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Remove reference to numpyro implementation and add horseshoe descript…
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…ion.

Co-authored-by: Jacob Stevens-Haas <[email protected]>
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mikkelbue and Jacob-Stevens-Haas authored Jan 22, 2024
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8 changes: 4 additions & 4 deletions pysindy/optimizers/sbr.py
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Expand Up @@ -17,12 +17,12 @@ class SBR(BaseOptimizer):
Sparse Bayesian Regression (SBR) optimizer. This uses the regularised
horseshoe prior over the SINDy coefficients to achieve sparsification.
Inference is achieved through NUTS sampling with numpyro, which is a
dependency for this optimizer.
The horseshoe prior contains a "spike" of nonzero probability at the origin, and a "slab" of distribution
in cases where a coefficient is nonzero.
The SINDy coefficients are set as the posterior means of the MCMC samples.
The SINDy coefficients are set as the posterior means of the MCMC NUTS samples.
Additional statistics can be computed from the MCMC samples stored in
the mcmc attribute using e.g. ArviZ.
the mcmc_ attribute using e.g. ArviZ.
See the following reference for more details:
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