Open devmotion opened 4 years ago
Thanks a lot for these remarks!
Anglican has a nice list here: https://www.robots.ox.ac.uk/~fwood/anglican/literature/index.html
IPMCMC seems particularly nice: https://www.robots.ox.ac.uk/~fwood/anglican/assets/pdf/rainforth-icml-2016.pdf
IPMCMC is implemented in https://www.github.com/TuringLang/AdvancedPS.jl/tree/master/src%2Fcontrib%2FAdvancedSMCExtensions.jl, but currently broken. It just has to be updated to the new interface which hopefully is quite straightforward.
Another interesting algorithm -- perhaps we could try integrating ParetoSmooth.jl, and letting users replace the importance-sampling step with PSIS? I've never seen it done before, but it definitely seems like an interesting/worthwhile experiment.
I had a short conversation with Fredrik Lindsten about SMC algorithms that might be interesting to implement. Apart from PGAS, his suggestions were: