WoodburyMatrix - Fast Matrix Operations via the Woodbury Matrix Identity
A hierarchy of classes and methods for manipulating matrices formed implicitly from the sums of the inverses of other matrices, a situation commonly encountered in spatial statistics and related fields. Enables easy use of the Woodbury matrix identity and the matrix determinant lemma to allow computation (e.g., solving linear systems) without having to form the actual matrix. More information on the underlying linear algebra can be found in Harville, D. A. (1997) <doi:10.1007/b98818>.
Last updated 2 years ago
4.22 score 3 stars 11 scripts 209 downloadsarmspp - Adaptive Rejection Metropolis Sampling (ARMS) via 'Rcpp'
An efficient 'Rcpp' implementation of the Adaptive Rejection Metropolis Sampling (ARMS) algorithm proposed by Gilks, W. R., Best, N. G. and Tan, K. K. C. (1995) <doi:10.2307/2986138>. This allows for sampling from a univariate target probability distribution specified by its (potentially unnormalised) log density.
Last updated 5 years ago
cpp
3.70 score 1 stars 7 scripts 229 downloads