The flat-mcmc package

[ Tags: library, math, mit ] [ Propose Tags ]

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, 1.4.2, 1.5.0
Dependencies base (>4 && <6), 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 && <3), 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
Category Math
Home page https://github.com/jtobin/flat-mcmc
Source repo head: git clone http://github.com/jtobin/flat-mcmc.git
Uploaded Mon Dec 19 19:06:53 UTC 2016 by JaredTobin
Updated Fri Feb 2 04:19:59 UTC 2018 by JaredTobin to revision 1   [What is this?]
Distributions LTSHaskell:1.5.0, NixOS:1.5.0, Stackage:1.5.0, openSUSE:1.5.0
Downloads 2277 total (69 in the last 30 days)
Rating (no votes yet) [estimated by rule of succession]
Your Rating
  • λ
  • λ
  • λ
Status Docs available [build log]
Last success reported on 2016-12-19 [all 1 reports]
Hackage Matrix CI

Modules

[Index]

Downloads

Note: This package has metadata revisions in the cabal description newer than included in the tarball. To unpack the package including the revisions, use 'cabal get'.

Maintainer's Corner

For package maintainers and hackage trustees