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mcmc
2011 Sep 20
0
rtmvnorm performance issues
When sampling from a multi-variate truncated normal using rtmvnorm from
the tmvnorm-package, I experience extreme performance differences between
two of my computers. On my laptop computer, draws take ~5s, on my desktop
~30s. I need to run MCMCs with repeat calls to rtmvnorm on my desktop. The
code in both cases is exactly the same. rtmvnorm seems not to have any
machine dependent defaults built in.
The function call is:
rtmvnorm(1, mean =as.numeric(A.i %*% (X%*%b.c[r,])), sigma = solve(t(A)
%*% A),
lower = as.numeric(0...