CoupledHMC.jl

This package implemented the coupled HMC kernels used in the AISTATS 2021 paper Couplings for Multinomial Hamiltonian Monte Carlo by Kai Xu, Tor Erlend Fjelde, Charles Sutton and Hong Ge.

See the research folder for scripts to reproduce the results.

You can cite this paper using the BibTeX entry below.

@inproceedings{xu2021couplings,
  title={{Couplings for Multinomial {H}amiltonian Monte Carlo}},
  author={Kai Xu and Fjelde, Tor Erlend and Sutton, Charles and Ge, Hong},
  booktitle={International Conference on Artificial Intelligence and Statistics},
  year={2021}
}

Using this package directly

If you would like to use CoupledHMC without going through our research folder, you will have to install VecTargets(https://github.com/xukai92/VecTargets.jl) and the master branch of AdvancedHMC manually. For example, running the command below will install them globally

julia -e 'using Pkg; Pkg.add(url="https://github.com/xukai92/VecTargets.jl"); Pkg.add(name="AdvancedHMC", rev="master")'

Or below to install inside your local environment

julia --project=@. -e 'using Pkg; Pkg.add(url="https://github.com/xukai92/VecTargets.jl"); Pkg.add(name="AdvancedHMC", rev="master")'