4 ms·
NUTS and Stan are quite old at this point! Here's a more recent advance https://arxiv.org/pdf/1711.09268.pdf https://arxiv.org/pdf/1711.09268.pdf
by andbberger 8y ago
NUTS and Stan are quite old at this point!
Here's a more recent advance https://arxiv.org/pdf/1711.09268.pdf https://arxiv.org/pdf/1711.09268.pdf
- panarky 8y agoStan supports Hamiltonian Monte Carlo. https://arxiv.org/pdf/1701.02434.pdf https://arxiv.org/pdf/1701.02434.pdf
- andbberger 8y agoMany samplers are based on HMC, it's a general class of samplers, not a specific algorithm. NUTS is a variation of HMC, as well as the paper I linked above. 'vanilla' HMC uses detailed balance to guarantee that the stationary distribution of the chain is the one you want, causing the process to behave like a random walk. So although the Hamiltonian bit of HMC lets you take these great big steps through state space, you end up retracing your steps quite a lot. Hence NUTS (No-U-turn sampler) et. al