Faster gradient based sampling
Project description
MicroCanonical Hamiltonian Monte Carlo (MCHMC)
Installation
pip install mclmc
Overview
You can check out the tutorials:
- getting started: sampling from a standard Gaussian (sequential sampling)
- advanced tutorial: sampling the hierarchical Stochastic Volatility model for the S&P500 returns data (sequential sampling)
Julia implementation is available here.
The associated papers are:
- method and benchmark tests
- formulation as a stochastic process and first application to the lattice field theory
If you have any questions do not hesitate to contact me at jakob_robnik@berkeley.edu
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