dfm/emcee.js

Just a slick little Markov chain Monte Carlo sampler written in Javascript...

emcee.js

This a Javascript implementation of emcee.

Usage

1. Write down the density that you want to sample:

     var lnprobfn = function (x) {
         var i, result = 0.0;
         for (i = 0; i < x.length; i++) result -= 0.5 * x[i] * x[i];
         return result;
     };
   

2. Initialize an EnsembleSampler object:

     var sampler = new emcee.EnsembleSampler(lnprobfn);
   

3. Make an initial guess at positions for 100 walkers in 3 dimensions, in this particular case, it's going to be a small Gaussian ball:

     var initialPosition = emcee.smallBall(100, [0.1, 2, -0.5], [1.0, 0.1, 0.5]);
   

4. Run the heck out of it and take 1000 samples:

     sampler.runMCMC(initialPosition, 1000);
   

5. The acceptance fraction is sampler.acceptanceFraction and the chain is stored in sampler.chain.

6. Now make some sort of sick front end!

Example

To see an example, run python -m SimpleHTTPServer 8000 in the root directory of this repository and navigate to localhost:8000/examples.