pymc-devs/pymc — pull request #98 by isofer (2012-03-07 21:43:00+00:00)
Title: ENH: added adaptive burning phase to MCMC.sample

I added the option to continue the burn-in phase until the step methods do not need additional tuning.
This would allow users to run the sampler without having to check if more tuning is needed.

by running model.sample(15000, burn=10000, burn_till_tuned=True)
the model will have a burn phase of at least 10000 samples, and it will continue to burn if at least one of the step methods need to be tuned. then the model will sample and tally another 5000 samples.

whether the step methods need tuning is determined by the tuning interval and a new argument named 'stop_tuning_after'. I don't like that name, if you can think of a better one please change it.

The rest can be found in the documentation.