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https://github.com/sidv23/ra-hmc
Code for Repelling-Attracting Hamiltonian Monte Carlo (https://arxiv.org/abs/2403.04607)
https://github.com/sidv23/ra-hmc
Last synced: 14 days ago
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Code for Repelling-Attracting Hamiltonian Monte Carlo (https://arxiv.org/abs/2403.04607)
- Host: GitHub
- URL: https://github.com/sidv23/ra-hmc
- Owner: sidv23
- Created: 2024-03-08T14:29:39.000Z (8 months ago)
- Default Branch: main
- Last Pushed: 2024-03-08T16:10:30.000Z (8 months ago)
- Last Synced: 2024-08-01T16:45:29.886Z (3 months ago)
- Language: Jupyter Notebook
- Size: 48.9 MB
- Stars: 3
- Watchers: 1
- Forks: 2
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
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README
# RAHMC
This repository contains the code accompanying:
> Repelling-Attracting Hamiltonian Monte Carlo
> _Siddharth Vishwanath and Hyungsuk Tak_
> [arXiv:2403.04607](https://arxiv.org/abs/2403.04607)
## Getting Started
To get started, first clone the repository and start Julia.
```bash
$ git clone https://github.com/sidv23/ra-hmc.git
$ cd ./ra-hmc
$ julia
```
From the Julia REPL, you can enter the package manager by typing `]`, and activate the project environment with the required packages from the `Project.toml` file as follows.
```julia
julia> ]
pkg> activate .
pkg> instantiate
```
Alternatively, if you use the `DrWatson.jl` package, then you can quickly activate the project environment as follows.
```julia
julia> using DrWatson
julia > @quickactivate "ra-hmc"
```
If you use Github Codespaces, the `.devcontainer/devcontainer.json` file is configured to setup the right Julia environment for you on initialization.
## Contents
The [notebooks](./notebooks/) directory contains the Jupyter notebooks for the experiments and simulations. The directory contains the following files:
- [x] `unimodal.ipynb`: Comparison of RAHMC and HMC mixing for an standard (unimodal and isotropic) Gaussian distributions when $d \in \{2, 5, 10, 50, 100\}$.
- [x] `benchmark.ipynb`: Comparison of RAHMC, HMC, RAM and PEHMC for the benchmark dataset from [Kou et al. (2005)](https://projecteuclid.org/journals/annals-of-statistics/volume-34/issue-4/Equi-energy-sampler-with-applications-in-statistical-inference-and-statistical/10.1214/009053606000000515.full) comprising of a mixture of 20 Gaussian distributions in 2 dimensions.
- [x] `circles-concentric.ipynb` and `circles-nested.ipynb`: Comparison of RAHMC, HMC, RAM, PEHMC and Wormhole HMC for distributions with "higher dimensional modes" supported on the boundary of $\ell_1$ balls in $\mathbb{R}^d$
- [x] `anisotropic.ipynb`: Comparison of RAHMC, HMC, RAM and PEHMC for a mixture of two Gaussian distributions with correlation structure in high dimensions.
- [x] `funnel.ipynb`: Comparison of RAHMC and HMC for a mixture of two funnel distributions ([Neal, 2003](https://projecteuclid.org/journals/annals-of-statistics/volume-31/issue-3/Slice-sampling/10.1214/aos/1056562461.full)).
- [x] `tuning.ipynb`: Illustration of Nesterov dual-averaging for tuning the parameters of RAHMC in high dimensions.
- [x] `bayesian_nn.ipynb`: Comparison of RAHMC and HMC for training a Bayesian neural network with known multimodality.
The [scripts](./scripts/) directory contains the `.jl` source-code for the notebooks.
## Troubleshooting
The code here uses `Julia v1.10`. For any issues, please click [here](https://github.com/sidv23/ra-hmc/issues/new/choose).