DREAM, a C++ program which implements the DREAM algorithm for accelerating Markov Chain Monte Carlo (MCMC) convergence using differential evolution, by Guannan Zhang.
DREAM requires user input in the form of five C++ functions:
DREAM requires access to a compiled version of the pdflib library, which can evaluate a variety of Probability Density Functions (PDF's) and produce samples from them. The user may wish to invoke this library when constructing some of the user functions.
DREAM requires access to a compiled version of the rnglib library, in order to generate random numbers.
An older implementation of the DREAM algorithm is available as DREAM1; it requires a user main program and two input files.
The DREAM program was originally developed by Guannan Zhang, of Oak Ridge National Laboratory (ORNL); it has been incorporated into the DAKOTA package of Sandia National Laboratory, and forms part of the ORNL package known as TASMANIAN.
A version of the DREAM library is available in http://tasmanian.ornl.gov, the TASMANIAN library, available from Oak Ridge National Laboratory.
The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.
DREAM is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.
PDFLIB, a C++ library which evaluates Probability Density Functions (PDF's) and produces random samples from them, including beta, binomial, chi, exponential, gamma, inverse chi, inverse gamma, multinomial, normal, scaled inverse chi, and uniform.
RANLIB, a C++ library which produces random samples from Probability Density Functions (PDF's), including Beta, Chi-square Exponential, F, Gamma, Multivariate normal, Noncentral chi-square, Noncentral F, Univariate normal, random permutations, Real uniform, Binomial, Negative Binomial, Multinomial, Poisson and Integer uniform, by Barry Brown and James Lovato.
RNGLIB, a C++ library which implements a random number generator (RNG) with splitting facilities, allowing multiple independent streams to be computed, by L'Ecuyer and Cote.
Original FORTRAN90 version by Guannan Zhang; C++ version by John Burkardt.