ghc-hasty-hamiltonian
Speedy traversal through parameter space
Gradient-based traversal through parameter space. This implementation of HMC algorithm uses 'lens' as a means to operate over generic indexed traversable functors, so you can expect it to work if your target function takes a list, vector, map, sequence, etc. as its argument. If you don't want to calculate your gradients by hand you can use the handy<https://hackage.haskell.org/package/ad ad>library for automatic differentiation. Exports a 'mcmc' function that prints a trace to stdout, a 'chain' function for collecting results in memory, and a 'hamiltonian' transition operator that can be used more generally.>import Numeric.AD (grad)>import Numeric.MCMC.Hamiltonian>>target :: RealFloat a =>[a] ->a>target [x0, x1] = negate ((x0 + 2 * x1 - 7) ^ 2 + (2 * x0 + x1 - 5) ^ 2)>>gTarget :: [Double] ->[Double]>gTarget = grad target>>booth :: Target [Double]>booth = Target target (Just gTarget)>>main :: IO ()>main = withSystemRandom . asGenIO $ mcmc 10000 0.05 20 [0, 0] booth.
MIT