Markov Chain Monte Carlo on
Constrained Spaces

This page hosts the Matlab source code which goes along with the
paper A
Family of MCMC Methods on Implicitly Defined Manifolds
in the proceedings of AISTATS 2012. Use of this code in any
published research should cite
this paper. The code provides an implementation of the
Constrained HMC algorithm described in the paper which performs
MCMC on
distributions subject to nonlinear inequality constraints.
Also
included is code to reproduce some of the experiments.
Here is the abstract
This code is copyright 2012 Marcus A Brubaker and is distributed
freely for academic and personal use only. Persons
interested in
commercial use of this code should contact Marcus A
Brubaker.
There is no warranty implied or personal liability assumed by any
of
the
authors. By downloading this code, you accept these terms.
NOTE: There was a typo in the final paper. The equations defining the RATTLE algorithm on page three are slightly wrong. Specifically, the partial derivatives of the Hamiltonian in the definition of q_1 should be with respect to p. This has been fixed in the version available from this website.