hgm-package | R Documentation |
The holonomic gradient method (HGM, hgm) gives a way to evaluate normalizing constants of unnormalized probability distributions by utilizing holonomic systems of differential or difference equations. The holonomic gradient descent (HGD, hgd) gives a method to find maximal likelihood estimates by utilizing the HGM.
Package: | hgm |
Type: | Package |
License: | GPL-2 |
LazyLoad: | yes |
The HGM and HGD are proposed in the paper below. This method based on the fact that a broad class of normalizing constants of unnormalized probability distributions belongs to the class of holonomic functions, which are solutions of holonomic systems of linear partial differential equations.
This package includes a small subset of the Gnu scientific library codes (http://www.gnu.org/software/gsl/). Then, it might cause a conflict with the package gsl.
(N3OST2) Hiromasa Nakayama, Kenta Nishiyama, Masayuki Noro, Katsuyoshi Ohara, Tomonari Sei, Nobuki Takayama, Akimichi Takemura, Holonomic Gradient Descent and its Application to Fisher-Bingham Integral, Advances in Applied Mathematics 47 (2011), 639–658, doi: 10.1016/j.aam.2011.03.001
(dojo) Edited by T.Hibi, Groebner Bases: Statistics and Software Systems, Springer, 2013, doi: 10.1007/978-4-431-54574-3
hgm.ncBingham
,
hgm.ncorthant
,
hgm.ncso3
,
hgm.pwishart
,
hgm.Rhgm
hgm.p2wishart
,
## Not run: example(hgm.ncBingham) example(hgm.ncorthant) example(hgm.ncso3) example(hgm.pwishart) example(hgm.Rhgm) example(hgm.p2wishart) ## End(Not run)
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