A suite of analysis and diagnostics tools in R
and python
for working with
Markov chain Monte Carlo generally and Hamiltonian Monte Carlo specifically.
The suite includes functions for interfacing with RStan
, PyStan2
, and
PyStan3
and notebooks demonstrating their use.
These tools can also be interfaced with any Hamiltonian Monte Carlo code by
implementing appropriate extract_expectands
, extract_hmc_diagnostics
, and
plot_inv_metric
functions.
Recommendations for code optimization are welcomed and appreciated.
I thank Sean Talts and Dan Waxman for Python code improvements. Raoul Kima originally suggested separating divergent transitions by numerical trajectory length.