Differential Evolution Monte Carlo sampling 1.0

Date Added: June 19, 2013 | Visits: 401

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This code implements a Markov chain Monte Carlo algorithm which automatically and efficiently tunes the proposal distribution to the covariance structure of the target distribution. This is achieved while maintaining the target distribution as the stationary distribution of the Markov chain. The algorithm is described in:Cajo F.T. Ter Braak, "A Markov Chain Monte Carlo version of the genetic algorithm Differential Evolution: easy Bayesian computing for real parameter spaces", Stat Comput (2006) 16:239d-deOCt249As of the date of submission, this paper is freely available at:http://www.stat.columbia.edu/~gelman/stuff_for_blog/cajo.pdf

Requirements: No special requirements

Platforms: Matlab

Keyword: Bayesian, Braak, Chain, Computing, Differential, Evolution, Genetic, Parameter, Quota, Version

Users rating: 0/10

License: Shareware

Size: 10 KB

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