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No-U-Turn Sampler in HMC

Open TolisChal opened this issue 2 years ago • 0 comments

This PR implements the No-U-Turn Sampler (NUTS) in HMC:

-- Implements a new structure for the random walk. -- Optimizes the number of gradient computations in both HMC and NUTS; it reduces this number to half per step. -- Implements a new C++ test for NUTS in ./test/logconcave_sampling_test.cpp, namely benchmark_nuts_hmc (for both truncated and non-truncated cases). -- Extends the R interface to expose the NUTS sampler in R. -- Implements a new R example in ./R-proj/examples/logconcave/nuts_rand_poly.R.

This PR resolves the issue https://github.com/GeomScale/volesti/issues/123

TolisChal avatar Mar 10 '22 13:03 TolisChal