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A broad collection of Monte Carlo algorithms implemented in Julia

Home Page: https://thargreaves.github.io/MonteCarloZoo.jl/dev

License: MIT License

Julia 100.00%

education julia monte-carlo statistics

montecarlozoo.jl's Introduction

Tim Hargreaves' GitHub Profile

Overview

The Code Consortium

The Code Consortium is a collection of three packages written in Python, R, and Julia. They consist of efficient implementations of algorithms related to machine learning, streaming, and Monte Carlo methods, respectively. They were developed in collaboration with various other students with the goal of practicing modern package development (including CI/CD pipelines for testing, documentation, linting and benchmarking), building experience with collaboration on large code bases, and finally, sharing quality implementations of useful algorithms in a form more accessible to students than productionised packages.

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montecarlozoo.jl's Issues

API is not following functional programming norms

Need to break sampling up into structs and a generic sample method.

Vectorise rejection sampler

It may be faster to vectorise the rejection sampling algorithm, proposing multiple samples in one go before rejecting. This would then be performed iteratively until the desired sample count is met.

Current tests are inadequate

Current tests only consider the dimension of the output and whether the sampler runs in the first place. It would be worthwhile using the KS test with a fixed seed to verify that the resulting have the correct distribution. This will involve performing thinning for MCMC due to independence assumptions.

Add Binderised examples

Set up a collection of Binderised notebooks providing example use cases and lessons on diagnostics and method assumptions.

Dimension of samplers should be inferred

Currently, the dimension of samplers (i.e. their associated densities, proposal samplers, and samples) has to be manually specified. Since for validation, the dimension of the sampler needs to be checked, it would be worthwhile making this process automatic.

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