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Netlab Reference Manual metrop
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<H1> metrop
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<h2>
Purpose
</h2>
Markov Chain Monte Carlo sampling with Metropolis algorithm.

<p><h2>
Synopsis
</h2>
<PRE>

samples = metrop(f, x, options)
samples = metrop(f, x, options, [], P1, P2, ...)
[samples, energies, diagn] = metrop(f, x, options)
s = metrop('state')
metrop('state', s)
</PRE>


<p><h2>
Description
</h2>

<CODE>samples = metrop(f, x, options)</CODE> uses
the Metropolis algorithm to sample from the distribution
<CODE>p ~ exp(-f)</CODE>, where <CODE>f</CODE> is the first argument to <CODE>metrop</CODE>.
The Markov chain starts at the point <CODE>x</CODE> and each
candidate state is picked from a Gaussian proposal distribution and
accepted or rejected according to the Metropolis criterion.

<p><CODE>samples = metrop(f, x, options, [], p1, p2, ...)</CODE> allows
additional arguments to be passed to <CODE>f()</CODE>.  The fourth argument is
ignored, but is included for compatibility with <CODE>hmc</CODE> and the
optimisers.

<p><CODE>[samples, energies, diagn] = metrop(f, x, options)</CODE> also returns
a log of the energy values (i.e. negative log probabilities) for the
samples in <CODE>energies</CODE> and <CODE>diagn</CODE>, a structure containing
diagnostic information (position and
acceptance threshold) for each step of the chain in <CODE>diagn.pos</CODE> and
<CODE>diagn.acc</CODE> respectively.  All candidate states (including rejected
ones) are stored in <CODE>diagn.pos</CODE>.

<p><CODE>s = metrop('state')</CODE> returns a state structure that contains the
state of the two random number generators <CODE>rand</CODE> and <CODE>randn</CODE>.
These are contained in fields
<CODE>randstate</CODE>,
<CODE>randnstate</CODE>.

<p><CODE>metrop('state', s)</CODE> resets the state to <CODE>s</CODE>.  If <CODE>s</CODE> is an integer,
then it is passed to <CODE>rand</CODE> and <CODE>randn</CODE>.
If <CODE>s</CODE> is a structure returned by <CODE>metrop('state')</CODE> then
it resets the generator to exactly the same state.

<p>The optional parameters in the <CODE>options</CODE> vector have the following
interpretations.

<p><CODE>options(1)</CODE> is set to 1 to display the energy values and rejection
threshold at each step of the Markov chain. If the value is 2, then the
position vectors at each step are also displayed.

<p><CODE>options(14)</CODE> is the number of samples retained from the Markov chain;
default 100.

<p><CODE>options(15)</CODE> is the number of samples omitted from the start of the
chain; default 0.

<p><CODE>options(18)</CODE> is the variance of the proposal distribution; default 1.

<p><h2>
Examples
</h2>
The following code fragment samples from the posterior distribution of
weights for a neural network.
<PRE>

w = mlppak(net);
[samples, energies] = metrop('neterr', w, options, 'netgrad', net, x, t);
</PRE>


<p><h2>
Algorithm
</h2>

The algorithm follows the procedure outlined in Radford Neal's technical
report CRG-TR-93-1  from the University of Toronto.

<p><h2>
See Also
</h2>
<CODE><a href="hmc.htm">hmc</a></CODE><hr>
<b>Pages:</b>
<a href="index.htm">Index</a>
<hr>
<p>Copyright (c) Ian T Nabney (1996-9)


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author	wolffd
date	Tue, 10 Feb 2015 15:05:51 +0000
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