Implement NUTS

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Issue #3 resolved
David Tolpin repo owner created an issue

Implement NUTS MCMC sampler. I opt to implement NUTS without automatic step adaption because step adaptation requires a half dozen of parameters. Those parameters apparently worked for the authors' example but a source of fragility otherwise.

Comments (2)

  1. David Tolpin reporter

    As of commit #ff6a270 NUTs is drafted and even works somehow. This version of NUTS does not tune the step automatically because tuning the step requires a half-dozen parameters. Needs testing and benchmarking.

  2. David Tolpin reporter

    tag #with_nuts resolves this with a tested and benchmarked implementation of NUTS. As a final note, I believe that step adaption should be implemented outside of the algorithm rather than as a part of it, given the algorithm provides sufficient feedback on its performance online.

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