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UCL / rmcmc

Robust Markov chain Monte Carlo methods in R
http://github-pages.ucl.ac.uk/rmcmc/
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Add scale and variance adapters #10

Closed matt-graham closed 4 months ago

matt-graham commented 4 months ago

Partial resolution to #4.

Adds initial implementations of adapters for tuning proposal scale to coerce acceptance rate, and proposal shape with per-dimension scaling factors based on online estimates of target distribution variances.