monad-bayes-0.1.0.0: A library for probabilistic programming.

Copyright(c) Adam Scibior 2015-2020
LicenseMIT
Maintainerleonhard.markert@tweag.io
Stabilityexperimental
PortabilityGHC
Safe HaskellNone
LanguageHaskell2010

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

Documentation

pmmh Source #

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.