/langevin-monte-carlo

A simple pytorch implementation of Langevin Monte Carlo algorithms.

Primary LanguageJupyter NotebookMIT LicenseMIT

Langevin Dynamics Monte Carlo

This repo contains pytorch implementations of Langevin Monte Carlo algorithms. The following algorithms have been implemented:

  • Unadjusted Langevin Algorithm (ULA)
  • Metropolis-adjusted Langevin Algorithm (MALA)

Visualization of ULA

ULA