Bayes Reading Group: Bob Carpenter

Friday Jul 16, 2021, 11:00 AM → 12:00 PM America/New_York

Zoom

Date: Friday, July 16th 11:00am – 12:00pm EST
Discussion Lead:  Bob Carpenter, CCM
Topic:  Matt Hoffman and Andrew Gelman.  The No U-turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Monte Carlo.

Paper: https://jmlr.org/papers/v15/hoffman14a.html

Note: I'm going to take the time to go over the basics of Hamiltonian Monte Carlo drawing on Neal and Betancourt before diving into the no U-turn sampler (NUTS).  So this one may wind up taking two weeks to get through.

Background:
* Radford Neal, MCMC Using Hamiltonian Dynamics. https://arxiv.org/pdf/1206.1901.pdf
* Michael Betancourt, A conceptual introduction to Hamiltonian Monte Carlo.  https://arxiv.org/abs/1701.02434