Skip to content

This issue was moved to a discussion.

You can continue the conversation there. Go to discussion →

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Add new CheesHMC sampler by Hoffman et al #12

Closed
twiecki opened this issue Mar 27, 2021 · 1 comment
Closed

Add new CheesHMC sampler by Hoffman et al #12

twiecki opened this issue Mar 27, 2021 · 1 comment
Labels
enhancement New feature or request

Comments

@twiecki
Copy link

twiecki commented Mar 27, 2021

http://proceedings.mlr.press/v130/hoffman21a/hoffman21a.pdf

@rlouf
Copy link
Member

rlouf commented Apr 7, 2021

So I had a quick look. It is a new warmup scheme for the most part and here's what would be necessary:

  1. a jittered version of HMC, which is trivial to implement here;
  2. Dual averaging;
  3. Mass matrix adaptation;
  4. Their tuning algorithm for the scale of the trajectory length, T, which requires the Adam optimizer.

(2) and (3) are part of the Stan warmup and I already have an implementation of Adam in MCX that I can just copy/paste. Will implement once we have a drop in replacement for NUTS + Stan warmup.

@rlouf rlouf mentioned this issue Apr 7, 2021
@rlouf rlouf added the enhancement New feature or request label May 23, 2021
@blackjax-devs blackjax-devs locked and limited conversation to collaborators Aug 5, 2021
@rlouf rlouf closed this as completed Aug 5, 2021

This issue was moved to a discussion.

You can continue the conversation there. Go to discussion →

Labels
enhancement New feature or request
Projects
None yet
Development

No branches or pull requests

2 participants