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r-sns 1.2.2
Propagated dependencies: r-numderiv@2016.8-1.1 r-mvtnorm@1.3-3 r-coda@0.19-4.1
Channel: guix-cran
Location: guix-cran/packages/s.scm (guix-cran packages s)
Home page: https://cran.r-project.org/package=sns
Licenses: GPL 2+
Synopsis: Stochastic Newton Sampler (SNS)
Description:

Stochastic Newton Sampler (SNS) is a Metropolis-Hastings-based, Markov Chain Monte Carlo sampler for twice differentiable, log-concave probability density functions (PDFs) where the proposal density function is a multivariate Gaussian resulting from a second-order Taylor-series expansion of log-density around the current point. The mean of the Gaussian proposal is the full Newton-Raphson step from the current point. A Boolean flag allows for switching from SNS to Newton-Raphson optimization (by choosing the mean of proposal function as next point). This can be used during burn-in to get close to the mode of the PDF (which is unique due to concavity). For high-dimensional densities, mixing can be improved via state space partitioning strategy, in which SNS is applied to disjoint subsets of state space, wrapped in a Gibbs cycle. Numerical differentiation is available when analytical expressions for gradient and Hessian are not available. Facilities for validation and numerical differentiation of log-density are provided. Note: Formerly available versions of the MfUSampler can be obtained from the archive <https://cran.r-project.org/src/contrib/Archive/MfUSampler/>.

Total results: 6