tensorflow / tensorflow/probability
HMC fails unexpectedly if data not scaled properly
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Description
Hi,
I have noticed that the HMC engine fails sometimes when data is not properly scaled. I was wondering if you could provide more clarity on this behaviour with a Hamiltonian MC theory interpretation. Since I can't reproduce this issue in BSTS, could this be related to a specific implementation in Tensorflow probability? In this tutorial: https://www.tensorflow.org/probability/examples/STS_approximate_inference_for_models_with_non_Gaussian_observations, it is mentioned indeed that scaling helps speed up the inference process, but in my case, no samples are accepted at all, as if the chain is not converging.
A corollary question: are there any useful tools in Tensorflow probability that help diagnose the HMC convergence, comparable to what we have in Stan for instance?
Thank you for your help.
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Research direction
Start with the linked TensorFlow Probability STS approximate-inference tutorial and the HMC engine behavior described in the report. No repository file or test is named; done would require a reproducible unscaled-data failure, an explanation of the rejection behavior, and identification of available convergence-diagnostic tools.
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Assessment
- Tech stack
- tensorflow
- Domain
- machine-learning
- Issue type
- Bug
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 25/100