Optimizing The Integrator Step Size for Hamiltonian Monte Carlo

arXiv1411.6669MaRDI QIDQ6256702

M. J. Betancourt, Simon Byrne, Mark Girolami

Publication date: 24 November 2014

Abstract: Hamiltonian Monte Carlo can provide powerful inference in complex statistical problems, but ultimately its performance is sensitive to various tuning parameters. In this paper we use the underlying geometry of Hamiltonian Monte Carlo to construct a universal optimization criteria for tuning the step size of the symplectic integrator crucial to any implementation of the algorithm as well as diagnostics to monitor for any signs of invalidity. An immediate outcome of this result is that the suggested target average acceptance probability of 0.651 can be relaxed to $0.6lesssimalesssim0.9$ with larger values more robust in practice.

Has companion code repository: https://github.com/UnofficialJuliaMirror/DynamicHMC.jl-bbc10e6e-7c05-544b-b16e-64fede858acb

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