[Octave-bug-tracker] [bug #59924] mhsample implementation

[anonymous]

URL:
  <https://savannah.gnu.org/bugs/?59924>

                 Summary: mhsample implementation
                 Project: GNU Octave
            Submitted by: None
            Submitted on: Fri 22 Jan 2021 05:42:20 AM UTC
                Category: Octave Forge Package
                Severity: 3 - Normal
                Priority: 5 - Normal
              Item Group: Feature Request
                  Status: None
             Assigned to: None
         Originator Name: 
        Originator Email: 
             Open/Closed: Open
                 Release: dev
         Discussion Lock: Any
        Operating System: Any

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Details:

I have implemented Metropolis-Hastings sampling for the statistics package. I
followed the description given on the Matlab help page and implemented all
functionality as described excluding 'nchain' as I did not find the
description clear about how the results are output. I don't have Matlab to see
the output. I issue a warning stating it is not implemented.

I have included two demos that I used in addition to the Matlab examples to
test it is behaving as expected. I put significant effort into trying to make
it as fast as possible, however, it is not as fast as I would like it, but I
cannot see anywhere I can make further improvements. To try to improve the
speed further I implemented it in c++. I achieved a noticeable speed increase
but not as much as I hoped. The main slow point appears to be evaluating
user-supplied functions which I can't see how to vectorize because each point
depends on the previous point.

The timing between the Octave and the c++ Octave API implementation can be
uncommented to compare run times.



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File Attachments:


-------------------------------------------------------
Date: Fri 22 Jan 2021 05:42:20 AM UTC  Name: mhsample.m  Size: 4KiB   By: None

<http://savannah.gnu.org/bugs/download.php?file_id=50763>
-------------------------------------------------------
Date: Fri 22 Jan 2021 05:42:20 AM UTC  Name: mhsample_ccc.cc  Size: 2KiB   By:
None

<http://savannah.gnu.org/bugs/download.php?file_id=50764>

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