Build examples with doc

docs/literate.jl

@@ -0,0 +1,18 @@
+# Retrieve name of example and output directory
+if length(ARGS) != 2
+    error("please specify the name of the example and the output directory")
+end
+const EXAMPLE = ARGS[1]
+const OUTDIR = ARGS[2]
+
+# Activate environment
+# Note that each example's Project.toml must include Literate as a dependency
+using Pkg: Pkg
+const EXAMPLEPATH = joinpath(@__DIR__, "..", "examples", EXAMPLE)
+Pkg.activate(EXAMPLEPATH)
+Pkg.instantiate()
+using Literate: Literate
+
+# Convert to markdown and notebook
+const SCRIPTJL = joinpath(EXAMPLEPATH, "script.jl")
+Literate.markdown(SCRIPTJL, OUTDIR; name=EXAMPLE, execute=true)

docs/make.jl

@@ -13,7 +13,7 @@ mkpath(EXAMPLES_OUT)
 # Workaround for https://github.com/JuliaLang/Pkg.jl/issues/2219
 examples = filter!(isdir, readdir(joinpath(@__DIR__, "..", "examples"); join=true))
 above = joinpath(@__DIR__, "..")
-let script = "using Pkg; Pkg.activate(ARGS[1]); Pkg.instantiate(); Pkg.develop(path=\"$(above)\");"
+let script = "using Pkg; Pkg.activate(ARGS[1]); Pkg.develop(path=\"$(above)\"); Pkg.instantiate()"
     for example in examples
         if !success(`$(Base.julia_cmd()) -e $script $example`)
             error(
@@ -50,7 +50,7 @@ DocMeta.setdocmeta!(SSMProblems, :DocTestSetup, :(using SSMProblems); recursive=
 
 makedocs(;
     sitename="SSMProblems",
-    format=Documenter.HTML(),
+    format=Documenter.HTML(; size_threshold=1000 * 2^11), # 1Mb per page
     modules=[SSMProblems],
     pages=[
         "Home" => "index.md",

examples/smc/Project.toml

@@ -0,0 +1,7 @@
+[deps]
+DataStructures = "864edb3b-99cc-5e75-8d2d-829cb0a9cfe8"
+Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
+Literate = "98b081ad-f1c9-55d3-8b20-4c87d4299306"
+Plots = "91a5bcdd-55d7-5caf-9e0b-520d859cae80"
+SSMProblems = "26aad666-b158-4e64-9d35-0e672562fa48"
+StatsFuns = "4c63d2b9-4356-54db-8cca-17b64c39e42c"

examples/smc.jl → examples/smc/script.jl

@@ -1,3 +1,4 @@
+# # Partilce Filter with adaptive resampling
 using Random
 using SSMProblems
 using Distributions
@@ -26,15 +27,13 @@ function sweep!(
     logweights = zeros(N)
 
     for (timestep, observation) in enumerate(observations)
-        # Resample step
         weights = get_weights(logweights)
         if ess(weights) <= threshold * N
             idx = resampling(rng, weights)
             particles = particles[idx]
             fill!(logweights, 0)
         end
 
-        # Mutation step
         for i in eachindex(particles)
             latent_state = transition!!(rng, model, particles[i].state, timestep)
             particles[i] = SSMProblems.Utils.Particle(particles[i], latent_state)
@@ -44,7 +43,6 @@ function sweep!(
         end
     end
 
-    # Return unweighted set
     idx = resampling(rng, get_weights(logweights))
     return particles[idx]
 end
@@ -73,9 +71,9 @@ Base.@kwdef struct LinearSSM <: AbstractStateSpaceModel
 end
 
 # Simulation
-T = 250
+T = 150
 seed = 1
-N = 1_000
+N = 500
 rng = MersenneTwister(seed)
 
 model = LinearSSM(0.2, 0.7)
@@ -111,6 +109,6 @@ end
 samples = sample(rng, LinearSSM(), N, observations)
 traces = reverse(hcat(map(SSMProblems.Utils.linearize, samples)...))
 
-scatter(traces; color=:black, opacity=0.3, label=false)
-plot!(x; label="True state")
-plot!(mean(traces; dims=2); label="Posterior mean")
+scatter(traces[:, 1:10]; color=:black, opacity=0.7, label=false)
+plot!(x; label="True state", linewidth=2)
+plot!(mean(traces; dims=2); label="Posterior mean", color=:orange, linewidth=2)