/pxcgaussianmcmc

Proximal MCMC for sampling from a linearly constrained multivariate normal distribution.

Primary LanguagePython

Proximal MCMC for constrained Gaussians

Work in progress

This is an implementation of the proximal MCMC method for sampling from linearly constrained multivariate normal distributions.

For a high-level mathematical documentation, see here.

TODO

  1. Update mathematical documentation.
  2. Write nice README.