WALNUTS adapts the leapfrog step size within each orbit, controls the error with a local energy threshold, and proves the resulting sampler is reversible.
Sacred and Profane: from the Involutive Theory of MCMC to Helpful Hamiltonian Hacks
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In the first edition of this Handbook, two remarkable chapters consider seemingly distinct yet deeply connected subjects ...
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The Within-Orbit Adaptive Leapfrog No-U-Turn Sampler
WALNUTS adapts the leapfrog step size within each orbit, controls the error with a local energy threshold, and proves the resulting sampler is reversible.