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-Hastings algorithm. CALL: b = mcmc(in,out,pl) INPUTS: out - analysis objects with measured outputs pl - parameter list OUTPUTS: b - pest object contatining estimated information The data must be organized in AO matrices. It is assumed that the channels of the system are positioned in the rows of the matrices, while the experiments in the columns. For more specific guidelines check the LTPDA toolbox userguide. Parameters Description References: "Catching supermassive black holes binaries without a net" N.J. Cornish, E.K. Porter, Phys.Rev.D 75, 021301, 2007 TODO: multiple chain option not implemented yet %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
Method Details | |
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Access | public |
Defining Class | ao |
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 ao/mcmc are listed below: | |
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Class name | ao |
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: ao/map3D | Method: ao/mcmc_td | ![]() |
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