Unbiased Markov chain Monte Carlo with couplings

A library for exploring coupled MCMC and to support essays on it.

Blog posts

This repo is both a pip-installable library, and it generates this essay of the same name, which is meant as a reading companion to, and implementation of, the papers.

Installation

pip install git+git://github.com/colcarroll/couplings.git

References

Many thanks to the authors for interesting papers.

Primary

• Jacob, Pierre E., John O’Leary, and Yves F. Atchadé. “Unbiased Markov Chain Monte Carlo with Couplings.” ArXiv:1708.03625 [Stat], August 11, 2017. http://arxiv.org/abs/1708.03625.

• Heng, Jeremy, and Pierre E. Jacob. “Unbiased Hamiltonian Monte Carlo with Couplings.” ArXiv:1709.00404 [Stat], September 1, 2017. http://arxiv.org/abs/1709.00404.

Also of interest

• Biswas, Niloy, and Pierre E. Jacob. “Estimating Convergence of Markov Chains with L-Lag Couplings.” ArXiv:1905.09971 [Stat], May 23, 2019. http://arxiv.org/abs/1905.09971.

• Bou-Rabee, Nawaf, and Jesús María Sanz-Serna. “Geometric Integrators and the Hamiltonian Monte Carlo Method.” ArXiv:1711.05337 [Math, Stat], November 14, 2017. http://arxiv.org/abs/1711.05337.