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:

Reference manual: sns.pdf
Package source: sns_0.9.1.tar.gz
Windows binaries: r-devel: sns_0.9.1.zip, r-release: sns_0.9.1.zip, r-oldrel: sns_0.9.1.zip
OS X Snow Leopard binaries: r-release: sns_0.9.1.tgz, r-oldrel: sns_0.9.1.tgz
OS X Mavericks binaries: r-release: sns_0.9.1.tgz
Old sources: sns archive