MCMCっぽいやつ

gistfile1.fs

(* 何かがおかしい。要検証。 *)
module MCMC =
  let random = new Random()
  let select x = x + (random.NextDouble() - 0.5) * 10.0
  
  let prob x = 1.0 / (1.0 + System.Math.Exp(-x))

  let nextStatus x = 
    let xt = select x
    let p = prob xt / prob x
    let q = random.NextDouble()
    if p >= q then xt else x
  
  let rec markovChain x =
    seq {
      yield x
      yield! markovChain (nextStatus x) } 

  let randomSeq = markovChain 0.0