Introduction¶
MCMCLib is a lightweight C++ library of Markov Chain Monte Carlo (MCMC) methods.
Features:
A C++11/14/17 library of well-known MCMC algorithms.
Parallelized samplers designed for multi-modal distributions, including:
Differential Evolution (DE); and
Adaptive Equi-Energy Sampler (AEES).
For fast and efficient matrix-based computation, MCMCib supports the following templated linear algebra libraries:
Automatic differentiation functionality is available through use of the Autodiff library
OpenMP-accelerated algorithms for parallel computation.
Straightforward linking with parallelized BLAS libraries, such as OpenBLAS.
Available as a header-only library, or as a compiled shared library.
Released under a permissive, non-GPL license.
Author: Keith O’Hara
License: Apache Version 2.0
Installation¶
The library can be installed on Unix-alike systems via the standard ./configure && make
method.
See the installation page for detailed instructions.
Algorithms¶
A list of currently available algorithms includes: