Control Functionals

Version 1.3.0.0 (16,2 ko) par Chris Oates
Implementation of the control functional method for computing Bayesian posterior integrals
5.0
(3)
89 téléchargements
Mise à jour 15 mars 2017

Afficher la licence

This is a compact implementation of the "control functional" method for Monte Carlo integration proposed in Oates, Chopin and Girolami, Journal of the Royal Statistical Society, Series B, 2017. The basic idea is that gradient information on the posterior distribution in Bayesian statistics can be used to better estimate integrals with respect to the posterior, via Stein's method.

Citation pour cette source

Chris Oates (2024). Control Functionals (https://www.mathworks.com/matlabcentral/fileexchange/61755-control-functionals), MATLAB Central File Exchange. Extrait(e) le .

Compatibilité avec les versions de MATLAB
Créé avec R2016a
Compatible avec toutes les versions
Plateformes compatibles
Windows macOS Linux
Catégories
En savoir plus sur Random Number Generation dans Help Center et MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Version Publié le Notes de version
1.3.0.0

Fixed a typo in the pre-amble.
Now works in dimension d = 1,2,3 or 4.
1.2.0.0

Improved the example usage in the pre-amble so that it generalises to d = 2,3.
Fixed the numerical regulariser to match the method given in the paper. Thanks to Min Hyung Kang!
1.1.0.0

In version 1.0 the likelihood function was incorrect. The wrong covariance matrix was used. This is now fixed.
1.0.0.0

Renamed zip folder
Included description of the main function.