Stochastic Gradient Hamiltonian Monte Carlo: Matlab Implementation
This implementation originates directly from Chen, 2014
This is also produced for Seminar in Probabilistic Models for Big Data organized by University of Helsinki.
Slides
See the seminar presentation slides at slides.pdf
Main files
hmc.m
: HMC algorithmsghmc.m
: SGHMC algorithmprobdist.m
: code that generate Figure 2 in the essaydivergence.m
: code that generate Figure 3 in the essay