Dakota Reference Manual  Version 6.4
Large-Scale Engineering Optimization and Uncertainty Analysis
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adaptive_metropolis


Use the Adaptive Metropolis MCMC algorithm

Topics

This keyword is related to the topics:

Specification

Alias: none

Argument(s): none

Default: dram

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: dram, delayed_rejection, adaptive_metropolis, metropolis_hastings, and multilevel. The default is dram.

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