pSGLD

Preconditioned Stochastic Gradient Langevin Dynamics (pSGLD)

Links: Implementation on TensorFlow Website

Simulation (2D Gaussian Example in Figure 1 of the paper)

• Simulation 1 provides Average Absolute Error of Sample Covariance vs AutoCorrelation Time (ACT)
• Simulation 2 provides first 600 samples from SGLD and pSGLD

Experiments on Deep Neural Networks (Keep updating)

• Start to run 'test_FNN_mnist.m' to test a 2-layer FNN with 400 hidden units each .
• You may also modify line 'linSizes = [400 400 data.outSize]' to other configurations.

Citation

Please cite our AAAI paper if it helps your research:

@inproceedings{pSGLD_AAAI2016,
  title={Preconditioned stochastic gradient Langevin dynamics for deep neural networks},
  author={Li, Chunyuan and Chen, Changyou and Carlson, David and Carin, Lawrence},
  booktitle={AAAI},
  Year  = {2016}
}