Implement Delayed Rejection HMC #368
Labels
enhancement
New feature or request
help wanted
Extra attention is needed
mcmc
MCMC samplers
sampler
Issue related to samplers
Presentation of the new sampler
https://arxiv.org/abs/2110.00610
How does it compare to other algorithms in blackjax?
Authors claim up to 5x more ESS / gradient evaluation.
Where does it fit in blackjax?
In the
mcmc
section. The delayed rejection part is not specific to HMC and should be relatively general.Are you willing to open a PR?
Yes.
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