xiaohan2012 / sghmc-matlab

Matlab Implementation for Stochastic Gradient Hamiltonian Monte Carlo

Stochastic Gradient Hamiltonian Monte Carlo: Matlab Implementation

This implementation originates directly from Chen, 2014

This is also produced for Seminar in Probabilistic Models for Big Data organized by University of Helsinki.

Slides

See the seminar presentation slides at slides.pdf

Main files

• hmc.m: HMC algorithm
• sghmc.m: SGHMC algorithm
• probdist.m: code that generate Figure 2 in the essay
• divergence.m: code that generate Figure 3 in the essay