From 664c539c08648d0f505310150228b75865b5d925 Mon Sep 17 00:00:00 2001 From: = Date: Sat, 27 Jan 2024 19:37:41 +0100 Subject: [PATCH 1/2] deprecate repo --- README.md | 35 ++++++++++------------------------- 1 file changed, 10 insertions(+), 25 deletions(-) diff --git a/README.md b/README.md index 4002a21..3c64cf4 100644 --- a/README.md +++ b/README.md @@ -1,40 +1,25 @@ -# MicroCanonical Hamiltonian Monte Carlo (MCHMC) +# Microcanonical Hamiltonian Monte Carlo (MCHMC) -## Installation +For details, please refer to https://microcanonical-monte-carlo.netlify.app/. -`pip install mclmc` - -## Overview - -![poster](img/github_poster.png) +## Usage +This library is currently deprecated, in favor of the implementation in Blackjax: https://blackjax-devs.github.io/sampling-book/algorithms/mclmc.html. -You can check out the tutorials: -- [getting started](notebooks/tutorials/intro_tutorial.ipynb): sampling from a standard Gaussian -- [advanced tutorial](notebooks/tutorials/advanced_tutorial.ipynb): sampling the hierarchical Stochastic Volatility model for the S&P500 returns data +A Julia implementation is also available [here](https://github.com/JaimeRZP/MicroCanonicalHMC.jl). -Julia implementation is available [here](https://github.com/JaimeRZP/MicroCanonicalHMC.jl). - -The associated papers are: -- [method and benchmark tests](https://arxiv.org/abs/2212.08549) -- [formulation as a stochastic process and first application to the lattice field theory](https://arxiv.org/abs/2303.18221) +## Overview -The code is still in active development, so let us know if you encounter any issues, including bad sampling performance, and we will do our best to help you out. -You can submit a github issue or contact us at jakob_robnik@berkeley.edu . +![poster](img/github_poster.png) ## Frequently asked questions: -### How can I sample with MCHMC if my parameters have bounds? -Check out [this tutorial](notebooks/tutorials/Constraints.ipynb). - ### How does cost of producing one sample in HMC compare to the cost of one sample in MCHMC? -MCHMC samples are less costly. What is relevant for the computational time is the number of gradient evaluations used. Each sample in MCHMC is two gradient evaluations (1 gradient evaluation if leapfrog integrator is used instead of minimal norm integrator). Each sample in HMC is L gradient evaluations (where L is the number of leapfrog steps per sample), which can be quite large for hard targets (in default NUTS setting up to 1024). - -### Is MCHMC just some weird projection of HMC onto the constant energy surface? -No, the Hamiltonian dynamics of both methods are different (the particles move differently). Below is the motion of MCHMC particles for the Rosenbrock target distribution. - +MCHMC samples are less costly. What is relevant for the computational time is the number of gradient evaluations used. Each sample in MCHMC is two gradient evaluations (1 gradient evaluation if leapfrog integrator is used instead of minimal norm integrator). Each sample in HMC is L gradient evaluations (where L is the number of leapfrog steps per sample), which can be quite large for hard targets (in default NUTS setting up to 1024). +### Is MCHMC just some projection of HMC onto the constant energy surface? +No, the Hamiltonian dynamics of both methods are different (the particles move differently). Below is the motion of MCHMC particles for the Rosenbrock target distribution. ![ensamble](img/rosenbrock.gif) From 8ba7de6364cb5fa835ed445a4ff332058e86f1d9 Mon Sep 17 00:00:00 2001 From: = Date: Sat, 27 Jan 2024 19:38:01 +0100 Subject: [PATCH 2/2] deprecate repo --- README.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/README.md b/README.md index 3c64cf4..47aa0a6 100644 --- a/README.md +++ b/README.md @@ -4,7 +4,7 @@ For details, please refer to https://microcanonical-monte-carlo.netlify.app/. ## Usage -This library is currently deprecated, in favor of the implementation in Blackjax: https://blackjax-devs.github.io/sampling-book/algorithms/mclmc.html. +This repository is currently deprecated, in favor of the implementation in Blackjax: https://blackjax-devs.github.io/sampling-book/algorithms/mclmc.html. A Julia implementation is also available [here](https://github.com/JaimeRZP/MicroCanonicalHMC.jl).