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Add Riemannian manifold HMC #432

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Add Riemannian manifold HMC #432

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ErikQQY
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@ErikQQY ErikQQY commented Apr 27, 2025

Add the Riemannian manifold HMC from "Riemann manifold Langevin and Hamiltonian Monte Carlo methods" which is implemented in the research directory but has not been merged into the package.

Though this PR is relatively complete, there are still some things TODO:

  • Register the MCMCLogDensityProblems.jl package since some of its functionalities are used in RMHMC.
  • Discuss the appropriate style for constructing a DenseRiemannianMetric, e.g., how should the metric tensor G be provided, etc.
  • Still need to add some docstrings and related documentation.

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yebai commented Apr 28, 2025

Register the MCMCLogDensityProblems.jl package since some of its functionalities are used in RMHMC.

Let's avoid a hard dependency on MCMCLogDensityProblems from AHMC.

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ErikQQY commented Apr 28, 2025

Now MCMCLogDensityProblems is only used for tests, but without the generative hessian utilities from MCMCLogDensityProblems, users might have to build a Riemannian manifold metric with G and ∂G∂θ computed by themselves.

@ErikQQY ErikQQY closed this Apr 28, 2025
@ErikQQY ErikQQY reopened this Apr 28, 2025
@ErikQQY ErikQQY closed this Apr 28, 2025
@ErikQQY ErikQQY reopened this Apr 28, 2025
@ErikQQY ErikQQY closed this Apr 28, 2025
@ErikQQY ErikQQY reopened this Apr 28, 2025
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@ErikQQY ErikQQY reopened this Apr 28, 2025
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@ErikQQY ErikQQY reopened this Apr 28, 2025
@ErikQQY ErikQQY requested a review from yebai April 28, 2025 23:57
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yebai commented Apr 30, 2025

@ErikQQY, it seems the new files in this PR are copied from the research folder.

Can you try to move or rename these files instead of copying them, so that we can preserve the Git history of these codes?

@ErikQQY ErikQQY force-pushed the qqy/RMHMC branch 2 times, most recently from 5129015 to 73cb714 Compare May 1, 2025 23:03
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yebai commented May 2, 2025

@ErikQQY, it might be easier to open a new PR from scratch where

  • First, move the code,
  • Then add back your changes

This makes it easier for Git to recognise and track the changes.

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