pmslice.py
is a python module for running
pseudo-marginal slice sampling
It is documented in the module itself.
Pseudo-Marginal slice sampling takes a Markov chain Monte Carlo (MCMC) method that evaluates the log of an unnormalized probability function, and turns it into a method that only needs the log of an unbiased estimator of the function.
This small Python module makes it easy to drop pseudo-marginal slice
sampling into whatever (Python) MCMC code you already have. In our
demonstration demo.py
a pseudo-marginal slice-sampling scheme only
needs three extra lines of code compared to its conventional MCMC version.
None of these lines required deriving anything problem-specific.
simple_slice.py
is a helper used in the demonstration. The only file you
need to drop into your MCMC codebase (and all that setup.py installs) is
the module pmslice.py
.
Please refer to the paper for more details, and links to other implementations.