ppl::mcmc::VarAdapter< diag_var > Struct Reference

#include <var_adapter.hpp>

Public Member Functions
	VarAdapter (size_t n_params, size_t warmup, size_t init_buffer, size_t term_buffer, size_t window_base)
template<class MatType1 , class MatType2 >
bool	adapt (const Eigen::MatrixBase< MatType1 > &x, Eigen::MatrixBase< MatType2 > &var)

Detailed Description

Diagonal precision matrix M is estimated for momentum covariance matrix. M inverse is estimated as sample variance and is regularized towards identity.

Follows STAN guide: https://mc-stan.org/docs/2_18/reference-manual/hmc-algorithm-parameters.html STAN implementation: https://github.com/stan-dev/stan/blob/develop/src/stan/mcmc/windowed_adaptation.hpp

Constructor & Destructor Documentation

VarAdapter()

ppl::mcmc::VarAdapter< diag_var >::VarAdapter ( size_t  n_params, size_t  warmup, size_t  init_buffer, size_t  term_buffer, size_t  window_base  )

inline

Member Function Documentation

adapt()

template<class MatType1 , class MatType2 >

bool ppl::mcmc::VarAdapter< diag_var >::adapt ( const Eigen::MatrixBase< MatType1 > &  x, Eigen::MatrixBase< MatType2 > &  var  )

inline

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The documentation for this struct was generated from the following file:

• include/autoppl/mcmc/hmc/var_adapter.hpp