SiMPA

This package implements Simplified Manifold Preconditioner Adaptation in simple settings such as GLM models.

The algorithm is outlined in Section 3.2 of Spatial Meshing for General Bayesian Multivariate Models.

R package meshed uses SiMPA with non-Gaussian outcomes.

Sampling from custom densities

• in model_alts.h, the class MyDensity can be used for custom densities. The two requirements are (1) a valid constructor, (2) a valid compute_dens_grad_neghess method which computes the density of the target, the gradient, and the negative hessian, at the input value x.
• in posterior.cpp, make the appropriate changes for initializing MyDensity, then replace GLMmodel with MyDensity.