Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Implement convergence diagnostics #549

Open
dmcdougall opened this issue Mar 8, 2017 · 1 comment
Open

Implement convergence diagnostics #549

dmcdougall opened this issue Mar 8, 2017 · 1 comment

Comments

@dmcdougall
Copy link
Member

We already have (I believe) Gelman-Rubin. We could do with implementing these others, however:

  1. Geweke
  2. Raftery-Lewis
  3. Autocorrelations and ESS
@pbauman
Copy link
Member

pbauman commented Mar 8, 2017

We already have (I believe) Gelman-Rubin

I called it "Brooks-Gelman" and yeah, it's in there, sort of. It's a pretty stupid implementation (I'm the one that did it O_O), honestly, and should be removed IMHO. Instead, I think a ConvergenceDiagnostics or ConvergenceMonitor (or whatever) base class would be the way to go, from which we could subclass implementations and then the user could attach it to the SIP (or sampler, or whatever level is appropriate) to monitor convergence as sampling progresses or just use it to post process convergence. Brooks-Gelman scales O(n_samples^2), so encapsulating it to have options like lagging and only recomputing every m samples would be good to do.

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

No branches or pull requests

2 participants