LangevinFlow - Langevin Diffusion Samplers with a C++ Backend
Provides lightweight, dependency-minimal implementations
of Langevin diffusion based Markov chain Monte Carlo samplers,
including the Unadjusted Langevin Algorithm (ULA) and the
Metropolis-Adjusted Langevin Algorithm (MALA). The core
sampling loops are written in C++ via 'Rcpp' and
'RcppArmadillo' for performance, while exposing a simple
R-level interface where the user supplies the gradient of the
negative log-density (and, for MALA, the negative log-density
itself). Intended as a building block for Bayesian inference
and stochastic optimization rather than a full probabilistic
programming framework. Methods follow Roberts and Tweedie
(1996) <doi:10.2307/3318418> and Roberts and Rosenthal (1998)
<doi:10.1111/1467-9868.00123>.