A repo to test different sampling algorithms related to sparse bayesian regression models and the horseshoe prior specifically. jax-jit compilation for performance.
Issues
- sometimes nan values in loop encountered. check how to handle nans in jax loop and ensure jit compilation
References
Makalic, Enes, and Daniel F. Schmidt. 2016. ‘A Simple Sampler for the Horseshoe Estimator’. IEEE Signal Processing Letters 23 (1): 179–82. https://doi.org/10.1109/LSP.2015.2503725.