Control.Monad.Bayes.Inference.RMSMC

Description

Resample-move Sequential Monte Carlo (RM-SMC) sampling.

Walter Gilks and Carlo Berzuini. 2001. Following a moving target - Monte Carlo inference for dynamic Bayesian models. Journal of the Royal Statistical Society 63 (2001), 127-146. http://www.mathcs.emory.edu/~whalen/Papers/BNs/MonteCarlo-DBNs.pdf

Synopsis

Documentation

Arguments

:: forall (m :: Type -> Type) a. MonadDistribution m
=> MCMCConfig
-> SMCConfig m
-> SequentialT (TracedT (PopulationT m)) a	model
-> PopulationT m a

Resample-move Sequential Monte Carlo.

Arguments

:: forall (m :: Type -> Type) a. MonadDistribution m
=> MCMCConfig
-> SMCConfig m
-> SequentialT (TracedT (PopulationT m)) a	model
-> PopulationT m a

A variant of resample-move Sequential Monte Carlo where only random variables since last resampling are considered for rejuvenation.

Arguments

:: forall (m :: Type -> Type) a. MonadDistribution m
=> MCMCConfig
-> SMCConfig m
-> SequentialT (TracedT (PopulationT m)) a	model
-> PopulationT m a

Resample-move Sequential Monte Carlo with a more efficient tracing representation.