ProxNest.sampling.proximal_nested.ProxNestedSampling(X0, LikeliL, proxH, proxB, params, options)

Executes the proximal nested sampling algorithm

Parameters

  • X0 (np.ndarray) – initialisation of the sample chain.

  • LikeliL (lambda) – function to compute the likelihood value of a sample.

  • proxH (lambda) – proximity operator of the prior.

  • proxB (lambda) – proximity operator of the constraint \(\ell_2\)-ball.

  • params (dict) – parameters for prior resampling subject to likelihood isocontour.

  • options (dict) – parameters about number of samples, thinning factor, burnning numbers.

Returns

(Evidence, sample trace).

Return type

tuple

Notes

MATLAB version: Xiaohao Cai (21/02/2019)

Python version: Matthew Price (9/05/2022)