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mauriciogtec
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documentation and exports
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src/AdaptiveRejectionSampling.jl

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@@ -9,7 +9,7 @@ using ForwardDiff # For automatic differentiation, no user nor approximate deriv
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using StatsBase # To include the basic sample from array function
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# ------------------------------
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export Line, Objective, Envelop, RejectionSampler # Structures/classes
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export run_sampler!, eval_envelop, add_segment! # Methods
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export run_sampler!, sample_envelop, eval_envelop, add_segment! # Methods
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# ------------------------------
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"""
@@ -45,7 +45,7 @@ end
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Envelop(lines::Vector{Line}, support::Tuple{Float64, Float64})
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A piecewise linear function with k segments defined by the lines `L_1, ..., L_k` and cutpoints
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`c_1, ..., c_k+1` with `c1 = support[1]` and `c2 = support[2]`. A line L_k is active in the segment
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[c_k, c_k+1], and it's assigned a weight w_k based on [exp_integral](@ref). The weighted integral
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[c_k, c_k+1], and it's assigned a weight w_k based on [exp_integral](@exp_integral). The weighted integral
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over c_1 to c_k+1 is one, so that the envelop is interpreted as a density.
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"""
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mutable struct Envelop
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"""
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sample_envelop(p::Envelop)
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Samples an element from the density defined by the envelop `e` with it's exponential weights.
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See [`Envelop`](@ref) for details.
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See [`Envelop`](@Envelop) for details.
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"""
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function sample_envelop(e::Envelop)
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# Randomly select lines based on envelop weights

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