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most citedIncorporating Local Step-Size Adaptivity into the No-U-Turn Sampler using Gibbs Self Tuning

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Preconditioning Hamiltonian Monte Carlo by minimizing Fisher Divergence

Adrian Seyboldt, Eliot L. Carlson, Bob Carpenter

Although Hamiltonian Monte Carlo (HMC) scales as O(d^(1/4)) in dimension, there is a large constant factor determined by the curvature of the target density. This constant factor c…