Add coupled multinomial HMC #97
rlouf
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And thus rename the current version of HMC, "vintage_hmc"? https://discourse.mc-stan.org/t/hmc-jittered-vs-nuts-on-1000-dimensional-standard-normal/8383/2 |
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"Multinomial HMC" should be easy to implement once the NUTS PR is merged since we formulated NUTS as trajectory sampling.
https://arxiv.org/abs/2104.05134
We only need to implement a
linear_expansion
function that samples a direction and runs the integrator forL
steps. Implement the particular caseL=1
directly withoutscan
.See https://arxiv.org/abs/1701.02434 page 40. Choosing a sample from the entire trajectory supposedly is more efficient in terms of ESS/gradient evaluation.
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