ChEES-HMC adaptive HMC Length strategy

numpyro
1

I wander if it is foreseen to implement the following HMC improvement over NUTS developped by Hoffman et al?

Thanks

2

Anybody interested?

3

Does this improvement on NUTS/HMC is not usefull for Numpyro? I’ve seen BlackJax implementing this new algo…

4

Just curious, would ChEES-HMC be better than NUTS?

5

Yes. As Hoffman states in the “Discussion” part the aticle

We have proposed ChEES-HMC, an adaptive Hamilto-
nian Monte Carlo variant that can automatically tune
its step size and trajectory-length parameters. ChEES-
HMC is competitive with the widely used NUTS algo-
rithm in terms of effective samples per gradient evalua-
tion, but it really shines when running many parallel
chains on a GPU, since its lack of control-flow over-
head lets it fully exploit these accelerators’ massive
floating-point computational resource