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Add IF2 algorithm #133
Add IF2 algorithm #133
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Use current dust
As for pmcmc and smc2
Codecov Report
@@ Coverage Diff @@
## master #133 +/- ##
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Coverage 100.00% 100.00%
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Files 21 24 +3
Lines 2140 2291 +151
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+ Hits 2140 2291 +151
Continue to review full report at Codecov.
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Looks good so far - as you say it's not a massive piece of implementation. Or perhaps we're both broken by the cuda stuff.
In addition to the comments, could you add a vignette, no matter how brief, showing using this on either the sir or volatility model?
R/if2.R
Outdated
##' # each final parameter estimate | ||
##' n_particles <- 100 | ||
##' ll_samples <- filter$sample(n_particles) | ||
if2 <- R6::R6Class( |
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This is quite a different interface to that presented by pmcmc and I'd like to harmonise if possible. There, we have the functional interface where calling the function pmcmc
returns a plain list of class mcstate_pmcmc
which has pars, likelihoods etc. On the way it uses a semi-exported object pmcmc_state but that's an implementation detail.
So here, the if2
function should use the object much as you have it, but return all the requested information as a list. Unless there's some reason that's not possible, in which case please let me know.
See:
TODO:
Fixes #123