This repository has been archived by the owner on Dec 18, 2023. It is now read-only.
Robust U-turn condition #864
Closed
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Differential Revision: D28817142 fbshipit-source-id: dcb24b691458663007831f5fc16686d60f0ddd27
Summary: An issue with the U-turn condition was discovered and discussed in [this post in Stan forum](https://discourse.mc-stan.org/t/nuts-misses-u-turns-runs-in-circles-until-max-treedepth/9727) TL;DR: we can make the U-turn condition more robust by introducing two additional checks across subtrees. This can help us avoid missing U-turns for approximately iid normal models. {F619223264} Since the tree combining code are almost identical in `_build_tree` and `propose`, I also take the chance to refactor them into a common function called `_combine_tree`. If you look closely you will notice that most part of `_combine_tree` are moved from existing code as-is. The only addition is the two additional call to `_is_u_turning` Related PR that implements this change: - Stan: stan-dev/stan#2800 - PyMC3: pymc-devs/pymc#3605 - Turing.jl: TuringLang/AdvancedHMC.jl#207 - DynamicHMC.jl: tpapp/DynamicHMC.jl#145 Differential Revision: D28735950 fbshipit-source-id: 54d60ae038d85331e3cdefec73848c2107075c2f
facebook-github-bot
added
CLA Signed
|
This pull request was exported from Phabricator. Differential Revision: D28735950 |
|
This pull request has been merged in 518cab7. |
Sign up for free
to subscribe to this conversation on GitHub.
Already have an account?
Sign in.
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
Summary:
An issue with the U-turn condition was discovered and discussed in this post in Stan forum
TL;DR: we can make the U-turn condition more robust by introducing two additional checks across subtrees. This can help us avoid missing U-turns for approximately iid normal models.
{F619223264}
Since the tree combining code are almost identical in
_build_treeandpropose, I also take the chance to refactor them into a common function called_combine_tree. If you look closely you will notice that most part of_combine_treeare moved from existing code as-is. The only addition is the two additional call to_is_u_turningRelated PR that implements this change:
Differential Revision: D28735950