tensorflow / tensorflow/probability
Adaptive Metropolis
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Description
Hi everyone, I found that the adaptive MCMC in tfp.MCMC is for HMC, is there any resource for Metropolis? For example, the traditional one that updates a running covariance?
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start with tfp.MCMC and the linked Andrieu–Thoms paper to understand the requested adaptive Metropolis behavior and whether existing resources cover it. Done would require a decided scope for running-covariance adaptation and corresponding support or documentation for Metropolis methods.
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Assessment
- Domain
- machine-learning
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 20/100