Adaptive rejection sampling in F#
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README.md

Derivative-free adaptive rejection sampling

Adaptive rejection sampling in F#

Adaptive rejection sampling (derivative-free). Based on matlab implementation from PMTK3 library.

Compared to the original implementation in matlab, this version computes probabilities in log space which avoids numerical problems.

Parameters

  • func - Function which computes logarithm of a likelihood function
  • a, b - Starting points, a < b.
  • domain - Tuple of func boundaries. If the left boundary is -infinity, derivative of f at a must be positive. If the right boundary is infinity, derivative of f at b must be negative.
  • nSamples - Total number of samples that the sampler should return.

References

  • Gilks W. 1992. Derivative-free adaptive rejection sampling for Gibbs sampling. In: Bernardo J.M., Berger J.O., Dawid A.P., and Smith A.F.M. (Eds.), Bayesian Statistics 4. Oxford University Press, xford, pp. 641–665.
  • Gilks W.R. and Wild P. 1992. Adaptive rejection sampling for Gibbs sampling. Applied Statistics 41: 337–348.