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MCMC-based backward sampling #2

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Sahel13 merged 2 commits into main from mcmc_bs

Sep 10, 2024

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Sahel13 commented Sep 4, 2024

Implemented backward sampling with $\mathcal{O}(NM^2T^2)$ cost for $N$ backward samples.

References

Hai-Dang Dau and Nicolas Chopin (2023). On backward smoothing algorithms. The Annals of Statistics.
Nicolas Chopin (2020). Particles. Github.

Sahel13 added 2 commits

September 3, 2024 16:02


          Minor func interface changes

282c72a


          MCMC-based bs added

ac1ccbe

- This is now the default.
- The `backward_sampling_batched` function is multi-threaded.

Sahel13 merged commit 6acd2ce into main

3 checks passed

Sahel13 deleted the mcmc_bs branch

September 10, 2024 10:34

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