All Implemented Interfaces:
RandomVectorGenerator, Seedable

public class HybridMCMC extends AbstractHybridMCMC
This class implements a hybrid MCMC algorithm.

Consider using ErgodicHybridMCMC if you are experiencing components that deviate little at each step.

  • Constructor Details

    • HybridMCMC

      public HybridMCMC(RealScalarFunction logF, RealVectorFunction dLogF, Vector m, double dt, int L, Vector initialState, RandomLongGenerator rlg)
      Constructs a new instance with the given parameters.
      logF - the log of the unnormalized target density from which we wish to sample
      dLogF - the derivative of the log target density for use by the LeapFrogging algorithm. You may choose a function that differs from the actual derivative of the log target density (i.e. that of a tempered version of the target density), in order to guide the leap-frogging algorithm
      m - the mass of each component in the dynamics simulation. A lower mass for a given component will result in greater change over the simulated time
      dt - the amount by which we advance time at each dynamics simulation step
      L - the number of dynamics simulation steps
      initialState - the initial state of the algorithm
      rlg - the random long generator to be used
  • Method Details

    • nextProposedState

      protected Vector nextProposedState(Vector currentState)
      Description copied from class: AbstractMetropolis
      Proposes a next state for the system.
      Specified by:
      nextProposedState in class AbstractMetropolis
      currentState - the current state of the system
      the proposed next state
    • isProposalAccepted

      protected boolean isProposalAccepted(Vector currentState, Vector proposedState)
      Description copied from class: AbstractMetropolis
      Decides whether the given proposed state should be accepted, or whether the system should remain in it's current state.
      Specified by:
      isProposalAccepted in class AbstractMetropolis
      currentState - the current state of the system
      proposedState - the proposed next state of the system
      whether the system should accept the proposed next state