Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Provide per proposal defaults for target acceptance rate and initial scale #42

Merged
merged 2 commits into from
Oct 23, 2024

Conversation

matt-graham
Copy link
Collaborator

Provides defaults for target_accept_prob and initial_scale parameter to scale adapters which are proposal (and for initial_scale dimension) dependent using 'optimal' values from Roberts and Rosenthal (2001)

  • Random walk proposal: target_accept_prob = 0.234 and initial_scale = 2.38 / (dimension)^(1/2)
  • Langevin proposal: target_accept_prob = 0.574 and initial_scale = 2.38 / (dimension)^(1/3)

and recommend values from Livingstone and Zanella (2022) for Barker proposal of target_accept_prob = 0.4 and initial_scale = 2.38 / (dimension)^(1/3).

Copy link

codecov bot commented Oct 23, 2024

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 100.00%. Comparing base (4e6a527) to head (547e3fd).
Report is 23 commits behind head on main.

Additional details and impacted files
@@            Coverage Diff            @@
##              main       #42   +/-   ##
=========================================
  Coverage   100.00%   100.00%           
=========================================
  Files           10        10           
  Lines          378       391   +13     
=========================================
+ Hits           378       391   +13     

☔ View full report in Codecov by Sentry.
📢 Have feedback on the report? Share it here.

@matt-graham matt-graham merged commit 04ef350 into main Oct 23, 2024
11 checks passed
@matt-graham matt-graham deleted the mmg/proposal-defaults branch October 23, 2024 16:45
@matt-graham matt-graham added the enhancement New feature or request label Jan 6, 2025
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
enhancement New feature or request
Projects
None yet
Development

Successfully merging this pull request may close these issues.

1 participant