Package: gpumetropolis 0.7.0

gpumetropolis: GPU-Portable Vendor-Agnostic Metropolis-Hastings Sampler

A generic random-walk Metropolis-Hastings sampler for Markov chain Monte Carlo. The user declares a model by writing its log-likelihood and log-prior as one-sided formulas; the package compiles them to a stack-machine bytecode that a single portable kernel interprets, so the same model runs on the CPU and on the GPU from one source. The sampler advances many independent chains in one batched pass. A distributional equivalence harness based on the two-sample Kolmogorov-Smirnov test and the split R-hat statistic of Gelman and Rubin (1992) <doi:10.1214/ss/1177011136> checks the GPU output against the CPU output. Dispatching the kernel to a GPU helps when many chains are run or when the log-density is expensive to evaluate over a large data set, and does not help for small models run with few chains.

Authors:Pedro Carvalho Brom [aut, cre, cph]