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stat.ME2024★ 2 cited
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…
stat.CO2024
Tuning diagonal scale matrices for HMC
Jimmy Huy Tran, Tore Selland Kleppe
Three approaches for adaptively tuning diagonal scale matrices for HMC are discussed and compared. The common practice of scaling according to estimated marginal standard deviation…