Add random walk metropolis Hastings

rlouf / mcx

Express & compile probabilistic programs for performant inference on CPU & GPU. Powered by JAX.

https://rlouf.github.io/mcx

Apache License 2.0

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Add random walk metropolis Hastings #52

Closed rlouf closed 3 years ago

rlouf commented 3 years ago

[x] add normal proposal
[ ] add warmup for the proposal
[x] add random walk metropolis evaluator
[x] add base class for evaluators
[ ] allow to slice the Trace: `posterior[1000:]

rlouf commented 3 years ago

The evaluator is now implemented, and sampling seems to be functioning as expected. Parameter (scale) adaptation is left. Since we need to drop many early samples with Metropolis, it would be nice to be able to slice the trace trace[1_000:]. Will be implemented in this PR.

rlouf commented 3 years ago

Closing for now; this should be implemented in BlackJAX.