adaptive_metropolis
Use the Adaptive Metropolis MCMC algorithm
Topics
bayesian_calibration
Specification
Alias: None
Arguments: None
Default: dram
Description
This keyword specifies the use of the Adaptive Metropolis algorithm. That is, the “AM” part of DRAM is used but the “DR” part is not: specifying this keyword activates only the Adaptive Metropolis part of the MCMC algorithm, in which the covariance of the proposal density is updated adaptively.
Default Behavior
Five MCMC algorithm variants are supported in QUESO: dram
,
delayed_rejection
, adaptive_metropolis
, metropolis_hastings
, and
multilevel
. The default is dram
.
Four MCMC variants are currently supported in MUQ: dram
,
delayed_rejection
, metropolis_hastings
and adaptive_metropolis
.
Usage Tips
If the user knows very little about the proposal covariance, but
doesn’t want to incur the cost of using full dram with both delayed
rejection and adaptive metropolis, specifying only
adaptive_metropolis
offers a good strategy.
Examples
method,
bayes_calibration queso
adaptive_metropolis
samples = 10000 seed = 348