Stochastic Newton Sampler (SNS)

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/>.


Reference manual

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install.packages("sns")

1.2.2 by Alireza Mahani, 4 years ago


Browse source code at https://github.com/cran/sns


Authors: Alireza S. Mahani , Asad Hasan , Marshall Jiang , Mansour T.A. Sharabiani


Documentation:   PDF Manual  


GPL (>= 2) license


Imports mvtnorm, coda, numDeriv

Suggests RegressionFactory, MfUSampler


Imported by RiskMap.

Suggested by MfUSampler, RegressionFactory.


See at CRAN