Control.Monad.Bayes.Inference.PMMH

Description

Particle Marginal Metropolis-Hastings (PMMH) sampling.

Christophe Andrieu, Arnaud Doucet, and Roman Holenstein. 2010. Particle Markov chain Monte Carlo Methods. Journal of the Royal Statistical Society 72 (2010), 269-342. http://www.stats.ox.ac.uk/~doucet/andrieu_doucet_holenstein_PMCMC.pdf

Synopsis

pmmh :: MonadInfer m => Int -> Int -> Int -> Traced m b -> (b -> Sequential (Population m) a) -> m [[(a, Log Double)]]

Documentation

Arguments

:: MonadInfer m
=> Int	number of Metropolis-Hastings steps
-> Int	number of time steps
-> Int	number of particles
-> Traced m b	model parameters prior
-> (b -> Sequential (Population m) a)	model
-> m [[(a, Log Double)]]

Particle Marginal Metropolis-Hastings sampling.