AGESS combines elliptical slice sampling with diminishing adaptation to self-correct to fast mixing while preserving ergodicity for non-elliptical, multi-modal, and high-dimensional targets.
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Adaptive Generalized Elliptical Slice Sampling
AGESS combines elliptical slice sampling with diminishing adaptation to self-correct to fast mixing while preserving ergodicity for non-elliptical, multi-modal, and high-dimensional targets.