3 papers
stat.CO2025
GIST: Gibbs self-tuning for locally adaptive Hamiltonian Monte Carlo
Nawaf Bou-Rabee, Bob Carpenter, Milo Marsden
We introduce a novel and flexible framework for constructing locally adaptive Hamiltonian Monte Carlo (HMC) samplers by Gibbs sampling the algorithm's tuning parameters conditional…
math.PR2024
Unadjusted Hamiltonian MCMC with Stratified Monte Carlo Time Integration
Nawaf Bou-Rabee, Milo Marsden
A randomized time integrator is suggested for unadjusted Hamiltonian Monte Carlo (uHMC) which involves a very minor modification to the usual Verlet time integrator, and hence, is…
stat.ME2024
Incorporating Local Step-Size Adaptivity into the No-U-Turn Sampler using Gibbs Self Tuning
Nawaf Bou-Rabee, Bob Carpenter, Tore Selland Kleppe +1
Adapting the step size locally in the no-U-turn sampler (NUTS) is challenging because the step-size and path-length tuning parameters are interdependent. The determination of an op…