I have a log-prob function and its gradient. Because FFT is involved in the log-prob function and its gradient, it is not possible to perform autodiff. So I do the differential by hand. Is there a (documented) way to call the NUTS sampler directly? I did notice there is a way to create a customize…

Is there a way to call NUTS directly to sample a customized likelihood together with its gradient?

nkaimcaudle March 13, 2020, 9:51am 3

I am not sure but perhaps this is what you are after Isolate NUTS into a new library

1 Like

Topic		Replies	Views
Auto-diff when using NUTS sampler with blackbox likelihoods Questions development	1	819	September 11, 2020
Manually update part of the model without writing a custom sampler Questions	2	506	May 9, 2019
Isolate NUTS into a new library Development	7	1535	October 12, 2020
Using pymc3 NUTS sampler for an "external model" having its derivatives with respect to its parameters Questions	4	2345	March 30, 2018
Can NUTS work with stochastic gradient / mini-batch? Questions	1	866	May 2, 2019