Progress toward MCMCHEADmain

1 files changed, 44 insertions, 0 deletions

diff --git a/src/MonteCarlo.jl b/src/MonteCarlo.jl
index 5d87834..6c7251f 100644
--- a/src/MonteCarlo.jl
+++ b/src/MonteCarlo.jl
@@ -1,6 +1,50 @@
 module MonteCarlo
 
+abstract type Proposer end
+
+struct GaussianProposer
+    σ::Float64
+end
+
+function (prop::GaussianProposer)(x::Vector{Float64})
+    for i in length(x)
+        x += prop.σ * randn()
+    end
+end
+
+abstract type Distribution end
+
 struct MarkovChain
+    dist::Distribution
+    prop!::Proposer
+    x::Vector{Float64}
+    logp::Float64
+    x′::Vector{Float64}
+end
+
+function step!(mc::MarkovChain)::Bool
+    x′ .= x
+    mc.prop!(x′)
+    logp′ = mc.dist(x′)
+    # TODO distribution
+end
+
+function calibrate!(mc::MarkovChain)
+    while true
+        for s in 1:100
+            acc += step!(mc)
+        end
+        if acc < 30
+            # TODO
+        elseif acc > 50
+            # TODO
+        else
+            break
+        end
+    end
+end
+
+struct HamiltonianMonteCarlo
 end
 
 end