Some Langevin diffusion-based samplers.
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lazy-langevin.cabal

README.md

lazy-langevin Build Status

Sampling via gradient-based diffusion.

See the Examples folder for example usage.

TODO

  • In general the observed information will not be positive definite; this is causing a problem in the matrix square root calculation in the RiemannianLangevin module. Replace the observed information with a pd approximating matrix.
  • Note that the inclusion of hmatrix requires this to be GPL, so that needs to be changed.