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MCMC question

From: Kenny Crump
Subject: MCMC question
Date: Thu, 19 Sep 2002 10:57:18 -0500

This is our first experience with MCSIM.  We are attempting an MCMC run involving a fairly complicated PBPK model.  Last night we made runs on four different machines of 25,000 simulations, all identical except for the random number seed.  Output distributions for some parameters were dramatically different (based on the last 5,000 sims) , with some having very small variances on some runs compared to other runs.  Also, sometimes in the same run the distribution of the same parameter for different experiments are vastly different.  E.g., in one case the blood/fat partition coefficient got stuck on one value in one experiment but not in other experiments in the same run. 


It seems to me that this behavior could be caused by a bug in the dynamic method presently used to set the proposal distribution in the Metropolis algorithm.  I note that the papers on the Bois perc model do not mention this dynamic approach, instead refer to setting the variance in the proposal distribution based on preliminary runs.  Does the dynamic approach possibly have a bug?  Can you suggest other reasons for the observed behavior?




Kenny S. Crump


602 E. Georgia Ave.

Ruston, LA 71270

318-251-6985, 318-255-2277

FAX: 318-255-2040



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