R: Adjusting the temperature schedule

Expand_Temperatures {ZVCV}

R Documentation

Adjusting the temperature schedule

Description

This function is used to adjust the temperature schedule so that it is more (or less) strict than the original.

Usage

Expand_Temperatures(
  temperatures,
  loglike,
  rho,
  bisec_tol = .Machine$double.eps^0.25
)

Arguments

`temperatures`	A vector of length `T` temperatures for the power posterior temperatures.
`loglike`	An `N` by `T` matrix of log likelihood values corresponding to the samples.
`rho`	The tolerance for the new temperatures. Temperatures are selected so that the conditional effective sample size (CESS) at each temperature is `\rho*N` where `N` is the population size.
`bisec_tol`	The tolerance for the bisection method used in selecting temperatures. The default is `.Machine$double.eps^0.25`

Value

A list is returned, containing the following components:

temperatures_all: The new set of temperatures of length tau.
relevant_samples: A vector of length tau containing indices to show which particle sets the new temperatures are based on.
logw: An N by tau matrix of log normalised weights of the particles

Author(s)

Leah F. South

References

South, L. F., Oates, C. J., Mira, A., & Drovandi, C. (2019). Regularised zero variance control variates for high-dimensional variance reduction. https://arxiv.org/abs/1811.05073