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larsgeb / hmclab

BSD 3-Clause "New" or "Revised" License
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Add dual-averaging timestep auto-tuning #20

Closed larsgeb closed 4 years ago

larsgeb commented 4 years ago

This would go a long way in autotuning. Will be done next week probably.

larsgeb commented 4 years ago

Added the strategy from: "The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Carlo, Hoffman & Gelman, 2014"; equation (5).

See commit 0366a6d83f2bb07f91be1557de1db12f38ae0b5c.