Supporting simulation code for the paper "Fast mixing of Metropolized Hamiltonian Monte Carlo: Benefits of multi-step gradients" https://arxiv.org/abs/1905.12247 by Raaz Dwivedi, Yuansi Chen, Martin J. Wainwright, Bin Yu
- The algorithm implementations are contained in 'mcmc.py'.
- The simulations are in two files starting with "mcmc_gaussian"
Code is released under MIT License. Please cite the paper if the code helps your research:
@article{chen2019fast,
title={Fast mixing of Metropolized Hamiltonian Monte Carlo: Benefits of multi-step gradients},
author={Chen, Yuansi and Dwivedi, Raaz and Wainwright, Martin J and Yu, Bin},
journal={arXiv preprint arXiv:1905.12247},
year={2019}
}