/usr/include/JAGS/sampler/StepAdapter.h is in jags 3.4.0-1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 | #ifndef STEP_ADAPTER_H_
#define STEP_ADAPTER_H_
#include <sampler/Metropolis.h>
/**
* @short Step size for Random Walk Metropolis-Hastings
*
* Uses a noisy gradient algorithm to adapt the step size of a random
* walk Metropolis-Hastings algorithm to reach the target acceptance
* probability.
*/
class StepAdapter
{
const double _prob;
double _lstep;
bool _p_over_target;
unsigned int _n;
public:
/**
* Constructor.
*
* @param step Initial step size for the random walk updates.
* @param prob Target acceptance probability. The default seems to
* be a fairly robust optimal value.
*/
StepAdapter(double step, double prob = 0.234);
/**
* Recalculates the step size.
* @param p acceptance probability
*/
void rescale(double p);
/**
* Returns the current step size
*/
double stepSize() const;
/**
* Returns the distance, on a logistic scale, between the argument
* p and the target acceptance probability.
*/
double logitDeviation(double p) const;
};
#endif /* STEP_ADAPTER_H_ */
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