dvats / portkey

Bernoulli Factory MCMC: Portkey Two-Coin Algorithm for Markov Chain Monte Carlo

Geek Repo:Geek Repo

Github PK Tool:Github PK Tool

portkey

An R package for implementing the Portkey two-coin Bernoulli factory of Vats et. al. (2020). The main function is portkey which is meant to be used within an MCMC algorithm to determine whether the move should be accepted or rejected. The regular two-coin algorithm can also be implemented using twocoin which just calls portkey for beta = 1.

Installation

This R package is not on CRAN and is hosted on GitHub only.

To download this development repo, through the the devtools package:

# install.packages("devtools")
library(devtools)
devtools::install_github("dvats/portkey")

About

Bernoulli Factory MCMC: Portkey Two-Coin Algorithm for Markov Chain Monte Carlo


Languages

Language:R 100.0%