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Fast, affine-invariant, GPU parallel MCMC.
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alexkaiser/mc_stretch
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MC Stretch: GPU parallel, affine invariant Markov chain Monte Carlo. Much more detail in readme_mc_stretch.pdf. Please email adkaiser at the domain gmail.com for help. __________________________________________________ Follow these steps to get started quickly with the included examples. - Place generic C code to evaluate the log of the probability density function (pdf) you would like to sample in ``pdf.h.'' - Pick one of the included examples in "stretch_move_main.c" to run. Check that parameters in the example match your problem, which usually means setting the correct dimension. - Type "make" on the command line to build the code with the included makefile. - Type "./stretch_move_main" to run the executable. The code will prompt to select an OpenCL implementation and hardware, then run the sampler.
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