EllipticalSliceSampling.jl

Julia implementation of elliptical slice sampling.

Overview

This package implements elliptical slice sampling in the Julia language, as described in Murray, Adams & MacKay (2010).

Elliptical slice sampling is a "Markov chain Monte Carlo algorithm for performing inference in models with multivariate Gaussian priors" (Murray, Adams & MacKay (2010)).

Please check the documentation for more details.

Poster at JuliaCon 2021

The slides are available as Pluto notebook.

References

Murray, I., Adams, R. & MacKay, D.. (2010). Elliptical slice sampling. Proceedings of Machine Learning Research, 9:541-548.