rgw

This package implements in R the affine-invariant sampling method of Goodman & Weare (2010). This is a way of producing Monte-Carlo samples from a target distribution, which can be used for statistical inference.

This R implementation is based on the very clear description given by Foreman-Mackey et al. (2012), who provide an implementation in python.

Installation

From CRAN

In R, run install.packages("rgw"). Note that the version hosted on CRAN may lag behind this one (see VERSION.md).

Manually (Linux/Unix/Mac)

1. Clone this repository.
2. In a terminal, navigate to the <repository base>/R/.
3. Run R CMD install rgw. Alternatively, in an R session, run install.packages("rgw", repos=NULL).

Use

Here's the simple example that appears in the documentation:

# In this example, we'll sample from a simple 2D Gaussian.

# Define the log-posterior function
lnP = function(x) sum( dnorm(x, c(0,1), c(pi, exp(0.5)), log=TRUE) )

# Initialize an ensemble of 100 walkers. We'll take 100 steps, saving the ensemble after each.
nwalk = 100
post = array(NA, dim=c(2, nwalk, 101))
post[1,,1] = rnorm(nwalk, 0, 0.1)
post[2,,1] = rnorm(nwalk, 1, 0.1)

# Run
post = GoodmanWeare.rem(post, lnP)

# Plot the final ensemble
plot(post[1,,101], post[2,,101])
# Look at the trace of each parameter for one of the walkers.
plot(post[1,1,])
plot(post[2,1,])
# Go on to get confidence intervals, make niftier plots, etc.

Help

Open an issue.