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