dream_test

dream_test, a MATLAB program which calls dream() to implement the DREAM algorithm for accelerating Markov Chain Monte Carlo (MCMC) convergence using differential evolution, by Guannan Zhang.

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Related Data and Programs:

dream, a MATLAB program which implements the DREAM algorithm for accelerating Markov Chain Monte Carlo (MCMC) convergence using differential evolution, using five user functions to define the problem, by Guannan Zhang.

Examples and Tests:

• dream_test.m, calls all the tests.
• dream_test.sh, runs all the tests.
• dream_test.txt, the output file.

PROBLEM0 is a small sample problem, in 10 dimensions, with a density that is the maximum of two gaussians centered at (-5,-5,...,-5) and (5,5,...,5).

• p0_prior_density.m, the prior density.
• p0_prior_sample.m, the prior sampler.
• p0_sample_likelihood.m, the sample likelihood function.
• p0_size.m, the size function.
• p0_value.m, the value function.
• p0_chain01.txt, a chain data file.
• p0_chain02.txt, a chain data file.
• p0_chain03.txt, a chain data file.
• p0_chain04.txt, a chain data file.
• p0_chain05.txt, a chain data file.
• p0_chain06.txt, a chain data file.
• p0_chain07.txt, a chain data file.
• p0_chain08.txt, a chain data file.
• p0_chain09.txt, a chain data file.
• p0_chain10.txt, a chain data file.
• p0_gr.txt, the Gelman-Rubin statistic file.
• p0_restart.txt, the restart file.

PROBLEM2 is based on the second example in the Vrugt reference. The Vrugt version involves 10 variables, with a "twisted" Gaussian density function.

• p2_prior_density.m, the prior density.
• p2_prior_sample.m, the prior sampler.
• p2_sample_likelihood.m, the sample likelihood function.
• p2_size.m, the size function.
• p2_value.m, the value function.
• p2_chain01.txt, a chain data file.
• p2_chain02.txt, a chain data file.
• p2_chain03.txt, a chain data file.
• p2_chain04.txt, a chain data file.
• p2_chain05.txt, a chain data file.
• p2_chain06.txt, a chain data file.
• p2_chain07.txt, a chain data file.
• p2_chain08.txt, a chain data file.
• p2_chain09.txt, a chain data file.
• p2_chain10.txt, a chain data file.
• p2_gr.txt, the Gelman-Rubin statistic file.
• p2_restart.txt, the restart file.

You can go up one level to the MATLAB source codes.