LTPDA Toolbox™ | contents | ![]() ![]() |
MCMC estimates paramters using a Monte Carlo Markov Chain. %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% 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 References: M Nofrarias et al. Phys. Rev. D 82, 122002 (2010) %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
Method Details | |
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Access | public |
Defining Class | matrix |
Sealed | 0 |
Static | 0 |
Sets for this method … |
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Default |
Default |
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Key | Default Value | Options | Description |
SIMPLEX | 0 |
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Set to true to perform a simplex search to find the starting parameters of the MCMC chain. |
MHSAMPLE | 1 |
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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. |
FREQUENCIES | [] | none | Array of frequencies where the analysis is performed. |
F1 | [] | none | Initial frequency for the analysis. |
F2 | [] | none | Final frequency for the analysis. |
FSOUT | [] | none | Desired sampling frequency to resample the input time series. |
NAVS | 5 | none | The number of averages to use when calculating PSD and CPSD. |
WINDOW | 0 |
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True-False flag to use a window on the data. |
INNAMES | '' | none | The input names. Used in the SSM case. |
OUTNAMES | '' | none | The output names. Used in the SSM case. |
PINV | 0 |
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Use the Penrose-Moore pseudoinverse. |
TOL | [] | none | Tolerance for the Penrose-Moore pseudoinverse. |
NOISE SCALE | 'PSD' |
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Select the way to handle the noise/weight data. Can use the PSD/CPSD or the LPSD/CLPSD functions. |
BIN DATA | 0 |
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Set to true to re-bin the measured noise data. |
JDES | 1000 | none | The desired number of spectral frequencies to compute. Used in the case of 'LPSD' method. |
NFFT | -1 | none | The number of samples in each fft [default: length of input data]. A string value containing the variable 'fs' can also be used, e.g., plist('Nfft', '2*fs') |
WIN | 'Hanning' |
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The window to be applied to the data to remove the discontinuities at edges of segments. [default: taken from user prefs] Only the design parameters of the window object are used. Enter a string value containing the window name e.g. plist('Win', 'Kaiser', 'psll', 200) plist('Win', 'BH92') |
PSLL | 200 | none | The peak sidelobe level for Kaiser windows. Note: it is ignored for all other windows |
OLAP | -1 | none | The segment percent overlap [-1 == take from window function] |
ORDER, N | 0 |
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The order of segment detrending:
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TIMES, SPLIT | [] | none | The time range to analyze. If not empty, sets the time interval to operate on. As in ao/split, the interval can be specified by:
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INPUT | '' | none | The injection signals. |
OUTPUT | '' | none | The measured output data. |
NOISE | '' | none | The noise data. |
MODEL | '' | none | The model to use. |
FREQS | '' | none | The frequencies to calculate the bode. For SSMs. |
X0 | [] | none | The starting point. |
DISPLAY | 'iter' |
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Level of display.. |
FUNVALCHECK | 'off' |
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Check whether objective function values are valid. 'on' displays an error when the objective function returns a value that is complex, Inf or NaN. 'off' (the default) displays no error. |
MAXFUNEVALS | 1000 | none | Maximum number of function evaluations allowed. |
MAXITER | 1000 | none | Maximum number of iterations allowed. |
OUTPUTFCN | [] | none | User-defined function that is called at each iteration. |
PLOTFCNS | [] | none | Plots various measures of progress while the algorithm executes. |
TOLFUN | 1.0000000000000001e-05 | none | Termination tolerance on the function value. |
TOLX | 1.0000000000000001e-05 | none | Termination tolerance on x. |
FITPARAMS | '' | none | The names of the parameters to fit. |
LOG PARAMETERS | '' | none | The parameters to sample in log-scale. |
TXT | 0 |
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Set to true if a print of the parameters into a txt file is desired. |
FUNC | '' | none | The function handle to minimize. |
DIFF MODEL | '' | none | Model to use for the update of the covariance matrix during the search phase. It should be an unprocessed version of the model to fit. |
NSAMPLES | 1000 | none | number of samples of the chain. |
COV | '' | none | covariance of the gaussian jumping distribution. |
LOGLIKELIHOOD | [] | none | A log-likelihood function. Must be a 'mhf' LTPDA object. |
RANGE | [] | none | Range where the parameteters are sampled. |
SEARCH | 1 |
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Set to true to use bigger jumps in parameter space during annealing and cool down. |
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 [i j], setting the i-th and j-th sample for the cooling down. |
UPDATE FIM FREQ | [] | none | Provide with the desired frequency where the FIM should be updated. |
JUMPS | [] | none | An array of four numbers setting the rescaling of the covariance matrix during the search phase. |
PLOT TRACES | [] | none | Select indexes of the parameters to be plotted. |
PLOT DIAGNOSTICS | 0 |
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Set to true to plot diagnostigs at the end of the sampling. |
DEBUG | 0 |
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Set to true to get debug information of the MCMC process. |
PRINT DIAGNOSTICS | 1 |
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Set to true to print information of the statistics of the MCMC chains. |
FPRINT | 100 | none | Print progress on screen every specified numeber of samples. |
PRIOR | '' | none | Must be an array of MFH objects that calculate the prior probability at a given point 'x'. |
ANNEAL | 'simul' |
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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. |
MODELFREQDEPENDENT | 1 |
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Set to true to use frequency dependent s models, set to false when using constant models |
SNR0 | 200 | none | Fixed value for thermostated annealing. |
FREQUENCIES VECTOR | 200 | none | A vector of frequencies. Used for the update of the Fisher Matrix during the MH sampling. |
DIFFSTEP | [] | none | Numerical differentiation step for ssm models |
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. |
LOGA | 1 |
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True-False flag. If set to true, it computes the log(acceptance ratio). |
MINIMIZE | 1 |
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True-False flag. If 'LOGA' is set to false, with this key, the mhsample function samples towards the minimum or the maximum of a given function. |
Some information of the method matrix/mcmc are listed below: | |
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Class name | matrix |
Method name | mcmc |
Category | Signal Processing |
Package name | ltpda |
VCS Version | 8ab8cbbc4bccf7543491a24448f4aae0b1be1c43 |
Min input args | 1 |
Max input args | -1 |
Min output args | 1 |
Max output args | -1 |
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Method: matrix/mchNoisegenFilter | Method: matrix/modelSelect | ![]() |
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