EntropyMCMC (1.0.4)

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MCMC Simulation and Convergence Evaluation using Entropy and Kullback-Leibler Divergence Estimation.


Tools for Markov Chain Monte Carlo (MCMC) simulation and performance analysis. Simulate MCMC algorithms including adaptive MCMC, evaluate their convergence rate, and compare candidate MCMC algorithms for a same target density, based on entropy and Kullback-Leibler divergence criteria. MCMC algorithms can be simulated using provided functions, or imported from external codes. This package is based upon work starting with Chauveau, D. and Vandekerkhove, P. (2013) and next articles.

Maintainer: Didier Chauveau
Author(s): Didier Chauveau [aut, cre], Houssam Alrachid [ctb]

License: GPL (>= 3)

Uses: mixtools, RANN, snow, Rmpi

Released 9 months ago.



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