flat-mcmc: Painless general-purpose sampling.

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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

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Versions [RSS] 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, 1.5.1, 1.5.2
Dependencies base (>4 && <6), formatting (>=6 && <8), 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 && <5), primitive (>=0.6 && <1), text (>=1.2 && <2), transformers (>=0.2 && <0.6), vector (>=0.10 && <1) [details]
Tested with ghc ==8.6.5
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 by JaredTobin at 2020-10-11T01:37:26Z
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Reverse Dependencies 1 direct, 0 indirect [details]
Downloads 8587 total (33 in the last 30 days)
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Status Docs available [build log]
Last success reported on 2020-10-11 [all 1 reports]