gianlucadetommaso / Stein-variational-samplers

Python and MATLAB code for Stein Variational sampling methods

Stein variational samplers

This repository contains MATLAB and python code for several Stein variational sampling algorithms.

MATLAB

The directory "MATLAB" contains the test cases implemented in "A Stein variational Newton method" (SVN), https://arxiv.org/pdf/1806.03085.pdf (Detommaso et al., NeurIPS 2018).

python

The directory "python" contains the following items.

• The directory "SVN". This provides an easy-to-use iPython application of SVN to some low-dimensional test cases.

• The directory "SVOCD". This provides code for the test cases implemented in "Stein Variational Online Changepoint Detection with Applications to Hawkes Processes and Neural Networks", https://arxiv.org/pdf/1901.07987.pdf (Detommaso et al., 2019).