Adaptive Rejection Sampling

[Miguel Ángel Beltrán Sánchez]

Hi everyone,

I am currently exploring the implementation of user-defined samplers in NIMBLE. To do this, I am reading the manual and some examples. I am interested in being able to use the Adaptive Rejection Sampling sampler (Gilks and Wild, 1992), and more specifically its Derivative-FREE version (Gilks, 1992). This sampler is very useful when simulating, through Gibbs Sampling, from log-concave full conditional posterior distributions, and is widely used in WinBUGS, where I have more experience. This sampler is not currently available for use in NIMBLE, am I correct? Do you have any experience trying to implement it? Any information is welcome; any comments about this sampler could be helpful. Thank you in advance.

Greeting,

M. Ángel

Gilks, W. R., & Wild, P. (1992). Adaptive Rejection Sampling for Gibbs Sampling. Journal of the Royal Statistical Society. Series C (Applied Statistics), 41(2), 337–348. https://doi.org/10.2307/2347565.

Gilks, W. R. (1992) Derivative-free Adaptive Rejection Sampling for Gibbs Sampling, Bayesian Statistics 4: Proceedings of the Fourth Valencia International Meeting. https://doi.org/10.1093/oso/9780198522669.003.0040.

[Daniel Turek]

Miguel, your email is well-received.  Yes, I (and the rest of the nimble dev team) are certainly familiar with the ARS sampling process from Gilks & Wild, and you are correct, there is no implementation of this in nimble.  This would be a nice addition to the package, and the design of nimble is precisely to allow for (relatively) easy implementation and addition of samplers such as this.

I have no experience trying to implement ARS in nimble, but substantial experience implementing other sampling strategies in nimble.  If you plan to undertake this effort, then I will gladly provide feedback and pointers along the way.

Cheers,

Daniel

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[Miguel Ángel Beltrán Sánchez]

Thank you very much, Daniel, for your response. I will gladly share my progress with you and the entire development team.

Greetings,

M. Ángel