Dev ppmmh #244
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Dev ppmmh #244
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I might have just fixed it, the variance looks a lot better now. The issue was again that I forgot that after a resampling step, all particles |
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@reubenharry this is my take on PMMH. So far it's single-threaded and synchronous, but I hope to improve on that eventually. The difference to standard PMMH is that the parameter chain does not quite follow MCMC, but SMC.
Right now it doesn't work very well yet, the variance is quite big. I might have gotten something wrong with the weights.