Mcmc.Chain.Chain

Creation date: Tue May 5 18:01:15 2020.

Documentation

type PriorFunction a = a -> Prior

Prior function.

noPrior :: PriorFunction a

Flat prior function. Useful for testing and debugging.

type LikelihoodFunction a = a -> Log Double

Likelihood function.

noLikelihood :: LikelihoodFunction a

Flat likelihood function. Useful for testing and debugging.

type InitialState a = a

Type synonym to indicate the initial state.

data Chain a

The chain contains all information to run an MCMC sampler.

The state of a chain has type a. If necessary, the type a can also be used to store auxiliary information.

For example, the chain stores information about the current Link and iteration, the Trace, the Acceptance rates, and the random number generator.

Further, the chain includes auxiliary variables and functions such as the prior and likelihood functions, or Proposals to move around the state space and to Monitor an MCMC run.

The Environment of the chain is not stored externally.

Constructors

Chain

Fields

• chainId :: Maybe Int

  Chain index; useful if more chains are run.

• link :: Link a

  The current Link of the chain combines the current state and the current likelihood. The link is updated after a proposal has been executed.

• iteration :: Int

  The current iteration or completed number of cycles.

• trace :: Trace a

  The Trace of the Markov chain. In contrast to the link, the trace is updated only after all proposals in the cycle have been executed.

• acceptance :: Acceptance (Proposal a)

  For each Proposal, store the list of accepted (True) and rejected (False) proposals; for reasons of efficiency, the list is also stored in reverse order.

• generator :: GenIO

  The random number generator.

• start :: Int

  Starting iteration of the chain; used to calculate run time and ETA.

• priorFunction :: PriorFunction a

  The prior function. The un-normalized posterior is the product of the prior and the likelihood.

• likelihoodFunction :: LikelihoodFunction a

  The likelihood function. The un-normalized posterior is the product of the prior and the likelihood.

• cycle :: Cycle a

  A set of Proposals form a Cycle.

• monitor :: Monitor a

  A Monitor observing the chain.