Description
It can be expensive to determine bounding ellipsoids, particuarly for the multi-ellipsoidal method. However, this doesn't need to be done every iteration. The update_interval parameter lets the user set how often the ellipsoidal decomposition is performed.
In theory, fewer updates mean less efficient sampling and more likelihood evaluations. Thus, the ideal choice for this parameter depends on the runtime of the likelihood function versus the runtime of the ellipsoidal decomposition. It should be possible to time the execution of the likelihood function while sampling in order to adaptively adjust the update interval.
However, this might depend on having a good understanding of the effect on the sampling efficiency, as measuring the sampling efficiency directly might give results too noisy to be useful.
Activity