Fix the inverse laplace transform sampler algorithm

theogf / AugmentedGaussianProcesses.jl

Gaussian Process package based on data augmentation, sparsity and natural gradients

https://theogf.github.io/AugmentedGaussianProcesses.jl/dev/

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Fix the inverse laplace transform sampler algorithm #36

Closed theogf closed 4 years ago

theogf commented 4 years ago

Reimplement Abate, J., Choudhury, G. L., and Whitt, W. (2000). An introduction to numerical transform inversion and its application to probability models. In Computational probability, pages 257–323. Springer

theogf commented 4 years ago

Corrected with https://github.com/theogf/AugmentedGaussianProcesses.jl/commit/b7c6396175e3aec4390348f8e1e60a1005ae7f47