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Python implementation of the No-U-Turn Sampler

Project description


Python implementation of the No-U-Turn Sampler from Hoffman and Gelman (Algorithm 6) leveraging JAX.


Import libraries

import jax
import jax.numpy as jnp
import jax.random as random

from jaxnuts.sampler import NUTS

For low dimensional problems such as this simple example, force JAX to use the CPU (avoid GPU overhead)

jax.config.update('jax_platform_name', 'cpu')

Define a log-probability to sample from

def logprob(x):
  """Standard normal"""
  return -.5 *, x)

Generate samples

key = random.PRNGkey(0)
sampler = NUTS(jnp.ones(2), logp=logprob, target_acceptance=.5, M_adapt=1000)
key, samples, step_size = sampler.sample(1000, key)

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