You signed in with another tab or window. Reload to refresh your session.You signed out in another tab or window. Reload to refresh your session.You switched accounts on another tab or window. Reload to refresh your session.Dismiss alert
So I had a quick look. It is a new warmup scheme for the most part and here's what would be necessary:
a jittered version of HMC, which is trivial to implement here;
Dual averaging;
Mass matrix adaptation;
Their tuning algorithm for the scale of the trajectory length, T, which requires the Adam optimizer.
(2) and (3) are part of the Stan warmup and I already have an implementation of Adam in MCX that I can just copy/paste. Will implement once we have a drop in replacement for NUTS + Stan warmup.
http://proceedings.mlr.press/v130/hoffman21a/hoffman21a.pdf
The text was updated successfully, but these errors were encountered: