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Control Functionals

version (16.2 KB) by Chris Oates
Implementation of the control functional method for computing Bayesian posterior integrals


Updated 15 Mar 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.

Cite As

Chris Oates (2021). Control Functionals (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2016a
Compatible with any release
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