CMCMC

Authors Ahmad ALQabandi, Louis Aslett, Murray Pollock, Gareth Roberts

Last update 23 July 2026

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Description

Implements contemporaneous Markov chain Monte Carlo (CMCMC) and interchain adaptive Markov chain Monte Carlo (INCA) samplers of Craiu, Rosenthal and Yang (2009) <doi:10.1198/jasa.2009.tm08393> for targets known up to a normalising constant. The samplers run multiple Metropolis chains in parallel and update proposal covariance estimates using contemporaneous particle groups. Built-in target kernels include multivariate normal, logistic regression, Poisson, Gaussian, Gamma, and hierarchical models, with support for user-provided target kernels. The formula interface glm_cmcmc() fits supported generalized linear models using the built-in kernels. 'CUDA' is used when available, and an 'OpenMP'-enabled CPU backend is available on systems without a 'CUDA' compiler.

Cites work

Learn from thy neighbor: parallel-chain and regional adaptive MCMC

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