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Add multiplier for adaptation window sizes #3705

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merged 8 commits into from
Dec 4, 2019

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eigenfoo
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@eigenfoo eigenfoo commented Dec 4, 2019

Following up from #3596, it would be nice to allow the user to specify the tuning scheduling via a multiplier: each window will be successively larger so that we get better and better estimates for the mass matrix.

To avoid changing any behavior, the default value for this is 1 (although I can imagine that this may be a very bad idea for dense mass matrices? Thoughts?)

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codecov bot commented Dec 4, 2019

Codecov Report

Merging #3705 into master will not change coverage.
The diff coverage is 100%.

Impacted file tree graph

@@           Coverage Diff           @@
##           master    #3705   +/-   ##
=======================================
  Coverage   89.94%   89.94%           
=======================================
  Files         134      134           
  Lines       20430    20430           
=======================================
  Hits        18375    18375           
  Misses       2055     2055
Impacted Files Coverage Δ
pymc3/tests/test_quadpotential.py 95.45% <100%> (ø) ⬆️
pymc3/step_methods/hmc/quadpotential.py 73.75% <100%> (ø) ⬆️
pymc3/distributions/distribution.py 94.95% <0%> (-0.3%) ⬇️
pymc3/step_methods/metropolis.py 87.81% <0%> (+0.31%) ⬆️

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lgtm when tests pass!

@eigenfoo eigenfoo merged commit 84a7902 into master Dec 4, 2019
@eigenfoo eigenfoo deleted the adaptation-window-multipliers branch December 4, 2019 17:59
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3 participants