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VSMCG

This codebase is a PyTorch implementation of VSMCG, the course project of Bayesian Theory and Computation.

If it is helpful for your work, please⭐

Install

git clone https://github.com/hengyuf/VSMCG.git
cd VSMCG

Usage

Data Generation

See data_generate.py.

Train the variational policy

See VI.py.

Sample

See sampler_newmodel.py.

EM algorithm

See EM.py.

Acknowledgements

This codebase is under maintenance by Ruitao Chen, Hengyu Fu, Rongcheng Shi and Yuxiao Chen.

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A Sequential Monte Carlo (SMC) algorithm equipped with trainable variational proposal with applications to Garch models.

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