Dakota Reference Manual
Version 6.4
LargeScale Engineering Optimization and Uncertainty Analysis

DREAM (DiffeRential Evolution Adaptive Metropolis)
This keyword is related to the topics:
Alias: none
Argument(s): none
Required/Optional  Description of Group  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 GelmanRubin 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  export_chain_points_file  Export the MCMC chain to the specified filename 
The DiffeRential Evolution Adaptive Metropolis algorithm is described in[86]. 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 burnin, 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 GelmanRubin 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[86].
Attention: While the emulator
specification for DREAM includes the keyword posterior_adaptive, it is not yet operational.