Package: sns
Type: Package
Title: Stochastic Newton Sampler (SNS)
Version: 0.9.1
Date: 2014-8-26
Author: Alireza S. Mahani, Asad Hasan, Marshall Jiang, Mansour T.A. 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, 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.
License: GPL (>= 2)
Imports: mvtnorm
Packaged: 2014-08-29 20:33:20 UTC; ahasan
NeedsCompilation: no
Repository: CRAN
Date/Publication: 2014-08-29 22:46:36