Method matrix/mcmc


  MCMC estimates paramters using a Monte Carlo Markov Chain.
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  DESCRIPTION: MCMC estimate the parameters of a given model given
               inputs, outputs and noise using a Metropolis algorithm.
 
  CALL:        [b smplr] = mcmc(out,pl)
 
  INPUTS:      out     -  matrix objects with measured outputs
               pl      -  parameter list
 
  OUTPUTS:     b   - pest object contatining estimate information
               smplr - matrix containing info about the rejected points
 
  Parameters Description
 
  VERSION:    $Id: mcmc.m,v 1.59 2012/06/08 19:21:02 nikos Exp $
 
  References:  M Nofrarias et al. Phys. Rev. D 82, 122002 (2010)
 
 
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Method Details
Access public
Defining Class matrix
Sealed 0
Static 0

Parameter Description

Default

no description
Key Default Value Options Description
INNAMES '' none Input names. Used for ssm models
OUTNAMES '' none Output names. Used for ssm models
MODEL '' none Model to fit.
FITPARAMS [] none A cell array of evaluated parameters.
INPUT '' none A matrix array of input signals.
N 1000 none number of samples of the chain.
COV [] none covariance of the gaussian jumping distribution.
NOISE '' none A matrix array of noise spectrum (PSD) used to compute the likelihood.
RANGE [] none Range where the parameteters are sampled.
MODELFREQDEPENDENT 1
  • 1
  • 0
Set to true to use frequency dependent s models, set to false when using constant models
SEARCH 1
  • 1
  • 0
Set to true to use bigger jumps in parameter space during annealing and cool down.
FREQUENCIES [] none Range of frequencies where the analysis is performed. If an array, only first and last are used
FSOUT [] none Desired sampling frequency to resample the input time series
SIMPLEX 0
  • 0
  • 1
Set to true to perform a simplex search to find the starting parameters of the MCMC chain.
MHSAMPLE 1
  • 1
  • 0
Set to true to perform a mhsample search. This is set to true by default. Only to be set to false by the user if we does not want to perform the mcmc search
PROPOSAL SAMPLER [] none Set the proposal PDF to sample from. If left empty the multivariate Gaussian is used.
PROPOSAL PDF [] none Input the proposal PDF. This is needed when the proposal PDF is not symmetric.If this field is empty, a symmetric PDF is assumed. Check help for details.
HEAT 1 none The heat index flattening likelihood surface during annealing.
TC [0 1] none An array of two values setting the initial and final value for the cooling down.
X0 [] none The proposed initial values.
UPDATE FIM FREQ [] none Provide with the desired frequency where the FIM should be updated.
DIFFSTEP [] none The differentiation steps used for the computation of the Fisher Information matrix. If not provided the will be computed with the crb function.
NGRID [] none Number of points in the grid to compute the optimal differentiation step for ssm models
STEPRANGES [] none An array with upper and lower values for the parameters ranges. To be used to compute the optimal differentiation step for ssm models.
PINV 1
  • 1
  • 0
Use the Penrose-Moore pseudoinverse
TOL [] none Tolerance for the Penrose-Moore pseudoinverse
JUMPS [] none An array of four numbers setting the rescaling of the covariance matrix during the search phase.
PLOT [] none Select indexes of the parameters to be plotted.
DEBUG 0
  • 0
  • 1
Set to true to get debug information of the MCMC process.
INMODEL '' none Input model. Still under test
NAVS 1 none The number of averages to use when calculating PSD and CPSD.
OUTMODEL '' none Output model. Still under test
PRIOR '' none Mean, sigma and normalization factor for priors. Still under test
ANNEAL 'simul'
  • 'simul'
  • 'thermo'
  • 'simple'
Choose type of annealing during sampling. Default value is simulated annealing. Choose "thermo" for annealing with a thermostat. SNR is computed and if it is larger than a fixed value SNR0 (provided also in the plist), then the chains are heated by a factor of (SNR(1)/SNR0)^2. Choosing "simple" the deviation of the loglikelihood of every 10 points in the chains is stored. If this deviation is larger or smaller than two fixed values the chains are cooled or heated respectively.
SNR0 200 none Fixed value for thermostated annealing.
DELTAL [100 600 2 3] none Deviation of Loglikelihood for 10 points of the chains. Used forthe "simple" choice of annealing with a thermostat.
WIN 0
  • 0
  • 1
Windowing the data.
WIN TYPE 'BH92'
  • 'Rectangular'
  • 'Welch'
  • 'Bartlett'
  • 'Hanning'
  • 'Hamming'
  • 'Nuttall3'
  • 'Nuttall4'
  • 'Nuttall3a'
  • 'Nuttall3b'
  • 'Nuttall4a'
  • 'Nuttall4b'
  • 'Nuttall4c'
  • 'BH92'
  • 'SFT3F'
  • 'SFT3M'
  • 'FTNI'
  • 'SFT4F'
  • 'SFT5F'
  • 'SFT4M'
  • 'FTHP'
  • 'HFT70'
  • 'FTSRS'
  • 'SFT5M'
  • 'HFT90D'
  • 'HFT95'
  • 'HFT116D'
  • 'HFT144D'
  • 'HFT169D'
  • 'HFT196D'
  • 'HFT223D'
  • 'HFT248D'
  • 'Kaiser'
  • 'levelledHanning'
Choose the type of the spectral window.
PSLL 150 none Only if 'win' is set to 'true'. If you choose a 'kaiser' window, you can also specify the peak-sidelobe-level.
LEVELORDER 2 none Only if 'win' is set to 'true'. If you choose a 'levelledHanning' window, you can also specify the order of the contraction.
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Some information of the method matrix/mcmc are listed below:
Class name matrix
Method name mcmc
Category Signal Processing
CVS Version $Id: mcmc.m,v 1.59 2012/06/08 19:21:02 nikos Exp $
Min input args 1
Max input args -1
Min output args 1
Max output args -1




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