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stors - Step Optimised Rejection Sampling

Fast and efficient sampling from general univariate probability density functions. Implements a rejection sampling approach designed to take advantage of modern CPU caches and minimise evaluation of the target density for most samples. Many standard densities are internally implemented in 'C' for high performance, with general user defined densities also supported. A paper describing the methodology will be released soon.

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4.65 score 3 stars 5 scripts 159 downloads

maths.genealogy - Mathematics PhD Genealogy Data and Plotting

Query, extract, and plot genealogical data from The Mathematics Genealogy Project <https://mathgenealogy.org/>. Data is gathered from the 'WebSocket' server run by the 'geneagrapher-core' project <https://github.com/davidalber/geneagrapher-core>.

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4.60 score 4 stars 200 downloads

ReliabilityTheory - Structural Reliability Analysis

Perform structural reliability analysis, including computation and simulation with system signatures, Samaniego (2007) <doi:10.1007/978-0-387-71797-5>, and survival signatures, Coolen and Coolen-Maturi (2013) <doi:10.1007/978-3-642-30662-4_8>. Additionally supports parametric and topological inference given system lifetime data, Aslett (2012) <https://www.louisaslett.com/PhD_Thesis.pdf>.

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reliability-engineering

3.62 score 7 stars 12 scripts 206 downloads

fdp - f-Differential Privacy and Gaussian Differential Privacy

Constructs and visualises trade-off functions for f-differential privacy (f-DP) as introduced by Dong et al. (2022) <doi:10.1111/rssb.12454>. Supports Gaussian differential privacy, the f-DP generalisation of (epsilon, delta)-differential privacy, and accepts user-specified optimal type I / type II errors from which the lower convex hull trade-off function is automatically constructed.

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3.60 score 1 scripts 142 downloads

PhaseType - Inference for Phase-Type Distributions

Functions to perform Bayesian inference on absorption time data for Phase-type distributions. The methods of Bladt et al (2003) <doi:10.1080/03461230110106435> and Aslett (2012) <https://www.louisaslett.com/PhD_Thesis.pdf> are provided.

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markov-chain-monte-carloopenblas

3.18 score 1 dependents 10 scripts 209 downloads

mlmc - Multi-Level Monte Carlo

An implementation of MLMC (Multi-Level Monte Carlo), Giles (2008) <doi:10.1287/opre.1070.0496>, Heinrich (1998) <doi:10.1006/jcom.1998.0471>, for R. This package builds on the original 'Matlab' and 'C++' implementations by Mike Giles to provide a full MLMC driver and example level samplers. Multi-core parallel sampling of levels is provided built-in.

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monte-carlocpp

3.00 score 2 stars 5 scripts 580 downloads

BrownianMotion - Brownian Motion Simulations

An implementation of algorithms for simulation of (multivariate) Brownian motion trajectories, including simple unconditional simulation, Brownian bridges, as well as layered and localised Brownian motion simulators.

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brownian-motion

2.70 score 1 stars 1 scripts