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update MixDiagonalPreconditioner docstring #192

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Dec 12, 2023
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update MixDiagonalPreconditioner docstring #192

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update MixDiagonalPreconditioner docstring
miguelbiron Dec 11, 2023
c116851
lowercase automala avoids circularity issues
miguelbiron Dec 11, 2023
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10 changes: 6 additions & 4 deletions src/explorers/Preconditioner.jl
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Expand Up @@ -27,11 +27,13 @@ $SIGNATURES
Similar to [`DiagonalPreconditioner`](@ref) but the actual preconditioner used
at each iteration is a random mixture of the identity and the adapted diagonal
matrix. This helps with targets featuring distantly separated modes, which induces
average standard deviations that are much higher than the ones within each mode.
Suggested by [Max Hird](https://maxhhird.github.io/) (personal communication).
Furthermore, we use a zero-one-inflated Uniform(0,1) distribution for the mixing
average standard deviations that are much higher than the ones within each mode.
Even in the family of Gaussian targets, [Hird & Livingstone (2023)](https://arxiv.org/abs/2312.04898)
identify cases where a fixed diagonal preconditioner performs worse than using
no preconditioner at all.
We use a zero-one-inflated Uniform(0,1) distribution for the mixing
proportion in order to make the preconditioner robust to extreme mismatch of
scales (see the automala paper for more details).
scales (see [the automala paper](https://arxiv.org/abs/2310.16782) for more details).

$FIELDS
"""
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