Differential Evolution Monte Carlo sampling

easy Bayesian computation for real parameter spaces

This code implements a Markov chain Monte Carlo algorithm which automatically and efficiently tunes the proposal distribution to the covariance structure of the target distribution. This is achieved while maintaining the target distribution as the stationary distribution of the Markov chain. The algorithm is described in:

Cajo F.T. Ter Braak, "A Markov Chain Monte Carlo version of the genetic algorithm Differential Evolution: easy Bayesian computing for real parameter spaces", Stat Comput (2006) 16:239–249

As of the date of submission, this paper is freely available at:

http://www.stat.columbia.edu/~gelman/stuff_for_blog/cajo.pdf