Selecting the Metric in Hamiltonian Monte Carlo

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 th...

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Bibliographische Detailangaben

Hauptverfasser:	Bales, Ben, Pourzanjani, Arya, Vehtari, Aki, Petzold, Linda
Format:	Artikel
Sprache:	eng
Schlagworte:	Statistics - Computation Statistics - Methodology
Online-Zugang:	Volltext bestellen
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