[Dream-commits] r24 - in pkg: . R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Fri May 7 10:13:55 CEST 2010
Author: felix
Date: 2010-05-07 10:13:54 +0200 (Fri, 07 May 2010)
New Revision: 24
Modified:
pkg/DESCRIPTION
pkg/R/dream.R
pkg/man/dream.Rd
Log:
mostly documentation changes
Modified: pkg/DESCRIPTION
===================================================================
--- pkg/DESCRIPTION 2010-04-28 05:09:21 UTC (rev 23)
+++ pkg/DESCRIPTION 2010-05-07 08:13:54 UTC (rev 24)
@@ -2,7 +2,7 @@
Version: 0.2-0
Date: 2010-02-19
Title: DiffeRential Evolution Adaptive Metropolis
-Author: Jasper Vrugt, CJF ter Braak, et al. R port by Joseph Guillaume.
+Author: Jasper Vrugt, CJF ter Braak, et al. (R port by Joseph Guillaume)
Maintainer: Joseph Guillaume <joseph.guillaume at anu.edu.au>
Description: Efficient global MCMC even in high-dimensional spaces.
Based on the original MATLAB code written by Jasper Vrugt.
Modified: pkg/R/dream.R
===================================================================
--- pkg/R/dream.R 2010-04-28 05:09:21 UTC (rev 23)
+++ pkg/R/dream.R 2010-05-07 08:13:54 UTC (rev 24)
@@ -18,7 +18,7 @@
thin.t=NA, ## parameter for reduced sample collection
### Efficiency improvements
REPORT = 1000, ## approximate number of function evaluations between reports. >0. 0=none
- parallel=c("multicore","snow","foreach"), ##packages to use for parallel in order of preference: multicore,snow,foreach
+ parallel = "none", ##packages to use for parallel in order of preference: multicore,snow,foreach
### Parameters with auto-set values
ndim=NA, ## number of parameters (automatically set from length of pars)
DEpairs = NA, ## Number of DEpairs. defaults to max val floor((nseq-1)/2)
@@ -322,7 +322,7 @@
CR[,gen.number] <- tmp$CR
## Now compute the likelihood of the new points
- tmp<-do.call(CompDensity,list(pars=x.new,control=control,FUN=FUN,func.type=func.type,measurement=measurement,FUN.pars=FUN.pars))
+ tmp <- CompDensity(pars=x.new,control=control,FUN=FUN,func.type=func.type,measurement=measurement,FUN.pars=FUN.pars)
p.new <- tmp$p
logp.new <- tmp$logp
@@ -433,11 +433,14 @@
counter.report <- counter.report+1
- try(
+ try({
obj$R.stat[counter.report,] <- c(counter.fun.evals,gelman.diag(
as.mcmc.list(lapply(1:NSEQ,function(i) as.mcmc(Sequences[1:(counter-1),1:NDIM,i]))),
autoburnin=TRUE)$psrf[,1])
- )
+ if (counter.report == 1)
+ message(format(colnames(obj$R.stat), width = 5))
+ message(format(obj$R.stat[counter.report,], width = 5, digits = 4))
+ })
if (all(!is.na(obj$R.stat[counter.report,])) &&
all(obj$R.stat[counter.report,-1]<control$Rthres)) {
@@ -489,8 +492,9 @@
obj$AR <- obj$AR[1:(counter-1),]
obj$CR <- obj$CR[1:(counter.outloop-1),]
+ ## store number of iterations
+ obj$iterations <- counter.outloop
## store number of function evaluations
- ## store number of iterations
obj$fun.evals <- counter.fun.evals
## store the amount of time taken
obj$time <- toc
Modified: pkg/man/dream.Rd
===================================================================
--- pkg/man/dream.Rd 2010-04-28 05:09:21 UTC (rev 23)
+++ pkg/man/dream.Rd 2010-05-07 08:13:54 UTC (rev 24)
@@ -1,25 +1,70 @@
\name{dream}
\alias{dream}
\title{DiffeRential Evolution Adaptive Metropolis (DREAM)}
-\usage{dream(FUN, func.type, pars, FUN.pars=list(), INIT=LHSInit,
-INIT.pars=list(), control=list(), measurement)}
+\usage{
+
+dream(FUN, func.type, pars, FUN.pars = list(), INIT = LHSInit,
+ INIT.pars = list(), control = list(), measurement)
+
+}
\description{
Efficient global MCMC even in high-dimensional spaces.
From J.A. Vrugt, C.J.F. ter Braak et al.
}
\arguments{
- \item{FUN}{model function with first argument a vector of parameter values of length ndim}
- \item{func.type}{type of value FUN returns.
- one of: posterior.density, logposterior.density,calc.loglik,calc.rmse,calc.weighted.rmse}
- \item{pars}{a list of variable ranges. Any names will be propagated to output}
- \item{FUN.pars}{A named list of extra arguments to FUN}
- \item{INIT}{A function f(pars,nseq,...) returning an nseq x ndim
- matrix of initial parameter values}
- \item{INIT.pars}{A named list of extra arguments to INIT}
- \item{control}{list of settings for dream. see below}
- \item{measurement}{Required parameter for func.types starting with calc. list with
- element data, a vector containing observed dependent variable values.
