Bayes Reading Group: Bob Carpenter [CCM]

Friday Apr 26, 2024, 11:00 AM → 12:00 PM America/New_York

3rd Floor Conference Room/3-Flatiron Institute (162 5th Avenue)

Discussion Lead: Bob Carpenter [CCM]
 

Topic: GIST: Gibbs self-tuning for locally adaptive HMC

Link: TBD

Abstract: We present a novel and flexible framework for localized tuning of Hamiltonian Monte Carlo samplers by sampling an algorithm's tuning parameters conditionally based on the position and momentum at each step. For adaptively sampling path lengths, we show that randomized Hamiltonian Monte Carlo, the  no U-turn sampler, and the apogee-to-apogee path Sampler all fit within this unified framework as special cases.  The framework is illustrated with a simple alternative to NUTS for locally adapting path lengths.