API Reference

Deep Inverse Rosenblatt Transport

An object used to generate an approximate coupling between random variables using a composition of squared inverse Rosenblatt transports, constructed using functional tensor trains.

DIRT	Deep (squared) inverse Rosenblatt transport.

Preconditioners

Initial guesses for the mapping between the reference random variable and the target random variable.

Preconditioner	A user-defined preconditioning function.
IdentityMapping	An identity mapping.
UniformMapping	A mapping between the reference density and a uniform density.

Polynomial Bases

Polynomial bases used to construct a functional tensor train.

Lagrange1	Piecewise linear polynomials.
LagrangeP	Higher-order piecewise Lagrange polynomials.
Chebyshev1st	Chebyshev polynomials of the first kind.
Chebyshev2nd	Chebyshev polynomials of the second kind.
Fourier	Fourier polynomials.
Legendre	Legendre polynomials.

Domain Mappings

Mappings between the approximation domain and the domain of the polynomial basis.

BoundedDomain

Mapping from a bounded domain to \((-1, 1)\).

Options

Options for configuring the FTT and DIRT construction.

TTOptions	Options for configuring the construction of an FTT object.
DIRTOptions	Options for configuring the construction of a DIRT object.

Reference Densities

Product-form reference densities used as part of DIRT construction.

GaussianReference	The standard \(d\)-dimensional Gaussian density, \(\mathcal{N}(\boldsymbol{0}_{d}, \boldsymbol{I}_{d})\).
UniformReference	The standard \(d\)-dimensional uniform density, \(\mathcal{U}([0, 1]^{d})\).

Bridges

Objects used to generate the intermediate densities approximated during DIRT construction.

SingleLayer	Constructs the DIRT using a single layer.
Tempering	Likelihood tempering.

Debiasing

Functions used to remove the bias associated with the use of an approximation to the target density function.

run_importance_sampling	Computes the importance weights associated with a set of samples.
run_independence_sampler	Runs an independence Metropolis-Hastings sampler.
run_irt_pcn	Runs a pCN sampler using the DIRT mapping.
run_cirt_pcn	Runs a pCN sampler using a conditional of the DIRT mapping.
ImportanceSamplingResult	An object containing the results of importance sampling.
MCMCResult	An object containing a constructed Markov chain.