Convergence tweaks for reversible MLE and sampler#45
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…press the not-converged warning. Using that option and running only 100 steps in the initialization of the reversible transition matrix sampler. That's sufficient for the sampler because the MLE is just a starting point anyway. In cases where the reversible MLE doesn't converge well - and that seems to happen often for the fractional counts employed in Bayesian methods - we would otherwise optimize for 1M steps, just to throw that result away in the first sampling step. This change makes a huge performance difference for the Bayesian HMM, where a transition matrix sampling is run for every iteration of the algorithm (usually 100 times or more).
franknoe
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Aug 4, 2015
Convergence tweaks for reversible MLE and sampler
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Affects mainly estimation: reversible tmatrix MLE and sampler: