A Julia package for Stochastic Gradient Markov Chain Monte Carlo
This package is part of my master's thesis entitled Bayesian Autoregressive Distributed Lag via Stochastic Gradient Hamiltonian Monte Carlo or BADL-SGHMC. However as the title says, this package aims to accomodate other Stochastic Gradient MCMCs in the near future. At the latest, the following are the MCMC algorithms available:
- Metropolis-Hasting
- Hamiltonian Monte Carlo
- Stochastic Gradient Hamiltonian Monte Carlo
To install the package, simply run the following codes
Pkg.clone("https://github.com/alstat/StochMCMC.jl")And to load the package:
using StochMCMCThe complete documentation is available at: http://stochmcmcjl.readthedocs.io/
| author: | Al-Ahmadgaid B. Asaad | thesis advisor: | Joselito C. Magadia, Ph.D. |
| email: | alasaadstat@gmail.com | website: | http://stat.upd.edu.ph/ |
| blog: | http://alstatr.blogspot.com/ |