Leveraging Sparsity to Improve No-U-Turn Sampling Efficiency for Hierarchical Bayesian Models
利用稀疏性提升分层贝叶斯模型的No-U-Turn采样效率
Analysts routinely use Bayesian hierarchical models to understand natural processes. The no-U-turn sampler (NUTS) is the most widely used algorithm to sample high-dimensional, continuously differentiable models. But NUTS is slowed by high correlations, especially in high dimensions, limiting the complexity of applied analyses. Here we introduce Sparse NUTS (SNUTS), which preconditions (decorrelates and descales) posteriors using a sparse precision matrix ($Q$). We use…