Repository associated with the AISTAT 2022 publication:
Adaptation of the Independent Metropolis-Hastings Sampler with Normalizing Flow Proposals James Brofos, Marylou Gabrie, Marcus A. Brubaker and Roy Lederman Yale University, New York University, Flatiron Institute, York University, and Vector Institute https://arxiv.org/abs/2110.13216
The back-bone of the code is contained in the adaflonaco python package.
From this root folder, install the package in editable mode by running
pip install . -e
Then you should be able to run the test
python tests/test_phifour_adapt.py
We also provide an implementation of algorithm proposed in A framework for adaptive mcmc targeting multimodal distributions. Annals of Statistics, 48(5), 2930–2952. https://doi.org/10.1214/19-AOS1916 Pompe E., Holmes C., & Łatuszyński K. (2020).
The back-bone of the code is contained in the jams python package.