The Kombine sampler

Clustered KDE

Name	kombine
Version	0.01
Author(s)	Benjamin Farr
URL	https://github.com/bfarr/kombine
Citation(s)	Farr, B. and Farr, W.M., “kombine: a kernel-density-based, embarrassingly parallel ensemble sampler”, in preparation., http://arxiv.org/abs/1309.7709
Parallelism	parallel

kombine is an ensemble sampler that uses a clustered kernel-density-estimate proposal density, which allows it to efficiently sample multimodal or non-gaussian posteriors. In between updates to the proposal density estimate, each member of the ensemble is sampled independently, allowing for massive parallelization.

The total number of samples generated will be walkers * samples.

Installation

kombine needs to be installed separately: it can be installed from github using pip:

pip install –user git+git://github.com/bfarr/kombine

Parameters

These parameters can be set in the sampler’s section in the ini parameter file. If no default is specified then the parameter is required. A listing of “(empty)” means a blank string is the default.

Name	Type	Description	Default
walkers	integer	number of independent walkers in the ensemble
samples	integer	total sample steps taken
nsteps	integer	number of sample steps taken in between writing output
update_interval	integer	number of steps taken in between updating the posterior
start_file	string	a file containing starting points for the walkers. If not specified walkers are initialized randomly from the prior distribution.	(empty)
random_start	bool, default=False	whether to start points randomly thooughout the prior instead of a ball