OCaml Markov Chain Monte Carlo
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bin Added ellipse drawing program; seems to find ellipses OK. Sep 5, 2011
notes/thermoi
test Genericized nested sampling to take parameters of type 'a. Oct 24, 2011
.gitignore Ignore .mcmc files; remove bin/group-meeting/*.mcmc from git repo. Jul 1, 2010
LICENSE Moved to GPL 3.0, added README Mar 17, 2011
README README updates. Jul 29, 2011
_tags Added ellipse drawing program; seems to find ellipses OK. Sep 5, 2011
all.itarget Added differential evolution proposal. Jul 28, 2011
earray.ml Moved to GPL 3.0, added README Mar 17, 2011
earray.mli
ellipse.ml Initial implementation of ellipse tree. Sep 5, 2011
evidence.ml Moved to GPL 3.0, added README Mar 17, 2011
interpolate_pdf.ml
kd_tree.ml Moved to GPL 3.0, added README Mar 17, 2011
lex_floats.mll
mcmc.ml Changed to Gaussian width in DE proposal, with standard sigma. Nov 1, 2011
mcmc.mli
mcmc.mllib Initial implementation of ellipse tree. Sep 5, 2011
mcmc.odocl Re-named library to mcmc from denest. Feb 25, 2010
myocamlbuild.ml
nested.ml
nested.mli
parse_floats.mly Added read/write capability for MCMC samples. May 4, 2010
read_write.ml Genericized nested sampling to take parameters of type 'a. Oct 24, 2011
read_write.mli Genericized nested sampling to take parameters of type 'a. Oct 24, 2011
stats.ml Special case in log_sum_logs to handle 0.0 + 0.0 Aug 12, 2011
stats.mli Added log_sum_logs to stats.ml Aug 8, 2011
util.ml Now compute point weights in nested sampling routine. Aug 4, 2011

README

SUMMARY

  This library implements a general MCMC sampler and associated
  libraries, including

  * The methods described in Farr and Mandel (2011)
    (http://arxiv.org/abs/1104.0984 ) for interpolating jump proposals
    in a reversible jump MCMC.

  * The evidence calculation methods from Weinberg's paper on
    Computing the Bayesian Factor from a Markov chain Monte Carlo
    Simulation of the Posterior Distribution
    (http://arxiv.org/abs/0911.1777 ).

  Also in the library is a simple nested-sampling implementation (see
  Skilling, J. Nested Sampling.  AIP Conference Proceedings, vol. 735,
  pp. 395--405, 2004.). 

BUILDING 
 
 * To build the library, use ocamlbuild:

   ocamlbuild mcmc.cma mcmc.cmxa

 * To build the code documentation:

   ocamlbuild mcmc.docdir/index.html

 * To build all of the above at once, use 

   ocamlbuild all.otarget

 * To build the test suite, you will require oUnit
   (http://ounit.forge.ocamlcore.org/ ).  Edit the myocamlbuild.ml
   file to point to your oUnit installation, and then issue

   ocamlbuild run_tests.{native,byte}

   If you encounter compilation errors, then you may have to modify
   the definition of the cmp_float function to:

   (* Compare floats up to a given relative error *)
   let cmp_float ?(epsabs = eps) ?(epsrel = eps) a b =
     let dx = abs_float (a -. b) and 
         avg = 0.5*.((abs_float a) +. (abs_float b)) in 
     dx <= epsabs +. epsrel*.avg

 * Various useful example programs can be found in the bin/
   subdirectory; you can build them with

   ocamlbuild <program_name>.{native,byte}

 * To clean the code, issue the command 

   ocamlbuild -clean

LICENSE

  This library is released under the GPL version 3; see the LICENSE
  file for more information.