## sns: Stochastic Newton Sampler (SNS)

Multivariate, Markov Chain Monte Carlo sampler for twice differentiable, log-concave probability densities. SNS is a Metropolis-Hastings variant, where the proposal function is a local Gaussian approximation to the density obtained via a second order Taylor expansion around the current point. The mean of the Gaussian proposal is taken as the full Newton-Raphson step from the current point. During burn-in, Newton-Raphson optimization is performed to get close to the mode of the pdf which is unique due to convexity.

Version: |
0.9.1 |

Imports: |
mvtnorm |

Published: |
2014-08-29 |

Author: |
Alireza S. Mahani, Asad Hasan, Marshall Jiang, Mansour T.A. Sharabiani |

Maintainer: |
Asad Hasan <asad.hasan at sentrana.com> |

License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |

NeedsCompilation: |
no |

Materials: |
NEWS |

CRAN checks: |
sns results |

#### Downloads: