Namespaces

Types in MathNet.Numerics.Statistics.Mcmc

Type UnivariateHybridMC

Namespace MathNet.Numerics.Statistics.Mcmc

Parent HybridMCGeneric<T>

A hybrid Monte Carlo sampler for univariate distributions.

Constructors

Methods

Properties

Public Constructors

UnivariateHybridMC(double x0, DensityLn<T> pdfLnP, int frogLeapSteps, double stepSize, int burnInterval, double pSdv)

Constructs a new Hybrid Monte Carlo sampler for a univariate probability distribution. The momentum will be sampled from a normal distribution with standard deviation specified by pSdv using the default Random random number generator. A three point estimation will be used for differentiation. This constructor will set the burn interval.
Parameters
double x0

The initial sample.

DensityLn<T> pdfLnP

The log density of the distribution we want to sample from.

int frogLeapSteps

Number frogleap simulation steps.

double stepSize

Size of the frogleap simulation steps.

int burnInterval

The number of iterations in between returning samples.

double pSdv

The standard deviation of the normal distribution that is used to sample the momentum.

UnivariateHybridMC(double x0, DensityLn<T> pdfLnP, int frogLeapSteps, double stepSize, int burnInterval, double pSdv, Random randomSource)

Constructs a new Hybrid Monte Carlo sampler for a univariate probability distribution. The momentum will be sampled from a normal distribution with standard deviation specified by pSdv using a random number generator provided by the user. A three point estimation will be used for differentiation. This constructor will set the burn interval.
Parameters
double x0

The initial sample.

DensityLn<T> pdfLnP

The log density of the distribution we want to sample from.

int frogLeapSteps

Number frogleap simulation steps.

double stepSize

Size of the frogleap simulation steps.

int burnInterval

The number of iterations in between returning samples.

double pSdv

The standard deviation of the normal distribution that is used to sample the momentum.

Random randomSource

Random number generator used to sample the momentum.

UnivariateHybridMC(double x0, DensityLn<T> pdfLnP, int frogLeapSteps, double stepSize, int burnInterval, double pSdv, Random randomSource, DiffMethod diff)

Public Methods

bool Equals(object obj)

int GetHashCode()

Type GetType()

double Sample()

Returns a sample from the distribution P.

Double[] Sample(int n)

Returns a number of samples.
Parameters
int n

The number of samples we want.

Return
Double[]

An array of samples.

string ToString()

Public Properties

double AcceptanceRate get;

int BurnInterval get; set;

int FrogLeapSteps get; set;

double MomentumStdDev get; set;

Gets or sets the standard deviation used in the sampling of the momentum.

Random RandomSource get; set;

double StepSize get; set;