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The classic Metropolis sampling algorithm.
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README.md

mighty-metropolis

Build Status Hackage Version MIT License

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

trace

mighty-metropolis is a member of the declarative suite of libraries, containing a bunch of MCMC algorithms that play nicely together.

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