search

aesara-devs / aemcmc

AeMCMC is a Python library that automates the construction of samplers for Aesara graphs representing statistical models.
https://aemcmc.readthedocs.io/en/latest/
MIT License
39 stars 11 forks source link

Add reversible jump MCMC #27

Open rlouf opened 2 years ago

rlouf commented 2 years ago

Reversible Jump MCMC algorithms are a generalization of the Rosenbluth-Metropolis-Hastings algorithm for when the target density does not have a fixed number of dimensions. Since aesara can handle variables of varying dimensions we should be able to implement such algorithms in aehmc.

As a motivating example we could use the coal-mining disaster datasets and let the number of change points be a Poisson-distributed as in the reference below.

References

https://www2.stat.duke.edu/~scs/Courses/Stat376/Papers/TransdimMCMC/GreenRevJump.1995.pdf

zoj613 commented 2 years ago

I thought this was a PR. I was going to say you're on fire this week