mcgibbsit Example
library(mcgibbsit)
#> Loading required package: coda
set.seed(42) # for reproducibility
tmpdir <- tempdir()The mcgibbsit package provides an implementation of
Warnes & Raftery’s MCGibbsit run-length diagnostic for a set of
(not-necessarily independent) MCMC samplers. It combines the estimate
error-bounding approach of Raftery and Lewis with the between chain
variance verses within chain variance approach of Gelman and Rubin.
For a set of exchangeable1 MCMC simulations on the same data and model
mcgibbsit computes:
minimum run length: Nmin
required burn in length: M
total run length: N
run length inflation due to auto-correlation: I
run length inflation due to between-chain correlation: R
These simulations need not be independent, such as those generated by the Normal Kernel Coupler adaptive CMC method (see G. R. Warnes (2000) or G. Warnes (2001)).
For
The normal usage is to perform an initial MCMC run of some
pre-determined length (e.g. 300 iterations) for each of a set of k (e.g. 20) MCMC samplers. The
output from these samplers is then read in to create an
mcmc.list object and mcgibbsit is run
specifying the desired accuracy of estimation for quantiles of interest.
This will return the minimum number of iterations to achieve the
specified error bound. The set of MCMC samplers is now run so that the
total number of iterations exceeds this minimum, and
mcgibbsit is again called. This should continue until the
number of iterations already complete is less than the minimum number
computed by mcgibbsit.
If the initial number of iterations in data is too small
to perform the calculations, an error message is printed indicating the
minimum pilot run length.
Example
This basic example constructs a dummy set of files from an
imaginary MCMC sampler and shows the results of running
mcgibbsit with the default settings.
# Define a function to generate the output of our imaginary MCMC sampler
gen_samples <- function(run_id, nsamples=200)
{
x <- matrix(nrow = nsamples+1, ncol=4)
colnames(x) <- c("alpha","beta","gamma", "nu")
x[,"alpha"] <- exp(rnorm (nsamples+1, mean=0.025, sd=0.025))
x[,"beta"] <- rnorm (nsamples+1, mean=53, sd=14)
x[,"gamma"] <- rbinom(nsamples+1, 20, p=0.15) + 1
x[,"nu"] <- rnorm (nsamples+1, mean=x[,"alpha"] * x[,"beta"], sd=1/x[,"gamma"])
#'
# induce serial correlation of 0.25
x <- 0.75 * x[2:(nsamples+1),] + 0.25 * x[1:nsamples,]
# induce ~50% acceptance rate
accept <- runif(nsamples) > 0.50
for(i in 2:nsamples)
if(!accept[i]) x[i,] <- x[i-1,]
write.table(
x,
file = file.path(
tmpdir,
paste("mcmc", run_id, "csv", sep=".")
),
sep = ",",
row.names = FALSE
)
}First, we’ll generate and load only a 3 runs of length 200:
# Generate and load 3 runs
for(i in 1:3)
gen_samples(i, 200)
mcmc.3 <- read.mcmc(
3,
file.path(tmpdir, "mcmc.#.csv"),
sep=",",
col.names=c("alpha","beta","gamma", "nu")
)
Now run mcgibbsit to determine the necessary total
number of MCMC samples to to provide accurate 95% posterior confidence
region estimates for all four of the parameters:
# And check the necessary run length
mcg.3 <- mcgibbsit(mcmc.3)
print(mcg.3)
#> Multi-Chain Gibbsit
#> -------------------
#>
#> Call = mcgibbsit(data = mcmc.3)
#>
#> Number of Chains = 3
#> Per-Chain Length = 200
#> Total Length = 600
#>
#> Quantile (q) = 0.025
#> Accuracy (r) = +/- 0.0125
#> Probability (s) = 0.95
#>
#>
#> Burn-in Estimation Total Lower bound Auto-Corr. Between-Chain
#> (M) (N) (M+N) (Nmin) factor (I) Corr. factor (R)
#>
#> alpha 24 1301 1325 600 2.28 0.955
#> beta 33 1830 1863 600 3.22 0.951
#> gamma 27 1932 1959 600 2.74 1.180
#> nu 33 1849 1882 600 3.22 0.961
#> ----- ----- ----- ----- ----- -----
#> 33 1932 1959 600
#>
#> NOTE: The values for M, N, and Total are combined numbers of iterations
#> based on using 3 chains.The results from mcgibbsit indicate that the required
number of samples is 1,959, which is less than we’ve generated so
far.
Lets generate 7 more runs, each of length 200, for a total of 2,000 samples:
# Generate and load 7 more runs
for(i in 3 + (1:7))
gen_samples(i, 200)
mcmc.10 <- read.mcmc(
10,
file.path(tmpdir, "mcmc.#.csv"),
sep=",",
col.names=c("alpha","beta","gamma", "nu")
)
Now run mcgibbsit to determine the necessary number of
MCMC samples:
# And check the necessary run length
mcg.10 <- mcgibbsit(mcmc.10)
print(mcg.10)
#> Multi-Chain Gibbsit
#> -------------------
#>
#> Call = mcgibbsit(data = mcmc.10)
#>
#> Number of Chains = 10
#> Per-Chain Length = 200
#> Total Length = 2000
#>
#> Quantile (q) = 0.025
#> Accuracy (r) = +/- 0.0125
#> Probability (s) = 0.95
#>
#>
#> Burn-in Estimation Total Lower bound Auto-Corr. Between-Chain
#> (M) (N) (M+N) (Nmin) factor (I) Corr. factor (R)
#>
#> alpha 90 1534 1624 600 2.76 0.933
#> beta 110 1743 1853 600 3.11 0.940
#> gamma 90 1820 1910 600 3.19 0.955
#> nu 100 1569 1669 600 2.79 0.942
#> ----- ----- ----- ----- ----- -----
#> 110 1820 1910 600
#>
#> NOTE: The values for M, N, and Total are combined numbers of iterations
#> based on using 10 chains.mcgibbsit now estimates that a total of required number
of samples is 1,9102 Since we we have already generated 2,000
samples, we do not need to perform any additional runs.
We can now calculate the posterior confidence regions for each of the parameters.
summary(mcmc.10)
#>
#> Iterations = 1:200
#> Thinning interval = 1
#> Number of chains = 10
#> Sample size per chain = 200
#>
#> 1. Empirical mean and standard deviation for each variable,
#> plus standard error of the mean:
#>
#> Mean SD Naive SE Time-series SE
#> alpha 1.026 0.02033 0.0004546 0.000787
#> beta 53.012 11.10534 0.2483230 0.433342
#> gamma 4.024 1.24685 0.0278804 0.046729
#> nu 54.391 11.50530 0.2572663 0.438652
#>
#> 2. Quantiles for each variable:
#>
#> 2.5% 25% 50% 75% 97.5%
#> alpha 0.9892 1.012 1.025 1.039 1.07
#> beta 31.1137 45.587 52.633 60.664 73.74
#> gamma 1.7500 3.000 4.000 4.750 6.75
#> nu 32.3646 46.484 54.455 61.896 76.44