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…