Implement robust U-turn check #3605
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Following the recent discussion on the Stan side: stan-dev/stan#2800 For experiment, do not merge.
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Thanks to @aseyboldt's design, adding additional U turn check to pymc3 NUTS is actually pretty straightforward, because we are already saving the beginning and the end point of each tree trajectory. |
Following the recent discussion on the Stan side: stan-dev/stan#2800 For experiment, do not merge.
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Looks like this needs a rebase. |
Codecov Report
@@ Coverage Diff @@
## master #3605 +/- ##
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+ Coverage 89.77% 89.79% +0.02%
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Files 134 134
Lines 20027 20047 +20
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+ Hits 17980 18002 +22
+ Misses 2047 2045 -2
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This looks good to me, I'd be in favor of merging. |
aseyboldt
approved these changes
Oct 17, 2019
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+1 I'll also leave this here for us to keep an eye on :D |
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Summary: Pull Request resolved: #864 An issue with the U-turn condition was discovered and discussed in [this post in Stan forum](https://discourse.mc-stan.org/t/nuts-misses-u-turns-runs-in-circles-until-max-treedepth/9727) TL;DR: we can make the U-turn condition more robust by introducing two additional checks across subtrees. This can help us avoid missing U-turns for approximately iid normal models. {F619223264} Since the tree combining code are almost identical in `_build_tree` and `propose`, I also take the chance to refactor them into a common function called `_combine_tree`. If you look closely you will notice that most part of `_combine_tree` are moved from existing code as-is. The only addition is the two additional call to `_is_u_turning` Related PR that implements this change: - Stan: stan-dev/stan#2800 - PyMC3: pymc-devs/pymc#3605 - Turing.jl: TuringLang/AdvancedHMC.jl#207 - DynamicHMC.jl: tpapp/DynamicHMC.jl#145 Reviewed By: neerajprad Differential Revision: D28735950 fbshipit-source-id: ada4ebcad26a87ef5e697f422b5c5b17007afe42
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Following the recent discussion on the Stan side: stan-dev/stan#2800