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Selecting the Metric in Hamiltonian Monte Carlo (arxiv.org)
7 points by luu on Jun 10, 2019 | hide | past | pdf | discuss on HN

In plain words: Hamiltonian Monte Carlo explores a probability landscape like a rolling ball, and the metric decides how that landscape is stretched before moving. A new rule picks the stretch from the model and available warmup draws, and works well with far fewer draws than usual tuning.

Abstract

We present a selection criterion for the Euclidean metric adapted during warmup in a Hamiltonian Monte Carlo sampler that makes it possible for a sampler to automatically pick the metric based on the model and the availability of warmup draws. Additionally, we present a new adaptation inspired by the selection criterion that requires significantly fewer warmup draws to be effective. The effectiveness of the selection criterion and adaptation are demonstrated on a number of applied problems. An implementation for the Stan probabilistic programming language is provided.

Ben Bales, Arya Pourzanjani, Aki Vehtari, Linda Petzold
arXiv:1905.11916 · stat.CO, stat.ME · submitted May 28, 2019 · updated Aug 16, 2019
abstract · pdf · html · Data/code available at https://github.com/bbbales2/cmdstan-warmup

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