As of version 0.78-1, pomp includes facilities for adaptive proposals for particle MCMC (pmcmc) and approximate Bayesian computation (abc).
The new function mvn.rw.adaptive generates an multivariate normal random-walk MCMC proposal function that adapts in scale and shape.
Thanks to Sebastian Funk for contributing a patch that spurred this development.
This functionality should be regarded as experimental and subject to change.
Please tell me about your experiences with it and contribute suggestions for improvement (or pull requests!) if you can.
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This software has been made possible by support from the U.S. National Science Foundation (Grants #EF-0545276, #EF-0430120), by the “Inference for Mechanistic Models” Working Group supported by the National Center for Ecological Analysis and Synthesis (a Center funded by N.S.F. (Grant #DEB-0553768), the University of California, Santa Barbara, and the State of California), and by the RAPIDD program of the Science & Technology Directorate, Department of Homeland Security and the Fogarty International Center, U.S. National Institutes of Health. |