Implementation of fast parameters dragging

[Richard-Sti]

Fast parameters dragging as defined in arxiv.org/abs/math/0502099. The idea is to suggest a new "slow" parameter and perform many MCMC steps using an interpolated posterior between its old (using old slow parameters) and new value.

Implements a new chain class FastChain which handles the stepping. In the current stage it's main functionality is to perform steps in the fast parameters, calculate the interpolated posterior and make calls to the user's posterior.

The "slow" parameters are ones whose contribution to the posterior is slow to compute. The user is assumed to have a "caching" system in hand such that the output values of slow functions are cached for equal inputs (at least for the last few values of slow parameters).

Work in progress. Need to implement the acceptance ratio, clearing the chain, setting its scratch length and tie this back to a regular MH chain.

It would be useful to define a wrapper for functions of slow parameters that caches their values.

[pep8speaks]

Hello @Richard-Sti! Thanks for updating this PR. We checked the lines you've touched for PEP 8 issues, and found:

There are currently no PEP 8 issues detected in this Pull Request. Cheers! 🍻

Comment last updated at 2022-04-12 09:03:40 UTC