Awesome
SampleChains
julia> chains
3003-element MultiChain with 3 chains and schema (σ = Float64, α = Float64, β = Vector{Float64})
(σ = 0.9±0.88, α = -5.1±10.0, β = [-0.0±0.9, 0.04±0.99, 0.04±1.1, 0.02±0.92, 0.06±0.95])
Some features (many still in progress):
- Simple visual representation
- "Samples first", though diagnostic information is easily available
- Each
Chain
can be indexed as a Vector, or as a NamedTuple - Interrupting (CTRL-C) returns the current chain, including iterator information so work can be resumed
- Built on ElasticArrays to make it easy to add new samples after the fact
- Adaptable to many different sampling algorithms, including with or without (log-)weights
- Easy summarization functions: expectations per-dimension quantiles, etc
In progress:
- More back-ends (currently just DynamicHMC, using SampleChainsDynamicHMC)
- Diagnostic warnings during sampling
- Callbacks for plotting, etc
- Sample count based on desired standard error of a specified expected value
- Summarization by different functions
- Highest posterior density intervals
- R-hat statistics