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Probabilistic Inference on Noisy Time Series
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Add differential evolution MCMC #149

Closed ben18785 closed 6 years ago

ben18785 commented 6 years ago

Basic: http://library.wur.nl/WebQuery/wurpubs/fulltext/26336

DREAM: https://escholarship.org/uc/item/6j55p5kh (Matlab implementation), first described: https://www.researchgate.net/profile/James_Hyman/publication/41035177_Accelerating_Markov_Chain_Monte_Carlo_Simulation_by_Differential_Evolution_with_Self-Adaptive_Randomized_Subspce_Sampling/links/09e4150c0a96b6d034000000.pdf

MichaelClerx commented 6 years ago

See #158

ben18785 commented 6 years ago

This paper explains premise behind differential evolution: https://msp.org/camcos/2010/5-1/camcos-v5-n1-p04-p.pdf

ben18785 commented 6 years ago

This is also good: http://www.jstor.org/stable/pdf/10.1086/670067.pdf