DREAM (DiffeRential Evolution Adaptive Metropolis)

Topics

This keyword is related to the topics:

bayesian_calibration

Specification

Alias: none

Argument(s): none

Child Keywords:

Required/Optional	Dakota Keyword	Dakota Keyword Description
Required	chain_samples	Number of Markov Chain Monte Carlo posterior samples
Optional	seed	Seed of the random number generator
Optional	chains	Number of chains in DREAM
Optional	num_cr	Number of candidate points for each crossover.
Optional	crossover_chain_pairs	Number of chains used in crossover.
Optional	gr_threshold	Convergence tolerance for the Gelman-Rubin statistic
Optional	jump_step	Number of generations a long jump step is taken
Optional	emulator	Use an emulator or surrogate model to evaluate the likelihood function
Optional	standardized_space	Perform Bayesian inference in standardized probability space
Optional	export_chain_points_file	Export the MCMC chain to the specified filename

Description

The DiffeRential Evolution Adaptive Metropolis algorithm is described in[88]. For the DREAM method, one can define the number of chains used with chains (minimum 3). The total number of generations per chain in DREAM is the number of samples (samples) divided by the number of chains (chains). The number of chains randomly selected to be used in the crossover each time a crossover occurs is crossover_chain_pairs. There is an extra adaptation during burn-in, in which DREAM estimates a distribution of crossover probabilities that favors large jumps over smaller ones in each of the chains. Normalization is required to ensure that all of the input dimensions contribute equally. In this process, a discrete number of candidate points for each crossover value is generated. This parameter is num_cr. The gr_threshold is the convergence tolerance for the Gelman-Rubin statistic which will govern the convergence of the multiple chain process. The integer jump_step forces a long jump every jump_step generations. For more details about these parameters, see[88].

Attention: While the emulator specification for DREAM includes the keyword posterior_adaptive, it is not yet operational.