dream

DREAM (DiffeRential Evolution Adaptive Metropolis)

Topics

bayesian_calibration

Specification

  • Alias: None

  • Arguments: None

Child Keywords:

Required/Optional

Description of Group

Dakota Keyword

Dakota Keyword Description

Required

chain_samples

Number of Markov Chain Monte Carlo posterior samples

Optional

seed

Seed of the random number generator

Optional

chains

Number of chains in DREAM

Optional

num_cr

Number of candidate points for each crossover.

Optional

crossover_chain_pairs

Number of chains used in crossover.

Optional

gr_threshold

Convergence tolerance for the Gelman-Rubin statistic

Optional

jump_step

Number of generations a long jump step is taken

Optional

emulator

Use an emulator or surrogate model to evaluate the likelihood function

Optional

standardized_space

Perform Bayesian inference in standardized probability space

Optional

export_chain_points_file

Export the MCMC chain to the specified filename

Description

The DiffeRential Evolution Adaptive Metropolis algorithm is described in [VtBD+09]. For the DREAM method, one can define the number of chains used with chains (minimum 3). The total number of generations per chain in DREAM is the number of samples ( samples) divided by the number of chains ( chains). The number of chains randomly selected to be used in the crossover each time a crossover occurs is crossover_chain_pairs. There is an extra adaptation during burn-in, in which DREAM estimates a distribution of crossover probabilities that favors large jumps over smaller ones in each of the chains. Normalization is required to ensure that all of the input dimensions contribute equally. In this process, a discrete number of candidate points for each crossover value is generated. This parameter is num_cr. The gr_threshold is the convergence tolerance for the Gelman-Rubin statistic which will govern the convergence of the multiple chain process. The integer jump_step forces a long jump every jump_step generations. For more details about these parameters, see [VtBD+09].

Attention: While the emulator specification for DREAM includes the keyword posterior_adaptive, it is not yet operational.