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Implement Unbiased Hamiltonian Monte Carlo with couplings

Open AdrienCorenflos opened this issue 3 years ago • 3 comments

Ideally implement these two different papers

  • https://arxiv.org/abs/1709.00404
  • https://arxiv.org/abs/2104.05134

They both build on this https://rss.onlinelibrary.wiley.com/doi/full/10.1111/rssb.12336 and can be used to compute unbiased estimates of expectations. I don't really think these methods are implemented in any Python library (I don't think it's in Stan either?) and would be a cool show case.

AdrienCorenflos avatar Jul 24 '21 13:07 AdrienCorenflos

CC @pierrejacob

rlouf avatar Feb 09 '22 08:02 rlouf

https://arxiv.org/abs/2104.05134

rlouf avatar Oct 12 '22 12:10 rlouf

https://arxiv.org/abs/2206.07202

rlouf avatar Oct 12 '22 12:10 rlouf