“Weight” or number of samples given to the to initial Hessian. The weight on the previous average Hessian estimate is given by \((N+W)/(N+W+1)\),
where N is the number of MCMC steps taken and W is this parameter. The default value is ‘100’.
Sandia National Laboratories is a multimission laboratory managed and operated by National Technology and Engineering Solutions of Sandia, LLC., a wholly owned subsidiary of Honeywell International, Inc., for the U.S. Department of Energy’s National Nuclear Security Administration under contract DE-NA-0003525.