This repository contains all code required to generate (random variations of) the graphics in the paper The Boomerang Sampler by Joris Bierkens, Sebastiano Grazzi, Kengo Kamatani and Gareth Robers, ICML 2020.
julia contains the Julia code to carry out the experiments of Sections 4.1 and 4.3.
R contains R scripts to subsequently generate the corresponding graphics.
BoomerangDiffusionBridge contains Julia code to carry out the diffusion bridge simulations of Section 4.2.
This code requires the folder ZZDiffusionBridge from the Public directory SebaGraz/ZZDiffusionBridge (see pre-print A piecewise deterministic Monte Carlo method for diffusion bridges). We build up from that implementation and add the Boomerang sampler for the problem of sampling diffusion bridges.