blackjax-devs / blackjax

BlackJAX is a Bayesian Inference library designed for ease of use, speed and modularity.
https://blackjax-devs.github.io/blackjax/
Apache License 2.0
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Implement Unbiased Hamiltonian Monte Carlo with couplings #64

Open AdrienCorenflos opened 3 years ago

AdrienCorenflos commented 3 years ago

Ideally implement these two different papers

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.

rlouf commented 2 years ago

CC @pierrejacob

rlouf commented 2 years ago

https://arxiv.org/abs/2104.05134

rlouf commented 2 years ago

https://arxiv.org/abs/2206.07202