The classic Metropolis algorithm. Wander around parameter space according to a simple spherical Gaussian distribution.
Exports a mcmc function that prints a trace to stdout, a chain function for
collecting results in memory, and a metropolis transition operator that can
be used more generally.
See the test directory for example usage.
import Numeric.MCMC.Metropolis
rosenbrock :: [Double] -> Double
rosenbrock [x0, x1] = negate (5 *(x1 - x0 ^ 2) ^ 2 + 0.05 * (1 - x0) ^ 2)
main :: IO ()
main = withSystemRandom . asGenIO $ mcmc 10000 1 [0, 0] rosenbrock
mighty-metropolis is a member of the declarative suite of libraries, containing a bunch of MCMC algorithms that play nicely together.