An MCMC Sampler Using the t-Walk Algorithm
Overview
Implements the t-walk algorithm, a general-purpose, self-adjusting Markov Chain Monte Carlo (MCMC) sampler for continuous distributions as described by Christen & Fox (2010) doi:10.1214/10-BA603. The t-walk requires no tuning and is robust for a wide range of target distributions, including high-dimensional and multimodal problems. This implementation includes an option for running multiple chains in parallel to accelerate sampling and facilitate convergence diagnostics.
Algorithm correctness
- Corrected the Blow-kernel proposal density to include only coordinates selected for movement, matching Christen & Fox (2010).
- Bounded all Metropolis--Hastings acceptance probabilities to
[0, 1]and moved their calculation to the log scale for numerical stability. - Preserved accepted identity proposals from the original t-walk transition kernel while reporting them separately from actual state movements.
- Avoided repeated evaluations of the log posterior, reducing sequential execution to one evaluation per proposal plus the two initial evaluations.
Sampling and parallel execution
- Added reproducible independent random-number streams for parallel chains;
set.seed()now controls both sequential and parallel runs.
Show all changes in 2.1.0Hide the rest of the changes in 2.1.0
- Parallel chains now preserve the supplied initial points and support constrained parameter spaces correctly.
- Parallel execution now exports direct and recursively referenced log-posterior dependencies to worker processes.
- Added consistent
n_chainsandtotal_iterationsmetadata in sequential and parallel results.
Output and diagnostics
- Added separate
samplesandcompanion_samplestrajectories. The legacyall_samplesfield remains available for compatibility but is not treated as one time-ordered chain. - Added
move_rateandno_move_ratealongside the Metropolis--Hastingsacceptance_rate. - Applied burn-in independently to each parallel chain and computed effective sample sizes without joining chain boundaries.
- Unified sample and burn-in validation across diagnostics and visualization.
Interface and validation
- Added the public
show_progressargument. Additional arguments, including an argument namedinternal_call, are now passed exclusively tolog_posterior. - Added clear validation for iteration counts, chains, cores, initial points, log-posterior return values, burn-in fractions, and parameter names.
- Expanded regression tests for kernel mathematics, parallel reproducibility, constrained supports, dependency export, diagnostics, and edge cases.
From NEWS.md in the release
Install
Health
- OK13 OK2026-09-08
- ERROR12 OK, 1 ERROR2026-09-07
- OK13 OK2026-08-05
- NOTE12 OK, 1 NOTE2026-08-01
- OK14 OK2026-03-10
Documentation
- Help pages
- 12 (9 internal)
- Examples that run
- 100%3 run in a plain check (1 of them under a condition)
- Exported functions with examples
- 100%
- Documented parameters
- 100%
- Return-value docs
- 67%
- Help pages citing references
- 0%
Downloads
Repository
Releases over time
Commits over time
3 development-tooling and community-health practices detected across 2 families in the upstream repository
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Dependencies
Code & Tests
People & History
Previously maintained by J Andres Christen (1.8.0).
Pick two releases to compare their code metrics.
- 2.1.0Latest
- 2.0.22026-07-30 · diff ↗
- RR 4.6.0 released · 2026-04-24
- 2.0.1
- unarchivedReturned to CRAN2026-02-02
- 2.0.02026-02-02 · diff ↗ ·
removed 7 exports
Runtwalk, OneMove, PlotLogObj, PlotHist, SaveOutput, Ana, TSadded 1 export
twalk - archivedRemoved from CRAN2025-06-17issues were not corrected despite reminders
- RR 4.5.0 released · 2025-04-11
- RR 4.4.0 released · 2024-04-24
- RR 4.3.0 released · 2023-04-21
- RR 4.2.0 released · 2022-04-22
- RR 4.1.0 released · 2021-05-18
- RR 4.0.0 released · 2020-04-24
- RR 3.6.0 released · 2019-04-26
- RR 3.5.0 released · 2018-04-23
- RR 3.4.0 released · 2017-04-21
Show 3 earlier eventsHide 3 earlier events
- RR 3.3.0 released · 2016-05-03
- 1.8.02015-09-18
- RR 3.2.0 released · 2015-04-16
Package metadata
- First published
- 2015-09-18
- Total releases
- 5 / 11 yrs
- License
- GPL-3 OSI
- Download size
- 109 KB
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