GuidedProposals.jl

Efficient and user-friendly guided proposals in Julia. Introduced in M Schauer, F van der Meulen and H van Zanten Guided proposals for simulating multi-dimensional diffusion bridges (2017) [arXiv].

Provides methods for efficient sampling of conditioned diffusions.

Depending on your intended use of this package you might choose to start at different places:

• For a quick overview of GuidedProposals.jl's main functionality see Get started.
• For a systematic introduction to all functionality introduced in this package see the Manual
• For a didactic introduction to problems that can be solved using GuidedProposals.jl see the Tutorials
• If you have a problem that you think can be addressed with this package, then check out the How-to guides to see if the answer is already there.