From: Will M Farr <w-farr@northwestern.edu>
To: caml-list@inria.fr
Cc: Ilya Mandel <ilyamandel@chgk.info>
Subject: [Caml-list] ANN: mcmc-ocaml: A Library for Markov-Chain Monte Carlo Computations in OCaml
Date: Wed, 06 Apr 2011 20:43:09 -0400 [thread overview]
Message-ID: <4D9D089D.1000008@northwestern.edu> (raw)
Hello all,
I'd like to announce mcmc-ocaml, a library for Markov-chain Monte Carlo
computations in OCaml. You can obtain the library from github at
https://github.com/farr/mcmc-ocaml
It is released under the GPL, version 3.0. For more information on
MCMC, see http://en.wikipedia.org/wiki/Markov_chain_Monte_Carlo .
Some highlights of the mcmc-ocaml library:
* mcmc-ocaml provides code to perform MCMC analysis in arbitrary
parameter spaces. Parameter values need not be numerical, but can
instead be any OCaml value: algebraic data types, classes, etc.
* mcmc-ocaml provides useful higher-order functions to combine multiple
jump proposals with arbitrary weights into a single proposal for
Metropolis-Hastings sampling, making it easy to have many special jump
proposals tuned to your specific parameter space structure.
* mcmc-ocaml provides code to read and write MCMC samples from/to files;
this can be combined with the library of statistical functions or
user-written code to perform post-processing of MCMC output either in a
stand-alone program or from the REPL.
* mcmc-ocaml provides many utility functions for performing model
selection via Reversible-Jump MCMC, either between two models or among a
larger set of models. This includes an implementation of the method
described in http://arxiv.org/abs/1104.0984 for facilitating inter-model
jumps by interpolating posteriors using single model parameter samples.
* mcmc-ocaml provides several different algorithms for computing the
Bayesian evidence for a model using MCMC samples from its posterior
distribution, including the "direct integration" algorithms described in
http://arxiv.org/abs/0911.1777 .
* mcmc-ocaml comes with complete ocamldoc documentation for its
functions and types.
mcmc-ocaml is extensively tested, and has been used to constrain the
mass distribution of stellar-mass black holes in our galaxy
(http://arxiv.org/abs/1011.1459 ---including the 10-way RJMCMC
comparisons among the models in that paper), among other research
projects. Please direct bug reports, feature requests, and comments to
this address (w-farr@northwestern.edu).
Thanks,
Will
reply other threads:[~2011-04-07 0:43 UTC|newest]
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