nimbleHMC version 0.2.0 released, providing improved HMC performance

[Chris Paciorek]

All,

We’ve released version 0.2.0 of nimbleHMC, which includes a new default NUTS sampler inspired by Stan’s implementation of NUTS. It also provides an updated version of our previous NUTS sampler (which is based on the original Hoffman and Gelman paper, and is now called the ‘NUTS_classic’ sampler in NIMBLE) that fixes performance issues in version 0.1.1.

As we discussed when first releasing HMC for NIMBLE, nimbleHMC provides Hamiltonian Monte Carlo samplers for use with NIMBLE, in particular NUTS samplers. NIMBLE’s HMC samplers can be flexibly assigned to a subset of model parameters, allowing users to consider various sampling configurations. For example, this allows one to use HMC for the continuous parameters in a model with discrete parameters/latent states.

-Chris (for the NIMBLE development team)