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The current description is outdated and pretty minimal anyway:
This crate mostly follows the implementation of NUTS in Stan and PyMC, only tuning of mass matrix and step size differs: In a first window we sample using the identity as mass matrix and adapt the step size using the normal dual averaging algorithm. After discard_window draws we start computing a diagonal mass matrix using an exponentially decaying estimate for sqrt(sample_var / grad_var). After 2 * discard_window draws we switch to the entimated mass mass_matrix and keep adapting it live until stop_tune_at.
The text was updated successfully, but these errors were encountered:
The current description is outdated and pretty minimal anyway:
The text was updated successfully, but these errors were encountered: