Skip to content

EnsembleMCMC

Purpose

EnsembleMCMC uses stretch-move ensemble proposals across chains.

Full Sampling Section Keys

  • Sampling.Method (required): must be EnsembleMCMC.
  • Sampling.Variables (required):
  • name, description, distribution.type, distribution.parameters
  • runtime-safe parameter sets: Flat(min,max), Log(min,max), Normal(mean,stddev), Log-Normal(mean,stddev), Logit(location,scale)
  • Sampling.LogLikelihood (required): array of {name, expression}
  • Sampling.selection (optional, string)
  • Sampling.Bounds:
  • num_chains (required, integer)
  • num_iters (required, integer)
  • proposal_scale (required, number or array)
  • stretch_a (optional, number, default 2.0)

Full Skeleton

Sampling:
  Method: "EnsembleMCMC"
  Variables:
    - name: p1
      description: parameter 1
      distribution:
        type: Flat
        parameters:
          min: -5
          max: 5
    - name: p2
      description: parameter 2
      distribution:
        type: Flat
        parameters:
          min: -5
          max: 5
  LogLikelihood:
    - name: L_total
      expression: "L1 + L2"
  Bounds:
    num_chains: 16
    num_iters: 10000
    proposal_scale: [0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05]
    stretch_a: 2.0

Example

Sampling:
  Method: "EnsembleMCMC"
  Variables:
    - name: p1
      description: parameter 1
      distribution:
        type: Flat
        parameters:
          min: -5
          max: 5
    - name: p2
      description: parameter 2
      distribution:
        type: Flat
        parameters:
          min: -5
          max: 5
  LogLikelihood:
    - name: L_total
      expression: "L1 + L2"
  Bounds:
    num_chains: 16
    num_iters: 10000
    proposal_scale: [0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05]
    stretch_a: 2.0