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.SMC2

Description

Sequential Monte Carlo squared (SMC²) sampling.

Nicolas Chopin, Pierre E. Jacob, and Omiros Papaspiliopoulos. 2013. SMC²: an efficient algorithm for sequential analysis of state space models. Journal of the Royal Statistical Society Series B: Statistical Methodology 75 (2013), 397-426. Issue 3. https://doi.org/10.1111/j.1467-9868.2012.01046.x

Synopsis

Documentation

smc2 Source #

Arguments

:: MonadSample m 
=> Int

number of time steps

-> Int

number of inner particles

-> Int

number of outer particles

-> Int

number of MH transitions

-> S (T (P m)) b

model parameters

-> (b -> S (P (SMC2 m)) a)

model

-> P m [(a, Log Double)] 

Sequential Monte Carlo squared.