Forward-mode automatic differentiation can replace backpropagation inside the Metropolis-Adjusted Langevin Algorithm, yielding four MCMC samplers that are sometimes faster and lower-memory than standard MALA.
Methods of information geometry, volume 191
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Backpropagation-Free Metropolis-Adjusted Langevin Algorithm
Forward-mode automatic differentiation can replace backpropagation inside the Metropolis-Adjusted Langevin Algorithm, yielding four MCMC samplers that are sometimes faster and lower-memory than standard MALA.