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TuringLang / EllipticalSliceSampling.jl

Julia implementation of elliptical slice sampling.
https://turinglang.org/EllipticalSliceSampling.jl/
MIT License
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julia-language markov-chain-monte-carlo mcmc slice-sampling turing

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EllipticalSliceSampling.jl

Julia implementation of elliptical slice sampling.

Stable Dev Build Status Codecov Coveralls Code Style: Blue

Overview

This package implements elliptical slice sampling in the Julia language, as described in Murray, Adams & MacKay (2010).

Elliptical slice sampling is a "Markov chain Monte Carlo algorithm for performing inference in models with multivariate Gaussian priors" (Murray, Adams & MacKay (2010)).

Please check the documentation for more details.

Poster at JuliaCon 2021

EllipticalSliceSampling.jl: MCMC with Gaussian priors

The slides are available as Pluto notebook.

References

Murray, I., Adams, R. & MacKay, D.. (2010). Elliptical slice sampling. Proceedings of Machine Learning Research, 9:541-548.