Unbiased MCMC with couplings
MIT License
A library for exploring coupled MCMC and to support essays on it.
This repo is both a pip-installable library, and it generates this essay of the same name, which is meant as a reading companion to, and implementation of, the papers.
pip install git+git://github.com/colcarroll/couplings.git
Many thanks to the authors for interesting papers.
Jacob, Pierre E., John OLeary, and Yves F. Atchad. Unbiased Markov Chain Monte Carlo with Couplings. ArXiv:1708.03625 [Stat], August 11, 2017. http://arxiv.org/abs/1708.03625.
Heng, Jeremy, and Pierre E. Jacob. Unbiased Hamiltonian Monte Carlo with Couplings. ArXiv:1709.00404 [Stat], September 1, 2017. http://arxiv.org/abs/1709.00404.
Biswas, Niloy, and Pierre E. Jacob. Estimating Convergence of Markov Chains with L-Lag Couplings. ArXiv:1905.09971 [Stat], May 23, 2019. http://arxiv.org/abs/1905.09971.
Bou-Rabee, Nawaf, and Jess Mara Sanz-Serna. Geometric Integrators and the Hamiltonian Monte Carlo Method. ArXiv:1711.05337 [Math, Stat], November 14, 2017. http://arxiv.org/abs/1711.05337.