flat-mcmc is a Haskell library for painless, efficient, general-purpose
sampling from continuous distributions.
flat-mcmc uses an ensemble sampler that is invariant to affine
transformations of space. It wanders a target probability distribution's
parameter space as if it had been "flattened" or "unstretched" in some sense,
allowing many particles to explore it locally and in parallel.
In general this sampler is useful when you want decent performance without
dealing with any tuning parameters or local proposal distributions.
flat-mcmc exports an mcmc function that prints a trace to stdout, as well
as a flat transition operator that can be used more generally.
import Numeric.MCMC.Flat
import qualified Data.Vector.Unboxed as U (unsafeIndex)
rosenbrock :: Particle -> Double
rosenbrock xs = negate (5 * (x1 - x0 ^ 2) ^ 2 + 0.05 * (1 - x0) ^ 2) where
x0 = U.unsafeIndex xs 0
x1 = U.unsafeIndex xs 1
origin :: Ensemble
origin = ensemble [
particle [negate 1.0, negate 1.0]
, particle [negate 1.0, 1.0]
, particle [1.0, negate 1.0]
, particle [1.0, 1.0]
]
main :: IO ()
main = withSystemRandom . asGenIO $ mcmc 12500 origin rosenbrock
