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Separate random proposals and the RMH acceptance step #162

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rlouf opened this issue Jan 24, 2022 · 2 comments
Open

Separate random proposals and the RMH acceptance step #162

rlouf opened this issue Jan 24, 2022 · 2 comments
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enhancement New feature or request good first issue Good for newcomers help wanted Extra attention is needed

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@rlouf
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rlouf commented Jan 24, 2022

The RMH acceptance step is used by many MCMC algorithms across the library and we should thus be able to import it from a separate module. Should probably go in proposals.py.

We can also refactor the rmh kernel and rename it random_walk. I am not certain we should expose gaussian random walk as it is rather easy to build a random walk from any proposal. TBD.

@rlouf rlouf added enhancement New feature or request good first issue Good for newcomers help wanted Extra attention is needed labels Jan 24, 2022
@rlouf rlouf changed the title s/rmh.py/random_walk.py Separate random proposals and the RMH acceptance step Feb 8, 2022
@rlouf rlouf added this to the 1.0 milestone Jul 11, 2022
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rlouf commented Jan 18, 2023

The idea behind this issue is to be able to use Radford Neal's non reversible update of the value to which we compare the acceptance probability (paper).

This will require some thought to apply everywhere throughout the mcmc module, especially with the progressive sampling schemes. But maybe we don't need to do this yet, applying it to vanilla HMC/GHMC would be a good start.

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rlouf commented Feb 3, 2023

This is not going to be a breaking change so we can drop this for v1.

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Labels
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