ghc-mighty-metropolis

The Metropolis algorithm

The classic Metropolis algorithm. Wander around parameter space according to a simple spherical Gaussian distribution. Exports a 'mcmc' function that prints a trace to stdout, a 'chain' function for collecting results in-memory, and a 'metropolis' transition operator that can be used more generally.>import Numeric.MCMC.Metropolis>>rosenbrock :: [Double] ->Double>rosenbrock [x0, x1] = negate (5 *(x1 - x0 ^ 2) ^ 2 + 0.05 * (1 - x0) ^ 2)>>main :: IO ()>main = withSystemRandom . asGenIO $ mcmc 10000 1 [0, 0] rosenbrock.

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