Adaptive tuning of Hamiltonian Monte Carlo methods

Abstract

With the recently increased interest in probabilistic models, the efficiency of an underlying sampler becomes a crucial consideration. Hamiltonian Monte Carlo (HMC) is one popular option for models of this kind. Performance of the method, however, strongly relies on a choice of parameters associated with an integration for Hamiltonian equations. Up to date, such a choice remains mainly heuristic or introduces time complexity. We propose a novel computationally inexpensive and flexible approach (we call it Adaptive Tuning or ATune) that, by combining a theoretical analysis of the multivariate Gaussian model with simulation data generated during a burn-in stage of a HMC simulation, detects a system specific splitting integrator with a set of reliable sampler's hyperparameters, including their credible randomization intervals, to be readily used in a production simulation. The method automatically eliminates those values of simulation parameters which could cause undesired extreme scenarios, such as resonance artifacts, low accuracy or poor sampling. The new approach is implemented in the in-house software package HaiCS, with no computational overheads introduced in a production simulation, and can be easily incorporated in any package for Bayesian inference with HMC. The tests on popular statistical models reveal the superiority of adaptively tuned standard and generalized HMC methods in terms of stability, performance and accuracy over conventional HMC tuned heuristically and coupled with the well-established integrators. We also claim that the generalized HMC is preferable for achieving high sampling performance. The efficiency of the new methodology is assessed in comparison with state-of-the-art samplers, e.g. NUTS, in real-world applications, such as endocrine therapy resistance in cancer, modeling of cell-cell adhesion dynamics and influenza A epidemic outbreak.