The flat-mcmc package

[Tags:library, mit, program, test]

flat-mcmc is a Haskell library for painless, efficient, general-purpose sampling from continuous distributions.

flat-mcmc uses an ensemble sampler that is invariant to affine transformations of space. It wanders a target probability distribution's parameter space as if it had been flattened or unstretched in some sense, allowing many particles to explore it locally and in parallel.

In general this sampler is useful when you want decent performance without dealing with any tuning parameters or local proposal distributions.

flat-mcmc exports an mcmc function that prints a trace to stdout, as well as a flat transition operator that can be used more generally.

 import Numeric.MCMC.Flat
 import qualified Data.Vector.Unboxed as U (unsafeIndex)

 rosenbrock :: Particle -> Double
 rosenbrock xs = negate (5  * (x1 - x0 ^ 2) ^ 2 + 0.05 * (1 - x0) ^ 2) where
   x0 = U.unsafeIndex xs 0
   x1 = U.unsafeIndex xs 1

 origin :: Ensemble
 origin = ensemble [
     particle [negate 1.0, negate 1.0]
   , particle [negate 1.0, 1.0]
   , particle [1.0, negate 1.0]
   , particle [1.0, 1.0]
   ]

 main :: IO ()
 main = withSystemRandom . asGenIO $ mcmc 12500 origin rosenbrock

Properties

Versions 0.1.0.0, 1.0.0, 1.0.1, 1.1.1, 1.2.1, 1.2.2, 1.3.0, 1.4.0, 1.4.1
Dependencies base (>4 && <6), flat-mcmc, formatting (==6.*), mcmc-types (>=1.0.1 && <2), monad-par (>=0.3.4.7 && <1), monad-par-extras (>=0.3.3 && <1), mwc-probability (>=1.0.1 && <2), pipes (==4.*), primitive (>=0.6 && <1), text (>=1.2 && <2), transformers (>=0.2 && <0.6), vector (>=0.10 && <1) [details]
License MIT
Author Jared Tobin
Maintainer jared@jtobin.ca
Stability Unknown
Category Math
Home page https://github.com/jtobin/flat-mcmc
Source repository head: git clone http://github.com/jtobin/flat-mcmc.git
Uploaded Thu Dec 1 21:48:32 UTC 2016 by JaredTobin
Distributions LTSHaskell:1.0.1, NixOS:1.4.0, Stackage:1.4.1, Tumbleweed:1.0.1
Downloads 488 total (96 in the last 30 days)
Votes
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Status Docs available [build log]
Last success reported on 2016-12-02 [all 1 reports]

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