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