pymc.step_methods.hmc.NUTS.__init__

NUTS.__init__(vars=None, max_treedepth=10, early_max_treedepth=8, **kwargs)

Set up the No-U-Turn sampler.

Parameters:

vars: list, default=None

List of value variables. If None, all continuous RVs from the model are included.

Emax: float, default 1000

Maximum energy change allowed during leapfrog steps. Larger deviations will abort the integration.

target_accept: float, default .8

Adapt the step size such that the average acceptance probability across the trajectories are close to target_accept. Higher values for target_accept lead to smaller step sizes. Setting this to higher values like 0.9 or 0.99 can help with sampling from difficult posteriors. Valid values are between 0 and 1 (exclusive).

step_scale: float, default 0.25

Size of steps to take, automatically scaled down by 1/n**(1/4). If step size adaptation is switched off, the resulting step size is used. If adaptation is enabled, it is used as initial guess.

gamma: float, default .05

k: float, default .75

Parameter for dual averaging for step size adaptation. Values between 0.5 and 1 (exclusive) are admissible. Higher values correspond to slower adaptation.

t0: int, default 10

Parameter for dual averaging. Higher values slow initial adaptation.

adapt_step_size: bool, default=True

Whether step size adaptation should be enabled. If this is disabled, k, t0, gamma and target_accept are ignored.

max_treedepth: int, default=10

The maximum tree depth. Trajectories are stopped when this depth is reached.

early_max_treedepth: int, default=8

The maximum tree depth during the first 200 tuning samples.

scaling: array_like, ndim = {1,2}

The inverse mass, or precision matrix. One dimensional arrays are interpreted as diagonal matrices. If is_cov is set to True, this will be interpreted as the mass or covariance matrix.

is_cov: bool, default=False

Treat the scaling as mass or covariance matrix.

potential: Potential, optional

An object that represents the Hamiltonian with methods velocity, energy, and random methods. It can be specified instead of the scaling matrix.

model: pymc.Model

The model

kwargs: passed to BaseHMC

Notes

The step size adaptation stops when self.tune is set to False. This is usually achieved by setting the tune parameter if pm.sample to the desired number of tuning steps.