The No-Underrun Sampler: A Locally-Adaptive, Gradient-Free MCMC Method

Nawaf Bou-Rabee, Bob Carpenter, Sifan Liu +1

In this work, we introduce the No-Underrun Sampler (NURS), a locally-adaptive, gradient-free Markov chain Monte Carlo method that blends ideas from Hit-and-Run and the No-U-Turn Sa…