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pomp: statistical inference for partially-observed Markov processes

Version 1.1.1.1 has been released and is coming soon to a CRAN mirror near you. Since version 0.65-1, there have been many changes to pomp, including new features, some bug fixes, and algorithmic improvements. Some of the highlights include:

New features

• A full-featured version of IF2, an improved iterated filtering algorithm, is now available as mif2. This allows a more general structure for the random perturbations applied to parameters and is generally much more efficient and stable than IF1. mif2 should be preferred to mif in almost all circumstances.

• There is a new, adaptive MCMC proposal function, mvn.rw.adaptive that can be used in pmcmc and abc. This can greatly increase the efficiency of these samplers.

• By default, when Csnippets are used, the source code is now stored internally to the pomp object. When a pomp object is used, a test is first performed to see if the needed shared-object file exists. If it does not, the source code is written to a file in the session’s temporary directory, which is then compiled and loaded. This feature allows pomp objects to be stored and reused across R sessions, including parallel sessions on a cluster.

• A pomp object’s initializer can now be specified as a Csnippet.

• pmcmc and pfilter now have the capability of saving filtered trajectories. These can be extracted using the new method filter.traj. The principal use will be in conjunction with pmcmc, where, upon convergence to the posterior, samples from the filtered trajectories are draws from the posterior Prob[x[1:T] | y[1:T]]. Thanks to Sebastian Funk for initiating this development.

• partrans and parmat have been jiggered to make them play better with reshape2::melt.

• Measles data from England and Wales, kindly provided by Ben Bolker, are now included as ewmeas and ewcitmeas.

• The new functions bake and stew faciliate storing expensive calculations for later retrieval in a transparent fashion. These functions have arguments that allow the control of the RNG: one can now set the state (and kind) of the RNG in a self-contained fashion.

• The new function freeze allows control of the RNG similarly.

• There is now a coef method for mifList and mif2List objects.

• In the pomp constructor, unrecognized arguments are stored internally for use with user-supplied model functions. Now, an informative message is generated when this happens. Previously, this silent behavior was a source of confusion for some users.

Bug fixes

• logmeanexp had used a delta-method estimate of the variance in log(mean(exp(x))) when se = TRUE. This gave misleadingly small values when the variance in exp(x) was large. The new logmeanexp uses a jackknife estimate of the variance. This is still conservative, in that it is biased upwards, but is more robust.

• The new covmat method, applied to abc, abcList, pmcmc, or pmcmcList objects, returns an inflated empirical covariance matrix suitable for use as input to the proposal generator mvn.rw.

Deprecated and defunct

• Some deprecated functionality has been removed:
  • The deprecated transform.params argument from nlf has been removed.
  • The deprecated pars and rw.sd arguments from abc and pmcmc have been removed.
  • The deprecated data.array method has been removed.

• The seed argument of bsmc and bsmc2 has been removed. Its use now generates a warning, stating that it has no effect.

• The seed argument to pfilter is now deprecated and will be removed soon. Equivalent functionality is provided via freeze, bake, or stew.

• pompBuilder, which has not been actively maintained for some time due to the its being superseded by the Csnippet facility, is now no longer exported.

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