Copyright	(c) Adam Scibior 2015-2020
License	MIT
Maintainer	leonhard.markert@tweag.io
Stability	experimental
Portability	GHC
Safe Haskell	None
Language	Haskell2010

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

smc2 :: MonadSample m => Int -> Int -> Int -> Int -> S (T (P m)) b -> (b -> S (P (SMC2 m)) a) -> P m [(a, Log Double)]

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.