Metropolis in 95 characters

Here is an R function that produces a Metropolis-Hastings sample for the univariate log-target f when the later is defined outside as another function. And when using a Gaussian random walk with scale one as proposal. (Inspired from a X validated question.)

m<-function(T,y=rnorm(1))ifelse(rep(T>1,T),
  c(y*{f({z<-m(T-1)}[1])-f(y+z[1])<rexp(1)}+z[1],z),y)

The function is definitely not optimal, crashes for values of T larger than 580 (unless one modifies the stack size), and operates the most basic version of a Metropolis-Hastings algorithm. But as a codegolf challenge (on a late plane ride), this was a fun exercise.

2 Responses to “Metropolis in 95 characters”

  1. […] article was first published on R – Xi'an's Og, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here) […]

  2. […] by data_admin [This article was first published on R – Xi’an’s Og, and kindly contributed to R-bloggers]. (You can report issue about the content on this page […]

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