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RobustAM

Purpose

RobustAM extends AMMCMC with heavy-tail and global-jump proposal components.

Full Sampling Section Keys

  • Sampling.Method (required): must be RobustAM.
  • Sampling.Variables (required, array):
  • name (required)
  • description (required)
  • distribution.type (required)
  • distribution.parameters (required)
  • runtime-safe parameter sets:
    • Flat: min, max
    • Log: min, max
    • Normal: mean, stddev
    • Log-Normal: mean, stddev
    • Logit: location, scale
  • Sampling.LogLikelihood (required): {name, expression} list.
  • Sampling.selection (optional, string)
  • Sampling.Bounds:
  • num_chains (required, integer)
  • num_iters (required, integer)
  • proposal_scale (required, number)
  • adapt_enabled (optional, boolean, default true)
  • adapt_start_iter (optional, integer, default 100)
  • adapt_window (optional, integer, default 25)
  • adapt_eps (optional, number, default 1e-6)
  • adapt_scale (optional, number, default 2.38)
  • global_jump_prob (optional, number, default 0.08)
  • heavy_tail_df (optional, number, default 5.0)
  • global_scale (optional, number, default 1.8)

Full Skeleton

Sampling:
  Method: "RobustAM"
  Variables:
    - name: p1
      description: parameter 1
      distribution:
        type: Flat
        parameters:
          min: -5
          max: 5
  LogLikelihood:
    - name: L_total
      expression: "-0.5*(p1/1.0)^2"
  Bounds:
    num_chains: 8
    num_iters: 10000
    proposal_scale: 0.10
    adapt_enabled: true
    adapt_start_iter: 100
    adapt_window: 25
    adapt_eps: 1.0e-6
    adapt_scale: 2.38
    global_jump_prob: 0.10
    heavy_tail_df: 4.0
    global_scale: 2.0

Example

Sampling:
  Method: "RobustAM"
  Variables:
    - name: m0
      description: scalar mass
      distribution:
        type: Flat
        parameters:
          min: 100
          max: 3000
  LogLikelihood:
    - name: L_total
      expression: "L_higgs + L_dm"
  Bounds:
    num_chains: 8
    num_iters: 10000
    proposal_scale: 0.10
    adapt_enabled: true
    global_jump_prob: 0.10
    heavy_tail_df: 4.0
    global_scale: 2.0