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

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stat.CO2024★ 1 cited

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…