Package: sns
Type: Package
Title: Stochastic Newton Sampler
Version: 0.9
Date: 2014-8-25
Author: Alireza S. Mahani, Asad Hasan, Marshall Jiang, Mansour T.S. Sharabiani 
Maintainer: Asad Hasan <asad.hasan@sentrana.com>
Description: Multivariate, Markov Chain Monte Carlo sampler for twice differentiable, log-concave probability densities. SNS is a Metropolis-Hastings variant, with a special form of the proposal function. The proposal function is a local Gaussian approximation to the density obtained via Taylor expansion of the log-density 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.
License: GPL (>= 2)
Imports: mvtnorm
Packaged: 2014-08-25 20:13:37 UTC; ahasan
NeedsCompilation: no
Repository: CRAN
Date/Publication: 2014-08-25 22:26:38