MeasureTheory.jl is a package for building and reasoning about measures.


A distribution (as provided by Distributions.jl) is also called a probability measure, and carries with it the constraint of adding (or integrating) to one. Statistical work usually requires this "at the end of the day", but enforcing it at each step of a computation can have considerable overhead. For instance, Bayesian modeling often requires working with unnormalized posterior densities or improper priors.

As a generalization of the concept of volume, measures also have applications outside of probability theory.

Getting started

To install MeasureTheory.jl, open the Julia Pkg REPL (by typing ] in the standard REPL) and run

pkg> add MeasureTheory

To get an idea of the possibilities offered by this package, go to the documentation.

To know more about the underlying theory and its applications to probabilistic programming, check out our JuliaCon 2021 submission.