This is Matlab code for the SGHMC with symmetric splitting integrator and Euler integrator, from our NIPS2015 paper "On the convergence of stochastic gradient MCMC with high-order integrators", for the DSBN and LDA models.

The code has not been optimized, though there is a lot of room for it.

The MNIST dataset can be downloaded from https://drive.google.com/drive/u/0/folders/0B1HR6m3IZSO_SW1jS1ZtRXlpakU (thank Zhe Gan for providing the dtasets). The WIKI dataset for LDA is downloaded using scripts provided in Hoffman et al. (2010).

Please note that the code should be used at your own risk. There is no implied guarantee that it will not do anything stupid. Permission is granted to use and modify the code.

Please cite our paper if you find it helpful:

@inproceedings{SGMCMC_NIPS2015,
  Author = {C. Chen, N. Ding, and L. Carin},
  Title = {On the Convergence of Stochastic Gradient MCMC with High-Order Integrators},
  booktitle={NIPS},
  Year  = {2015}
}

Please contact Changyou Chen (cchangyou@gmail.com) for related questions.
