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Implement Unbiased Hamiltonian Monte Carlo with couplings
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.
CC @pierrejacob
https://arxiv.org/abs/2104.05134
https://arxiv.org/abs/2206.07202