Bayesian_statistics/postDensityIntervals has no HPD optimisation algorithm

probml / pmtk3

Probabilistic Modeling Toolkit for Matlab/Octave.

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Bayesian_statistics/postDensityIntervals has no HPD optimisation algorithm #116

Open aoboturov opened 8 years ago

aoboturov commented 8 years ago

I was looking at postDensityIntervals, there seems to be no algorithm for finding HPD for the case of a disjoint interval. HPD for a continuous interval seems to be already a complex numerical issue, because it requires one-dimensional optimisation. For the disjoint interval case it seems to be even harder. Do you know any solutions or workarounds?