Metropolis in 95 characters

[This article was first published on R – Xi’an’s Og, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)

Want to share your content on R-bloggers? click here if you have a blog, or here if you don’t.

Here is an R function that produces a Metropolis-Hastings sample for the univariate log-target f when the later is defined outside as another function. And when using a Gaussian random walk with scale one as proposal. (Inspired from a X validated question.)

m<-function(T,y=rnorm(1))ifelse(rep(T>1,T), c(y*{f({z<-m(T-1)}[1])-f(y+z[1])

The function is definitely not optimal, crashes for values of T larger than 580 (unless one modifies the stack size), and operates the most basic version of a Metropolis-Hastings algorithm. But as a codegolf challenge (on a late plane ride), this was a fun exercise.

If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook


Leave a Comment