Patent ID: 7409325

Claim:
A computer program product for performing Markov chain Monte Carlo simulations using a library of classes, comprising: a computer usable storage medium having computer usable program code embodied therewith, which when executed on a computer, causes the computer to run said Markov chain Monte Carlo simulations, the computer usable program code comprising: computer usable program code configured to define a variable class that supports derived user-defined variable classes assignable to each variable of a target distribution to be sampled from, said variable class comprising: computer usable program code configured to provide a jump function to be overridden with a user-defined proposal density function in a corresponding user-defined variable class; and computer usable program code configured to implement an acceptance function to be overridden with a user-defined acceptance probability function in said corresponding user-defined variable class; computer usable program code configured to implement a model class that defines a container for instances of said user-defined variable classes, said model class including: computer usable program code configured to implement at least one sampler function that is executed to perform a Markov chain Monte Carlo simulation by calling said user-defined proposal density and user-defined acceptance probability functions for said instances of user-defined variable classes contained in said model class; computer usable program code configured to generate simulation results based upon execution of the Markov chain Monte Carlo simulation; and computer usable program code configured to convey the simulation results to the user.