tpapp / DynamicHMC.jl

Implementation of robust dynamic Hamiltonian Monte Carlo methods (NUTS) in Julia.
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Remove local optimization. #146

Closed tpapp closed 3 years ago

tpapp commented 3 years ago

Fixes #91.

Rationale: Stan and other NUTS don't actually do anything like this. In practice, it turns out to buy very little, at the cost of

  1. a heavy dependency, and
  2. failure for models which have an otherwise innocuous singularity at some point in the posterior.

This is technically a breaking change, hence the version increment.