+ \item{FUN}{
+ model function with first argument a vector of parameter values of
+ length ndim.
}
+ \item{func.type}{
+ type of value \code{FUN} returns. One of:
+ \describe{
+ \item{\code{"posterior.density"}}{
+ \code{FUN} returns the likelihood.
+ }
+ \item{\code{"logposterior.density"}}{
+ \code{FUN} returns the log-likelihood.
+ }
+ \item{\code{"calc.loglik"}}{
+ \code{FUN} returns the residual vector to be compared with
+ \code{measurement}.
+ The exponential power density function of Box and Tiao (1973) is
+ used, based on the parameter \code{control$gamma}, and
+ \code{measurement$N} and \code{measurement$sigma}.
+ }
+ \item{\code{"calc.rmse"}}{
+ \code{FUN} returns the residual vector to be compared with
+ \code{measurement}. The likelihood is calculated as the sum of
+ squared residuals to a power \code{-N}, adjusted by
+ \code{control$gamma}.
+ }
+ \item{\code{"calc.weighted.rmse"}}{
+ similar to \code{"calc.rmse"} but weighted with
+ \code{measurement$sigma}.
+ }
+ }
+ }
+ \item{pars}{
+ a list of variable ranges. Any names will be propagated to output.
+ }
+ \item{FUN.pars}{
+ a list of any extra arguments to be passed to \code{FUN}.
+ }
+ \item{INIT}{
+ A function f(pars,nseq,...) returning an \code{nseq x ndim}
+ matrix of initial parameter values.
+ }
+ \item{INIT.pars}{
+ a list of any extra arguments to be passed to the \code{INIT} function.
+ }
+ \item{control}{
+ list of settings for the DREAM algorithm. see below.
+ }
+ \item{measurement}{
+ Required parameter for \code{func.type}s starting with \code{calc}.
+ A list with element \code{data}, a vector containing observed
+ dependent variable values.
+ }
}
\details{
Elements of control are:
@@ -37,7 +82,7 @@
\code{eps} \tab 5e-2 \tab Random error for ergodicity \cr
\code{outlierTest} \tab 'IQR_test' \tab Test used to detect outlier
chains.
- One off: IQR_test, Grubbs_test,Mahal_test \cr
+ One of: IQR_test, Grubbs_test, Mahal_test \cr
\code{pCR.Update} \tab \code{TRUE} \tab Whether to use adaptive tuning of crossover
values \cr
\code{boundHandling} \tab 'reflect' \tab Method used to handle parameter
@@ -64,10 +109,10 @@
Frequent calculation is likely to slow performance. The summary
function can use \code{\link{gelman.diag}} to calculate convergence statistic after completion
\cr
- \code{parallel} \tab multicore, snow, foreach \tab Character vector
+ \code{parallel} \tab \code{"none"} \tab Character vector
of packages to
use for parallelisation of function evaluations, in order of
- preference. Set to \code{"none"} to not parallelise. For foreach, a backend must be registered from one of the doMC, doMPI,
+ preference. Options are \code{"multicore", "snow", "foreach"}. For foreach, a backend must be registered from one of the doMC, doMPI,
doSNOW packages. \cr
\code{ndraw} \tab 1e5 \tab Maximum number of function evaluations. May
terminate before convergence. \cr
@@ -114,6 +159,9 @@
1+length(pCR)}
\item{in.burnin}{Boolean showing whether dream was in the burn-in
period at termination (see description above)}
+ \item{fun.evals}{Total number of function evaluations.}
+ \item{time}{running time (wall time) in seconds.}
+ \item{EXITMSG}{a message about the stopping condition.}
}
\seealso{
@@ -128,15 +176,17 @@
}
\references{
-
- Accelerating Markov Chain Monte Carlo Simulation by Differential Evolution with Self-Adaptive Randomized Subspace Sampling
-Jasper A. Vrugt, C.J.F. ter Braak, C.G.H. Diks, Bruce A. Robinson, James M. Hyman and Dave Higdon
- International Journal of Nonlinear Sciences and Numerical Simulation
- (in press 2009)
-
- Equifinality of formal (DREAM) and informal (GLUE)
-Bayesian approaches in hydrologic modeling?
-Jasper A. Vrugt, Cajo J. F. ter Braak, Hoshin V. Gupta, Bruce A. Robinson
-Stoch Environ Res Risk Assess (2009) 23:1011\2261026
-DOI 10.1007/s00477-008-0274-y
- }
\ No newline at end of file
+
+ Vrugt, J. A., ter Braak, C. J. F., Diks, C. G. H., Robinson, B. A.,
+ Hyman, J. M., Higdon, D., 2009. Accelerating markov chain monte carlo
+ simulation by differential evolution with self-adaptive randomized
+ subspace sampling. \emph{International Journal of Nonlinear Sciences
+ and Numerical Simulation} 10 (3), 273-290.
+
+ Vrugt, J. A., Braak, C. J. F., Gupta, H. V., Robinson, B. A.,
+ 2009. Equifinality of formal (DREAM) and informal (GLUE) Bayesian
+ approaches in hydrologic modeling?
+ \emph{Stochastic Environmental Research and Risk Assessment} 23 (7), 1011--1026.
+ \url{http://dx.doi.org/10.1007/s00477-008-0274-y}
+
+}
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