Wiki

Clone wiki

cosmosis / samplers / metropolis

The Metropolis sampler

Classic Metropolis-Hastings sampling

Name: Metropolis

Version: 1.0

Author(s): CosmoSIS Team

URL: https://bitbucket.org/joezuntz/cosmosis

Cite: Journal of Chemical Physics 21 6 1087-1092 (1953)

Parallel: multi-serial

Metropolis-Hastings is the classic Monte-Carlo Markov Chain method for sampling from distributions.

MH as a Markov process where from each point in chain there is a process for choosing the next point in such a way that the distribution of chain points tends to the underlying distribution.

In MH a proposal function is defined that suggests a possible next point in the chain. The posterior of that point is evaluated and if: P_new / P_old > U[0,1] where U[0,1] is a random number from 0-1, then the new point is 'accepted' and becomes the next chain element. Otherwise the current point is repeated.

The choice of proposal function strongly determines how quickly the sampler converges to the underlying distribution. In particular a covariance matrix approximately describing the distribution provides a significant speed up.

The CosmoSIS metropolis sampler tries to mirror the CosmoMC MH implementation.

Metropolis-Hastings is intrinsically a serial (non-parallel) algorithm. Like CosmoMC, CosmoSIS parallelizes it by running several independent chains in parallel and comparing them to assess convergence using the Gelman-Rubin test.

##Installation

No special installation required; everything is packaged with CosmoSIS

##Parameters

These parameters can be set in the sampler's section in the ini parameter file.
If no default is specified then the parameter is required. A listing of "(empty)" means a blank string is the default.

Parameter Type Meaning Default
samples integer number of steps
random_start bool whether to start the chains at random points in the prior instead of the ini file start N
Rconverge float when multiple chains are run, use this as the Gelman-Rubin statistic -1.0
covmat string load a covariance matrix from this file. The parameter order should match the order of varied parameters in the ini file (empty)
nsteps integer number of points between saving data and testing convergence 100
tuning_frequency int How often to update the proposal during the tuning period -1
tuning_grace int Number of samples before starting the tuning period 5000
tuning_end int Number of samples before ending the tuning period 100000
exponential_probability float Fraction of an exponential proposal to mix into the Gaussian 0.333

Updated