sampling.sequential

Module: sampling.sequential

Sequential Monte Carlo for approximately constrained Gaussians.

http://arxiv.org/abs/1410.8209

selectinf.sampling.sequential.sample(white_constraint, nsample, proposal_sigma=0.2, temps=array([ 0., 1., 2., 3., 4., 5., 6., 7., 8., 9., 10., 11., 12., 13., 14., 15., 16., 17., 18., 19., 20., 21., 22., 23., 24., 25., 26., 27., 28., 29., 30., 31., 32., 33., 34., 35., 36., 37., 38., 39., 40., 41., 42., 43., 44., 45., 46., 47., 48., 49., 50.]))

Build up an approximately constrained Gaussian based on relaxations of the constraint.

Parameters

white_constraint : selection.constraints.affine

Affine constraint with identity covariance

nsample : int

How many samples to draw?

proposal_sigma : float