search

tpapp / DynamicHMC.jl

Implementation of robust dynamic Hamiltonian Monte Carlo methods (NUTS) in Julia.
Other
242 stars 21 forks source link

Riemannian Manifold HMC #114

Open kskyten opened 4 years ago

kskyten commented 4 years ago

You mentioned having a toy implementation for RHMC. Is the code available somewhere? I would like to experiment with it using higher order AD for matrix expressions.

tpapp commented 4 years ago

The code is now dated and not very clean, I think you are better off implementing

https://arxiv.org/abs/1212.4693v2

directly. If you can obtain higher-order derivatives in a practical way, I would be happy to integrate this method into this package.