PDMPFlux.jl パッケージ
自動微分により全自動化された連続時間 MCMC サンプラー
Julia
MCMC
2024-10-17
PDMPFlux.jl
PDMPFlux.jl is a Julia package that provides a fast and efficient implementation of Piecewise Deterministic Markov Process (PDMP) samplers, using a grid-based Poisson thinning approach proposed in (Andral and Kamatani, 2024).
By the means of the automatic differentiation engines, PDMPFlux.jl only requires dim and U, which is the negative log density of the target distribution (e.g., posterior). \[ U(x) = -\log p(x) + \text{const}. \]
YUIMA
R package for simulating and estimating SDEs.
References
Andral, C., and Kamatani, K. (2024). Automated techniques for efficient sampling of piecewise-deterministic markov processes.