Control Functionals

Version 1.3.0.0 (16,2 KB) von Chris Oates
Implementation of the control functional method for computing Bayesian posterior integrals
5.0
(3)
88 Downloads
Aktualisiert 15. Mär 2017

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This is a compact implementation of the "control functional" method for Monte Carlo integration proposed in Oates, Chopin and Girolami, Journal of the Royal Statistical Society, Series B, 2017. The basic idea is that gradient information on the posterior distribution in Bayesian statistics can be used to better estimate integrals with respect to the posterior, via Stein's method.

Zitieren als

Chris Oates (2024). Control Functionals (https://www.mathworks.com/matlabcentral/fileexchange/61755-control-functionals), MATLAB Central File Exchange. Abgerufen .

Kompatibilität der MATLAB-Version
Erstellt mit R2016a
Kompatibel mit allen Versionen
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Version Veröffentlicht Versionshinweise
1.3.0.0

Fixed a typo in the pre-amble.
Now works in dimension d = 1,2,3 or 4.
1.2.0.0

Improved the example usage in the pre-amble so that it generalises to d = 2,3.
Fixed the numerical regulariser to match the method given in the paper. Thanks to Min Hyung Kang!
1.1.0.0

In version 1.0 the likelihood function was incorrect. The wrong covariance matrix was used. This is now fixed.
1.0.0.0

Renamed zip folder
Included description of the main function.