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Any plans on implementing DREAM (Differential Evolution based particle inference)?

Open robertfeldt opened this issue 4 years ago • 0 comments

Has there been any discussion on implementing any of the DREAM and its variant MCMC algorithms as samplers for Turing? Specifically this paper includes simple Matlab implementations of DREAM and looks relatively simple to implement for Turing:

https://escholarship.org/content/qt6j55p5kh/qt6j55p5kh.pdf J. Vrugt, "Markov chain Monte Carlo simulation using the DREAM software package: Theory, concepts, and MATLAB implementation"

I'm not sure if DREAM is considered state-of-the-art any longer but I remember having good results with it a few years back. Would this maybe fit best in the particle-based package or would a better "home" be Turing.jl proper? In case I get some time over this summer I might give it a go.

robertfeldt avatar Jun 15 '21 14:06 robertfeldt