I am doing Bayesian inference of a few parameters (~3), albeit of a highly nonlinear model, and I am interested in the performance of random-walk Metropolis-Hastings versus Hamiltonian Monte Carlo methods. I don’t expect much from MH, but the traces seem particularly bad (below for one of the parame…

[image] caesoma: if not implementation from scratch is not difficult, though I’d prefer to be able to use something out of the box. You might consider submitting a pull request to AdvancedMH.jl to add a tuning option.

Tune Metropolis-Hastings (normal distribution) scale parameters (and algorithms parameters in general)

General Usage Performance

caesoma October 13, 2023, 5:32pm 11

That sounds like a great idea.

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Adaptive proposals in AdvancedMH.jl (or other Metropolis-capable) package

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Tune Metropolis-Hastings (normal distribution) scale parameters (and algorithms parameters in general)

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