Derivative Based Adaptive Rejection Sampling -- from Wolfram Library Archive

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Title

Derivative Based Adaptive Rejection Sampling

Author

Erwann Rogard

Revision date

2007-11-19

Description

This is package for generating draws from an arbitrary log-concave pdf using an algorithm that requires only evaluation of the log pdf (up to an additive constant) and the derivative. This algorithm is commonly used for sampling from full conditional distributions arising in Gibbs sampling.

Subjects

	Applied Mathematics > Numerical Methods
	Mathematics > Probability and Statistics

Keywords

adaptive rejection sampling, log concave density, gibbs

Downloads

DerivativeBasedAdaptiveRejectionSampling.m (8.8 KB) - Mathematica Package [for Mathematica 5.2]

ProbabilityPlot.m (1 KB) - Mathematica Package [for Mathematica 5.2]

ars.ps (176.1 KB) - Postscript file

testing_ars.nb (209.3 KB) - Mathematica Notebook [for Mathematica 5.2]

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