adaptive sampling implementation in julia

2
votes

I would like to implement an adaptive sampling algorithm in Julia, in n-dimensions, for plotting and numerical integration purposes. As a starting point I found:

https://mathematica.stackexchange.com/questions/216/adaptive-sampling-for-slow-to-compute-functions-in-2d

As I am quite new to Julia, any help would be much appreciated. First of all, is any of this functionality already implemented in existing libraries? I mean, anything I could use as a starting base?

PS: I plan to update this thread as I progress with the programming.

1
julia
I'm not sure that s.o. is the right venue for this kind of open-ended inquiry – it's not really a specific question. - StefanKarpinski

1 Answers

0
votes

The julia package Mamba has a few samplers implemented:

Adaptive Mixture Metropolis (AMM)
Adaptive Metropolis within Gibbs (AMWG)
Missing Values Sampler (MISS)
No-U-Turn Sampler (NUTS)
Shrinkage Slice (Slice)

See documentation for details:

http://mambajl.readthedocs.org/en/latest/index.html