iterLap

Approximate Probability Densities by Iterated Laplace Approximations

Last update: 30 September 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.1-3, 1.0-1, 1.0-2, 1.1-1, 1.1-2, 1.1-4

Description

The iterLap (iterated Laplace approximation) algorithm approximates a general (possibly non-normalized) probability density on R^p, by repeated Laplace approximations to the difference between current approximation and true density (on log scale). The final approximation is a mixture of multivariate normal distributions and might be used for example as a proposal distribution for importance sampling (eg in Bayesian applications). The algorithm can be seen as a computational generalization of the Laplace approximation suitable for skew or multimodal densities.

This page was built for software: iterLap