alan-turing-institute / PDSampler.jl

Piecewise Deterministic Sampler library (Bouncy particle sampler, Zig Zag sampler, ...)
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add quadrature for path and alleventlist #1

Closed tlienart closed 7 years ago

tlienart commented 7 years ago

[migrated from private repo]

Note that this is all well and easy for reduced dimensionality, as usual.

tlienart commented 7 years ago

Working on this with the global BPS. The test should be that with the samplepath function and sufficiently many sampling points, the quadrature and the MC estimator should be approximately equal.

tlienart commented 7 years ago

this is now done in e3f3727 and tested in https://github.com/alan-turing-institute/PDMP.jl/blob/master/test/path_test.jl#L17_L27

It follows the trivial extension of formula below to any polynomial

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