Switch branches/tags
Nothing to show
Clone or download
Fetching latest commit…
Cannot retrieve the latest commit at this time.
Permalink
Failed to load latest commit information.
lib/Numeric
test
.gitignore
.travis.yml
CHANGELOG
LICENSE
README.md
Setup.hs
declarative.cabal
stack-travis.yaml
stack.yaml

README.md

declarative

Build Status Hackage Version MIT License

DIY Markov Chains.

What is this

This package presents a simple combinator language for Markov transition operators that are useful in MCMC.

Any transition operators sharing the same stationary distribution and obeying the Markov and reversibility properties can be combined in a couple of ways, such that the resulting operator preserves the stationary distribution and desirable properties amenable for MCMC.

We can deterministically concatenate operators end-to-end, or sample from a collection of them according to some probability distribution. See Geyer, 2005 for details.

The result is a simple grammar for building composite, property-preserving transition operators from existing ones:

transition ::= primitive <transition>
             | concatT transition transition
             | sampleT transition transition

This library also re-exports a number of production-quality transition operators from the mighty-metropolis, speedy-slice, and hasty-hamiltonian libraries.

Markov chains can then be run over arbitrary Targets using whatever transition operator is desired.

import Numeric.MCMC
import Data.Sampling.Types

target :: [Double] -> Double
target [x0, x1] = negate (5  *(x1 - x0 ^ 2) ^ 2 + 0.05 * (1 - x0) ^ 2)

rosenbrock :: Target [Double]
rosenbrock = Target target Nothing

transition :: Transition IO (Chain [Double] b)
transition =
  concatT
    (sampleT (metropolis 0.5) (metropolis 1.0))
    (sampleT (slice 2.0) (slice 3.0))

main :: IO ()
main = withSystemRandom . asGenIO $ mcmc 10000 [0, 0] transition rosenbrock

trace

Installation

Installing is best done via stack, which will pull down everything you might need (including GHC).

$ stack install declarative

If you want to grab the test suite/examples, grab the repo and build via

git clone git@github.com:jtobin/declarative.git
cd declarative
stack build

You can then run the test suite via stack test.

Documentation & Examples

Check out the haddock-generated docs on Hackage.

You can also peruse the introductory announce post.

Etc.

PRs and issues welcome.