Component-wise MCMC for subset simulation

FriesischScott / UncertaintyQuantification.jl

Uncertainty Quantification in Julia

MIT License

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Component-wise MCMC for subset simulation #166

Closed AnderGray closed 4 months ago

AnderGray commented 4 months ago

This PR changes the MCMC sampler in SubSetSimulation from usual Metropolis-Hastings, to component-wise MH. Dimensions are accepted independently, giving a better acceptance rate in higher dimensions.

closes #165

AnderGray commented 4 months ago

Thanks for taking a look, everything should be addressed