Control.Monad.Bayes.Inference.RMSMC

Resample-move Sequential Monte Carlo (RM-SMC) sampling.

Walter Gilks and Carlo Berzuini. 2001. Following a moving target - Monte Carlo inference for dynamic Bayesian models. Journal of the Royal Statistical Society 63 (2001), 127-146. http://www.mathcs.emory.edu/~whalen/Papers/BNs/MonteCarlo-DBNs.pdf

Documentation

rmsmc

Arguments

:: MonadDistribution m

=> MCMCConfig

-> SMCConfig m

-> SequentialT (TracedT (PopulationT m)) a

model

-> PopulationT m a

Resample-move Sequential Monte Carlo.

rmsmcDynamic

Arguments

:: MonadDistribution m

=> MCMCConfig

-> SMCConfig m

-> SequentialT (TracedT (PopulationT m)) a

model

-> PopulationT m a

A variant of resample-move Sequential Monte Carlo where only random variables since last resampling are considered for rejuvenation.

rmsmcBasic

Arguments

:: MonadDistribution m

=> MCMCConfig

-> SMCConfig m

-> SequentialT (TracedT (PopulationT m)) a

model

-> PopulationT m a

Resample-move Sequential Monte Carlo with a more efficient tracing representation.