AffineInvariantMCMC.jl

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It would be useful to add an acceptance rate to the sampler to see whether the a parameter should be adjusted.

If the acceptance rate is too small, I would adjust the a parameter closer to unity automatically via:

a_{new} = 1 + (a_{old} -1)*(acc_{measured}/acc_{target})

where acc_{measured} is the measured value of acceptance (over some number of steps), while acc_{target} is a target acceptance rate (usually 25%). Then, once the target acceptance rate is reached, the value of a stays constant.