Simulation Code for Log-concave sampling

Supporting simulation code for the paper "Log-concave sampling: Metropolis-Hastings algorithms are fast!" https://arxiv.org/abs/1801.02309 by Raaz Dwivedi, Yuansi Chen, Martin J. Wainwright, Bin Yu

Use Guide

• The algorithm implementations are contained in 'mcmc.py'.
• Simulations are contained in jupyter notebooks.
• Please update 'save_path' to your local path before any simulations.
• The Code in folder 'mcmc_simulation1' was run on a high-performance cluster and might take long time to complete. It is recommended that one first get familiar with the code for simulation2 and simulation3 before trying simulation1.

License and Citation

Code is released under MIT License. Please cite the paper if the code helps your research:

@article{dwivedi2018log,
  title={Log-concave sampling: Metropolis-Hastings algorithms are fast!},
  author={Dwivedi, Raaz and Chen, Yuansi and Wainwright, Martin J and Yu, Bin},
  journal={arXiv preprint arXiv:1801.02309},
  year={2018}
}