AdaptEllipticalSliceSampler.jl

AdaptEllipticalSliceSampler.jl is a Julia implementation of the adaptive generalized elliptical slice sampler (AGESS) described in Adaptive Generalized Elliptical Slice Sampling. AGESS combines elliptical slice sampling with diminishing adaptation, allowing it to self-correct from a slow-mixing to a fast-mixing regime while preserving ergodicity across a wide variety of target densities, including targets that are non-elliptical, non-differentiable, multi-modal, or high-dimensional — all without gradients or manual tuning.

Source code is available on GitHub.