Skip to content

Commit

Permalink
Minor revisions to opening paragraph of README
Browse files Browse the repository at this point in the history
  • Loading branch information
jasonmcewen authored Oct 11, 2022
1 parent 2b93174 commit f39f83a
Showing 1 changed file with 3 additions and 1 deletion.
4 changes: 3 additions & 1 deletion README.rst
Original file line number Diff line number Diff line change
Expand Up @@ -20,7 +20,9 @@

<img src="./docs/assets/ProxNestLogo.png" align="center" height="80" width="100">

``ProxNest`` is an open source, well tested and documented Python implementation of the *proximal nested sampling* algorithm (`Cai et al. 2022 <https://arxiv.org/pdf/2106.03646.pdf>`_) which is uniquely suited for sampling from very high-dimensional posteriors that are log-concave and potentially not smooth (*e.g.* Laplace priors). This is achieved by exploiting tools from proximal calculus and Moreau-Yosida regularisation (`Moreau 1962 <https://hal.archives-ouvertes.fr/hal-01867195/file/Fonctions_convexes_duales_points_proximaux_Moreau_CRAS_1962.pdf>`_) to efficiently sample from the prior subject to the hard likelihood constraint. The resulting Markov chain iterations include a gradient step, approximating (with arbitrary precision) an overdamped Langevin SDE that can scale to very high-dimensional applications.
``ProxNest`` is an open source, well tested and documented Python implementation of the *proximal nested sampling* framework (`Cai et al. 2022 <https://arxiv.org/pdf/2106.03646.pdf>`_) to compute the Bayesian model evidence or marginal likelihood in high-dimensional log-convex settings. Furthermore, non-smooth sparsity-promoting priors are also supported.

This is achieved by exploiting tools from proximal calculus and Moreau-Yosida regularisation (`Moreau 1962 <https://hal.archives-ouvertes.fr/hal-01867195/file/Fonctions_convexes_duales_points_proximaux_Moreau_CRAS_1962.pdf>`_) to efficiently sample from the prior subject to the hard likelihood constraint. The resulting Markov chain iterations include a gradient step, approximating (with arbitrary precision) an overdamped Langevin SDE that can scale to very high-dimensional applications.

Basic Usage
===========
Expand Down

0 comments on commit f39f83a

Please sign in to comment.