littlemcmc.step_sizes.DualAverageAdaptation¶
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class
littlemcmc.step_sizes.
DualAverageAdaptation
(initial_step, target, gamma, k, t0)¶ Dual averaging step size adaptation.
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__init__
(initial_step, target, gamma, k, t0)¶ Class for dual averaging step size adaptation.
Parameters: - initial_step
- target
- gamma : float, default .05
- k : float, default .75
Parameter for dual averaging for step size adaptation. Values between 0.5 and 1 (exclusive) are admissible. Higher values correspond to slower adaptation.
- t0 : int, default 10
Parameter for dual averaging. Higher values slow initial adaptation.
Methods
__init__
(initial_step, target, gamma, k, t0)Class for dual averaging step size adaptation. current
(tune)Get current step size. reset
()Reset step size adaptation routine. stats
()Get step size adaptation statistics. update
(accept_stat, tune)Update step size. warnings
()Generate warnings from dual averaging step size adaptation. -