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Add reversible jump MCMC

Open rlouf opened this issue 4 years ago • 1 comments

Reversible Jump MCMC algorithms are a generalization of the Rosenbluth-Metropolis-Hastings algorithm for when the target density does not have a fixed number of dimensions. Since aesara can handle variables of varying dimensions we should be able to implement such algorithms in aehmc.

As a motivating example we could use the coal-mining disaster datasets and let the number of change points be a Poisson-distributed as in the reference below.

References

https://www2.stat.duke.edu/~scs/Courses/Stat376/Papers/TransdimMCMC/GreenRevJump.1995.pdf

rlouf avatar Sep 29 '21 09:09 rlouf

I thought this was a PR. I was going to say you're on fire this week

zoj613 avatar Apr 09 '22 09:04 zoj613