SMC Pretuning #765
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SMC Pretuning #765
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…x into ciguaran_waste_free_smc
junpenglao
reviewed
Jan 16, 2025
junpenglao
reviewed
Jan 16, 2025
junpenglao
approved these changes
Jan 16, 2025
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Implements pretuning of SMC from section 3.3 https://arxiv.org/abs/1808.07730 . The approach is complementary to the tuning of inner kernels we already have in Blackjax.
Pretuning works by holding (a set of samples from) a probability distribution of the parameters of the inner chains, and updating such distribution on each SMC step. The update works by taking an MCMC step and measuring chain mixing. Chain mixing scores are then used as weights to resample from the jitted parameter samples. The particles from pretuning are discarded, and then a full mutation step happens, using the new parameters.