jejjohnson / jejjohnson/mfourdvar

Add simple Langevin Example

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Jupyter Notebook
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Description

I want to add a simple Langevin optimization example.

$$
\begin{aligned}
\text{Sample}: &&
\epsilon_k &\sim \mathcal{N}(0,1) \\
\text{Step}: &&
x_{k+1} &= x_k - \alpha\nabla_x f(x_k) + \sqrt{2\alpha}\epsilon_k
\end{aligned}
$$

Source:
* [blog](https://fa.bianp.net/blog/2023/ulaq/) | [blog](https://ericmjl.github.io/score-models/notebooks/02-langevin-dynamics.html) | [blog](https://www.jeremiecoullon.com/2020/11/10/mcmcjax3ways/) | [blog](https://bjlkeng.io/posts/bayesian-learning-via-stochastic-gradient-langevin-dynamics-and-bayes-by-backprop/)
* [Lecture Notes](https://www.di.ens.fr/appstat/spring-2022/lecture_notes/SGLD.pdf) |

Contributor guide

No contributing guide indexed for this repository

Research direction

No target file, notebook, entry point, or test is named. Start by locating existing optimization examples and notebook conventions in the repository, then use the proposed Langevin update and linked sources as references; done means a runnable simple example that demonstrates the stated sampling and step equations.

Written by the indexing model from the issue text.

Assessment

Tech stack
jupyter-notebook
Domain
machine-learning
Issue type
Feature
Difficulty
3/5
Estimated time
1-2 days
Activity status
Stale
Clarity
Mostly clear
Newbie friendliness
38/100

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