Differential Evolution Monte Carlo sampling
This code implements a Markov chain Monte Carlo algorithm which automatically and efficiently tunes the proposal distribution to the covariance structure of the target distribution. This is achieved while maintaining the target distribution as the stationary distribution of the Markov chain. The algorithm is described in:
Cajo F.T. Ter Braak, "A Markov Chain Monte Carlo version of the genetic algorithm Differential Evolution: easy Bayesian computing for real parameter spaces", Stat Comput (2006) 16:239–249
As of the date of submission, this paper is freely available at:
http://www.stat.columbia.edu/~gelman/stuff_for_blog/cajo.pdf
Cite As
Corey Yanofsky (2024). Differential Evolution Monte Carlo sampling (https://www.mathworks.com/matlabcentral/fileexchange/18092-differential-evolution-monte-carlo-sampling), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Platform Compatibility
Windows macOS LinuxCategories
Tags
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!Discover Live Editor
Create scripts with code, output, and formatted text in a single executable document.