Adaptive Covariance MC¶
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class
pints.
AdaptiveCovarianceMC
(x0, sigma0=None)[source]¶ Base class for single chain MCMC methods that globally adapt a proposal covariance matrix when running, in order to control the acceptance rate.
Each subclass should provide a method
_generate_proposal()
that will be called byask()
.Adaptation is implemented with three methods, which are called in sequence, at the end of every
tell()
:_adapt_mu()
,_adapt_sigma()
, and_adapt_internal()
. A basic implementation is provided for each, which extending methods can choose to override.Extends
SingleChainMCMC
.-
eta
()[source]¶ Returns
eta
which controls the rate of adaptation decayadaptations**(-eta)
, whereeta > 0
to ensure asymptotic ergodicity.
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name
()¶ Returns this method’s full name.
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needs_sensitivities
()¶ Returns
True
if this methods needs sensitivities to be passed in totell
along with the evaluated logpdf.
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set_eta
(eta)[source]¶ Updates
eta
which controls the rate of adaptation decayadaptations**(-eta)
, whereeta > 0
to ensure asymptotic ergodicity.
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