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Termination criterion for nuts #1787

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aseyboldt opened this issue Feb 14, 2017 · 2 comments
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Termination criterion for nuts #1787

aseyboldt opened this issue Feb 14, 2017 · 2 comments

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@aseyboldt
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aseyboldt commented Feb 14, 2017 •
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While reading through the stan code to double check the new implementation of multinomial sampling, I noticed that the termination criterion in stan is different to the one in pymc3. There have been recent changes in stan (stan-dev/stan#1854, stan-dev/stan#2180), but even in the older code ("classic nuts") it is different. pymc3 fails to take into account the metric and always assumes a unit mass matrix. This is probably because the original paper on nuts used the standard euclidean space.
@twiecki
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twiecki commented Feb 14, 2017

Yes, we haven't tracked their changes consistently. Should definitely bring our NUTS as much in sync with theirs as possible.

@aseyboldt
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This was fixed in #1769

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@twiecki @aseyboldt