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What is BiiPS?

BiiPS is a general software for Bayesian inference with interacting particle systems, a.k.a. sequential Monte Carlo (SMC) methods. It aims at popularizing the use of these methods to non-statistician researchers and students, thanks to its automated “black box” inference engine.

It borrows from the BUGS/JAGS software, widely used in Bayesian statistics, the statistical modeling with graphical models and the language associated with their descriptions.

Unlike MCMC methods used by BUGS/JAGS, SMC methods are more adapted to dynamic problems (tracking, signal filtering, etc).

Features

  • BUGS language compatible
  • SMC techniques for filtering and smoothing
  • Fixed parameter estimation using particle MCMC
  • Core developped in C++
  • R interface RBiips
  • Free and open source software (GPL)
  • Multi-platform: Linux, Windows, Mac OS X


Roadmap

  • Matlab interface
  • Optimization, parallelization


BiiPS software is under development. Download the latest beta version.

News

Fifth IMS-ISBA joint meeting MCMSki IV

We will participate to a session focused on Recent Developments in Software for MCMC (and SMC).

Abstract of the session:

This invited panel features four leading researchers working on software development for Bayesian computation. Each panelist will highlight their particular software, including its history, development, and relative strengths and weaknesses. Looking forward, panelists will discuss and debate the future of Bayesian computation and software development, including challenges, opportunities and bottlenecks. Emphasis throughout will be on simplifying and automating the implementation of Monte Carlo methods, with an eye towards scalability to larger and more complex models and data.

Speakers:

  • Andrew Thomas, University of Helsinki, Finland; Developer of BUGS
  • Martyn Plummer, International Agency for Research on Cancer, France; Developer of JAGS
  • Bob Carpenter, Columbia University, USA; Developer of STAN
  • Adrien Todeschini, INRIA Bordeaux, France; Developer of BiiPS
  • Date: october 10-12, 2012
  • Location: Ecole Polytechnique, Palaiseau, France
  • Links: SMCMESF

Workshop Sequential Monte Carlo methods and Efficient simulation in Finance

We will give a talk about BiiPS software and examples of application to financial econometrics.

Rencontres R 2012 Bordeaux

We will give a talk about BiiPS software and its R interface.

ISBA 2012 World Meeting

We will present a poster and demonstration of BiiPS software.

BayesComp 2012

We will present a poster and demonstration of BiiPS software.

Rencontres Inria Industries Finance

We will present a demonstration of BiiPS software for estimating the stochastic volatility of financial data.


Particle filtering of stochastic volatility

 
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