Skip to content

Adapt the HMC metric when the warmup is too short for the adaptation windows #3441

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Open
jachymb wants to merge 2 commits into
base: develop
Choose a base branch
from
+23 −0
Open

Adapt the HMC metric when the warmup is too short for the adaptation windows #3441

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
2 commits
Select commit Hold shift + click to select a range
8f528a9
Adapt the metric when the warmup is too short for the adaptation windows
jachymb Oct 17, 2026
608689d
Merge branch 'develop' into bugfix/adaptation-short-warmup-metric
jachymb Oct 25, 2026
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
1 change: 1 addition & 0 deletions src/stan/mcmc/windowed_adaptation.hpp
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -67,6 +67,7 @@ class windowed_adaptation : public base_adaptation {
logger.info(term_buffer_msg);

logger.info("");
restart();
return;
}

Expand Down
22 changes: 22 additions & 0 deletions src/test/unit/mcmc/var_adaptation_test.cpp
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -25,3 +25,25 @@ TEST(McmcVarAdaptation, learn_variance) {

EXPECT_EQ(0, logger.call_count());
}

TEST(McmcVarAdaptation, learn_variance_reduced_windows) {
stan::test::unit::instrumented_logger logger;

const int n = 10;
Eigen::VectorXd q = Eigen::VectorXd::Zero(n);
Eigen::VectorXd var(Eigen::VectorXd::Zero(n));

// init_buffer 75, term_buffer 50 and window 25 do not fit into 100 warmup
// iterations and are reduced to 15 / 10 / 75
stan::mcmc::var_adaptation adapter(n);
adapter.set_window_params(100, 75, 50, 25, logger);

for (int i = 0; i < 100; ++i) {
adapter.learn_variance(var, q);
}

// Estimated once, from the 75 draws of the reduced window
for (int i = 0; i < n; ++i) {
EXPECT_DOUBLE_EQ(1e-3 * 5.0 / (75 + 5.0), var(i));
}
}
Loading