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Control Functionals

version 1.3 (16.2 KB) by

Implementation of the control functional method for computing Bayesian posterior integrals

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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.

Comments and Ratings (2)

In 'control_func.m', isn't line 106 missing a multiplicative factor of n(or m in paper)? It doesn't make much of difference as lambda is set to be 10e-10, but just wondering after looking at the equation in the paper.

Updates

1.3

Fixed a typo in the pre-amble.

1.3

Now works in dimension d = 1,2,3 or 4.

1.2

Improved the example usage in the pre-amble so that it generalises to d = 2,3.

1.2

Fixed the numerical regulariser to match the method given in the paper. Thanks to Min Hyung Kang!

1.1

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

1.0

Renamed zip folder

1.0

Included description of the main function.

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MATLAB 9.0 (R2016a)

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