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Anytime Monte Carlo Experiments

Synopsis

./run.sh

Runs the Lorenz '96 inference experiments using SMC$^2$ on a cluster.

./run_toy.sh

Runs the toy examples in GNU Octave. Alternatively, these can be run from MATLAB, inspect the script to see how this works.

./run_tau.sh

Runs the Lorenz '96 likelihood and timing experiments.

./run_bifurc.sh

Runs the Lorenz '96 experiments necessary to construct the bifurcation plots in the paper.

./plot.sh

Produces all plots after these runs are complete.

Description

This package can be used to reproduce the results of the experiments in Murray et al. 2016.

Some configuration of the *.sh scripts and associated *.conf configuration files may be necessary to get them running on a particular system. Also see the Lorenz96 package, on which this package is based.

The package requires new features in LibBi 1.3.0.

References

L. M. Murray, S. Singh, P. E. Jacob and A. Lee. Anytime Monte Carlo. 2016. Online at https://arxiv.org/abs/1612.03319.