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Add Riemannian manifold HMC #432
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Let's avoid a hard dependency on MCMCLogDensityProblems from AHMC. |
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 |
@ErikQQY, it seems the new files in this PR are copied from the Can you try to move or rename these files instead of copying them, so that we can preserve the Git history of these codes? |
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@ErikQQY, it might be easier to open a new PR from scratch where
This makes it easier for Git to recognise and track the changes. |
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:
DenseRiemannianMetric
, e.g., how should the metric tensorG
be provided, etc.