xsample(): An R Function for Sampling Linear Inverse Problems

Karel Van den Meersche, Karline Soetaert and Dick Van Oevelen

Journal of Statistical Software, 2009, vol. 030, issue c01

Abstract: An R function is implemented that uses Markov chain Monte Carlo (MCMC) algorithms to uniformly sample the feasible region of constrained linear problems. Two existing hit-and-run sampling algorithms are implemented, together with a new algorithm where an MCMC step reflects on the inequality constraints. The new algorithm is more robust compared to the hit-and-run methods, at a small cost of increased calculation time.

Date: 2009-04-27
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:030:c01

DOI: 10.18637/jss.v030.c01

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