rsamplers.apt is the constructor for the Adaptive Parallel tempering algorithm following [Miasojedow et al., 2013]

The syntax is

obj = rsamplers.apt(target,x0,lb,ub)
obj = rsamplers.apt(target,x0,lb,ub,opts)
obj = rsamplers.apt(target,x0,lb,ub,opts,constraints)

INPUTS :

  • *target* : objective to MAXIMIZE

  • *x0* : vector of initial conditions

  • *lb* : lower bound

  • *ub* : upper bound

  • *opts* : options for the class. These include the properties from the superclass rsamplers.rwmh as well as the specific properties of the apt algorithm that can be found in the properties list below.

  • *constraints* (optional): - Matrix (n_constraints x 2) where each row [a, b] enforces x(a) <= x(b)

OUTPUT :

  • obj : object of class rsamplers.apt

OWN PROPERTIES AND DEFAULT VALUES:

  • *H* = 12 : Number of tempering stages

  • *alpha* = .234 : target acceptance rate

  • *alpha_swap* = .234 : target acceptance rate for swaps

  • *rwm_fixed_p* = 0 : prob of drawing from a fixed initial proposal

  • *rwm_exp* = 0.6 : Exponent of random-walk adaptation step size

  • *sw_exp_rm* = 0.6 : Exp. of temperature adaptation step size

  • *ram_adapt* = false : Use the robust AM adaptation

  • *separate_shape_adaptation* = true :separate covariance for each temperature

  • *fixed_temperatures* = false : fixed temperatures

INHERITED PROPERTIES : properties from rsamplers.rwmh

See also

rsamplers.rwmh, rsamplers.imh, rsamplers.rsampler