The classic Metropolis algorithm.
Wander around parameter space according to a simple spherical Gaussian distribution.
mcmc function that prints a trace to stdout, as well as a
metropolis transition operator that can be used more generally.
import Numeric.MCMC.Metropolis rosenbrock :: [Double] -> Double rosenbrock [x0, x1] = negate (5 *(x1 - x0 ^ 2) ^ 2 + 0.05 * (1 - x0) ^ 2) main :: IO () main = withSystemRandom . asGenIO $ mcmc 10000 1 [0, 0] rosenbrock