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DEMetropolis: Warn on too small population #3719

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michaelosthege opened this issue Dec 10, 2019 · 0 comments · Fixed by sthagen/pymc-devs-pymc#9
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DEMetropolis: Warn on too small population #3719

michaelosthege opened this issue Dec 10, 2019 · 0 comments · Fixed by sthagen/pymc-devs-pymc#9
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@michaelosthege
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As explained by ter Braak (2006), the number of chains should be larger than the number of dimensions:

What happens if N ≤ d? Because N points lie in an N − 1
dimensional space, all proposals (2) will lie in this reduced
space when e = 0. Therefore convergence of DE-MC would
rely on e, which would take a long time if its variance is small.
To stress that convergence does not depend on the unbounded
support of e, we actually used e ∼ Uniform[−b, b]d with
b = 10−4 in all computations (Fig. 2). In the next section
the effect of N on the efficiency of DE-MC is studied via
simulation for N > d.

Therefore, we should warn the user about potentially inefficient sampling when n_chains <= n_dims

@michaelosthege michaelosthege self-assigned this Dec 10, 2019
@michaelosthege michaelosthege changed the title Warn on too small population in DEMetropolis DEMetropolis: Warn on too small population Dec 10, 2019
michaelosthege added a commit to michaelosthege/pymc that referenced this issue Dec 10, 2019
+ accelerate existing test by running fewer iterations non-parallelized
michaelosthege added a commit to michaelosthege/pymc that referenced this issue Dec 10, 2019
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