the distribution P.

T[] Sample(int n)

Returns a number of samples.
Parameters
int n

The number of samples we want.

Return
T[]

An array of samples.

string ToString()

Public Properties

double AcceptanceRate get;

int BurnInterval get; set;

Gets or sets the number of iterations in between returning samples.

int FrogLeapSteps get; set;

Gets or sets the number of iterations in the Hamiltonian equation.

Random RandomSource get; set;

double StepSize get; set;

Gets or sets the size of each step in the Hamiltonian equation.