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scheidan / adaptMCMC

R package that provides an implementation of the generic adaptive Monte Carlo Markov chain sampler proposed by Vihola (2011).
GNU General Public License v2.0
9 stars 5 forks source link

use Cholesky update and downdate? #4

Closed scheidan closed 2 years ago

scheidan commented 6 years ago

See https://github.com/helske/ramcmc

ianmtaylor1 commented 3 years ago

I think I can implement this. Could I fork and give it a try?

scheidan commented 3 years ago

Hi Ian, Yes, that would be great if we could do some benchmarking! Best make a fork and then a PR.

My code is pretty old and I never optimized it a lot for performance. So it is quite likely that would find some other improvements as well.

ianmtaylor1 commented 3 years ago

7

Great! Please take a look at my pull request when you get the chance, and let me know if you have any questions.