Introduction to SamplerCompare

Abstract

SamplerCompare is an R package for comparing the performance of Markov chain Monte Carlo (MCMC) samplers. It samples from a collection of distributions with a collection of MCMC methods over a range of tuning parameters. Then, using log density evaluations per uncorrelated observation as a figure of merit, it generates a grid of plots showing the results of the simulation. It comes with a collection of predefined distributions and samplers and provides R and C interfaces for defining additional ones. It also provides the means to import simulation data generated by external systems. This document provides background on the package and demonstrates the basics of running simulations, visualizing results, and defining distributions and samplers in R.