CRAN/E | Rosenbrock

Rosenbrock

Extended Rosenbrock-Type Densities for Markov Chain Monte Carlo (MCMC) Sampler Benchmarking

Installation

About

New Markov chain Monte Carlo (MCMC) samplers new to be thoroughly tested and their performance accurately assessed. This requires densities that offer challenging properties to the novel sampling algorithms. One such popular problem is the Rosenbrock function. However, while its shape lends itself well to a benchmark problem, no codified multivariate expansion of the density exists. We have developed an extension to this class of distributions and supplied densities and direct sampler functions to assess the performance of novel MCMC algorithms. The functions are introduced in "An n-dimensional Rosenbrock Distribution for MCMC Testing" by Pagani, Wiegand and Nadarajah (2019) .

Key Metrics

Version 0.1.0
Published 2020-03-15 1556 days ago
Needs compilation? no
License GPL-2
CRAN checks Rosenbrock results

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Maintainer

Maintainer

Martin Wiegand

Authors

Martin Wiegand

Material

Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Imports

MASS