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The MPI version of the mcmc function

mcmc_mpi.Rd

this version of the MCMC function returns a Markov chain closure that assumes that it is bein run in an MPI context: R was launched in an MPI context, e.g. using

mpirun -H localhost:8 -N 8 Rscript ...

and the pbdMPI package is installed. The chains shall communicate using the provided comm object.

Usage

mcmc_mpi(
  update,
  comm,
  swapDelay = 0,
  swapFunc = pbdMPI_bcast_reduce_temperatures
)

Arguments

update

an update function

comm

an mpi comm which this function will use for send/receive operations

swapDelay

swaps will be attempted every 2*swapDelay+1 iterations deprecated

swapFunc

can be a custom function that does the MPI communication and decides whether or nopt to swap temperatures

Value

an mcmc closure m(parMCMC,N,eps) that implicitly uses the supplied update function

Details

This function is intended for use within a parallel tempering approach and MPI. For trivial parallelization (many chains), this is not at all required, only a random number seed for each worker.

It is possible to supply a custom swap function, with the interface:

swapFunc <- function(i, B, LL, H, r, comm, cs)

where i is the current iteration (for round robin rank choices), B is the current beta value, LL the current log-likelihood (scalar) and H the current step-size (scalar); r, comm, and cs are the MPI rank, comm, and comm-size. The swap function returnsa list: list(B=,LL=,H=) with the updated values (after swapping) or the old values if the swap was rejected.

Examples

## works in an MPI context
## similar to mcmc without _mpi prefix
if (FALSE) { # \dontrun{
  ## prepare the update function
  pt_mcmc <- mcmc_mpi(update, comm, swapDelay=0, swapFunc=pbdMPI_bcast_reduce_temperatures)
} # }