This is a small package implementing Annealed Importance Sampling. Its key features include:

• Integration with Turing
• Specify Markov chain transition kernel using either AdvancedHMC.jl or AdvancedMH.jl
• Multi-threaded sampling

This implementation here should be seen as a proof of concept. It is not optimized for performance yet and the API design will likely change in the future.

Integration with Turing:

using Turing
using AnnealedIS

@model function model(y)
    x ~ Normal(0, 1)
    y ~ Normal(x, 1)
end

y_obs = 2
chains = sample(model(y_obs), AnIS(20), 1000)

For more usage examples see the test/ folder.

Neal, R. M. (1998) "Annealed importance sampling", Technical Report No. 9805 (revised), Dept. of Statistics, University of Toronto, 25 pages