Control.Monad.Bayes.Inference.SMC2

Sequential Monte Carlo squared (SMC²) sampling.

Nicolas Chopin, Pierre E. Jacob, and Omiros Papaspiliopoulos. 2013. SMC²: an efficient algorithm for sequential analysis of state space models. Journal of the Royal Statistical Society Series B: Statistical Methodology 75 (2013), 397-426. Issue 3. https://doi.org/10.1111/j.1467-9868.2012.01046.x

Documentation

smc2

Arguments

:: MonadDistribution m

=> Int

number of time steps

-> Int

number of inner particles

-> Int

number of outer particles

-> Int

number of MH transitions

-> SequentialT (TracedT (PopulationT m)) b

model parameters

-> (b -> SequentialT (PopulationT (SMC2 m)) a)

model

-> PopulationT m [(a, Log Double)]

Sequential Monte Carlo squared.

data SMC2 m a

Helper monad transformer for preprocessing the model for smc2.

Instances

MonadTrans SMC2

Defined in Control.Monad.Bayes.Inference.SMC2

Methods

lift :: Monad m => m a -> SMC2 m a

Monad m => Applicative (SMC2 m)

Defined in Control.Monad.Bayes.Inference.SMC2

Methods

pure :: a -> SMC2 m a

(<*>) :: SMC2 m (a -> b) -> SMC2 m a -> SMC2 m b

liftA2 :: (a -> b -> c) -> SMC2 m a -> SMC2 m b -> SMC2 m c

(*>) :: SMC2 m a -> SMC2 m b -> SMC2 m b

(<*) :: SMC2 m a -> SMC2 m b -> SMC2 m a

Monad m => Functor (SMC2 m)

Defined in Control.Monad.Bayes.Inference.SMC2

Methods

fmap :: (a -> b) -> SMC2 m a -> SMC2 m b

(<$) :: a -> SMC2 m b -> SMC2 m a

Monad m => Monad (SMC2 m)

Defined in Control.Monad.Bayes.Inference.SMC2

Methods

(>>=) :: SMC2 m a -> (a -> SMC2 m b) -> SMC2 m b

(>>) :: SMC2 m a -> SMC2 m b -> SMC2 m b

return :: a -> SMC2 m a

MonadDistribution m => MonadDistribution (SMC2 m)

Defined in Control.Monad.Bayes.Inference.SMC2

Methods

random :: SMC2 m Double

uniform :: Double -> Double -> SMC2 m Double

normal :: Double -> Double -> SMC2 m Double

gamma :: Double -> Double -> SMC2 m Double

beta :: Double -> Double -> SMC2 m Double

bernoulli :: Double -> SMC2 m Bool

categorical :: Vector v Double => v Double -> SMC2 m Int

logCategorical :: (Vector v (Log Double), Vector v Double) => v (Log Double) -> SMC2 m Int

uniformD :: [a] -> SMC2 m a

geometric :: Double -> SMC2 m Int

poisson :: Double -> SMC2 m Int

dirichlet :: Vector v Double => v Double -> SMC2 m (v Double)

Monad m => MonadFactor (SMC2 m)

Defined in Control.Monad.Bayes.Inference.SMC2

Methods

score :: Log Double -> SMC2 m ()

MonadDistribution m => MonadMeasure (SMC2 m)

Defined in Control.Monad.Bayes.Inference.SMC2