Look into Stan's math library

probcomp / Venturecxx

Primary implementation of the Venture probabilistic programming system

http://probcomp.csail.mit.edu/venture/

GNU General Public License v3.0

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Look into Stan's math library #82

Open axch opened 9 years ago

axch commented 9 years ago

Bob Carpenter was very proud of it, and it is released as a standalone package.

Possible uses:

expand (or replace (parts of?)) Puma's SP library
get rid of GSL (if we are concerned about the latter's license terms)
numerics are likely to be better than ours, possibly better than GSL
if not directly usable, could at least use as a cross-check and/or as inspiration for solving structural or numerical problems

axch commented 8 years ago

Apparently it also has derivatives implemented, and might possibly even come with an automatic differentiation system that we could use to get gradient methods to work in Puma

axch commented 8 years ago

Paper: http://arxiv.org/abs/1509.07164