DREAM
Markov Chain Monte Carlo acceleration by Differential Evolution


DREAM is a MATLAB program which implements the DREAM algorithm for accelerating Markov Chain Monte Carlo (MCMC) convergence using differential evolution, by Guannan Zhang.

DREAM requires user input in the form of five FORTRAN90 subroutines:

Examples of such user input are listed below.

DREAM requires access to he pdflib library, which can evaluate a variety of Probability Density Functions (PDF's) and produce samples from them. The user may wish to invoke this library when constructing some of the user functions.

DREAM requires access to the rnglib library, in order to generate random numbers.

The DREAM program was originally developed by Guannan Zhang, of Oak Ridge National Laboratory (ORNL); it has been incorporated into the DAKOTA package of Sandia National Laboratory, and forms part of the ORNL package known as TASMANIAN.

Web Link:

A version of the DREAM library is available in http://tasmanian.ornl.gov, the TASMANIAN library, available from Oak Ridge National Laboratory.

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Languages:

DREAM is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.

Related Data and Programs:

PDFLIB, a MATlAB library which evaluates Probability Density Functions (PDF's) and produces random samples from them, including beta, binomial, chi, exponential, gamma, inverse chi, inverse gamma, multinomial, normal, scaled inverse chi, and uniform.

RNGLIB, a MATLAB library which implements a random number generator (RNG) with splitting facilities, allowing multiple independent streams to be computed, by L'Ecuyer and Cote.

Author:

Original FORTRAN90 version by Guannan Zhang; MATLAB version by John Burkardt.

Reference:

  1. Pierre LEcuyer, Serge Cote,
    Implementing a Random Number Package with Splitting Facilities,
    ACM Transactions on Mathematical Software,
    Volume 17, Number 1, March 1991, pages 98-111.
  2. Jasper Vrugt, CJF ter Braak, CGH Diks, Bruce Robinson, James Hyman, Dave Higdon,
    Accelerating Markov Chain Monte Carlo Simulation by Differential Evolution with Self-Adaptive Randomized Subspace Sampling,
    International Journal of Nonlinear Sciences and Numerical Simulation,
    Volume 10, Number 3, March 2009, pages 271-288.

Examples and Tests:

PROBLEM0 is a small sample problem, in 10 dimensions, with a density that is the maximum of two gaussians centered at (-5,-5,...,-5) and (5,5,...,5).

PROBLEM1 is based on the first example in the Vrugt reference. The Vrugt version involves 100 variables, with a multidimensional normal distribution with specified mean vector and covariance matrix. So far, I have simply set up the user routines, with just 5 variables, and created a small stand-alone main program to test it.

PROBLEM2 is based on the second example in the Vrugt reference. The Vrugt version involves 10 variables, with a "twisted" Gaussian density function.

List of Routines:

You can go up one level to the MATLAB source codes.


Last revised on 26 January 2018.