Use the Adaptive Metropolis MCMC algorithm

Topics

This keyword is related to the topics:

bayesian_calibration

Specification

Alias: none

Argument(s): none

Default: metropolis_hastings

Description

This keyword specifies the use of the Adaptive Metropolis algorithm. That is, the "AM" part of DRAM is used but the "DR" part is not: specifying this keyword activates only the Adaptive Metropolis part of the MCMC algorithm, in which the covariance of the proposal density is updated adaptively.

Default Behavior

Five MCMC algorithm variants are supported in QUESO: dram, delayed_rejection, adaptive_metropolis, metropolis_hastings, and multilevel. The default is dram.

Two MCMC variants are currently supported in MUQ: metropolis_hastings and adaptive_metropolis.

Usage Tips

If the user knows very little about the proposal covariance, but doesn't want to incur the cost of using full dram with both delayed rejection and adaptive metropolis, specifying only adaptive_metropolis offers a good strategy.

Examples

method,
        bayes_calibration queso
          adaptive_metropolis
          samples = 10000 seed = 348