SGMCMCJax

SGMCMCJax is a lightweight library of stochastic gradient Markov chain Monte Carlo (SGMCMC) algorithms. The aim is to include both standard samplers (SGLD, SGHMC) as well as state of the art samplers while requiring only JAX to run.

The target audience for this library is researchers and practitioners: simply plug in your JAX model and easily obtain samples.

Github link to package