Haskell library for monadic composition of probabilistic functions and sampling.
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README.md

stochastic

Version 0.1.0

Haskell library for monadic composition of probabilistic functions and construction of stochastic processes.

Resulting computations can then be run to generate data.

Blog post has some along with examples.

TODO

  • See where performance can be improved.
  • Check if compiling with -O2 really gives a performance improvement.
  • Upload charts with profiled tests and memory usage.
  • Add more usage information to README.
  • Implement learning for generative models.
  • Extend StochProcess to allow for ARCH models.
  • Separate StochProcess and Sample modules.
  • See if building on top of mwc-random is better than carrying around StdGens.
  • Reduce composed probability distributions that have closed-form solutions before sampling.