Using DynamicHMC

Turing supports the use of DynamicHMC as a sampler through the use of the DynamicNUTS function. This is a faster version of Turing’s native NUTS implementation.

DynamicNUTS is not appropriate for use in compositional inference. If you intend to use Gibbs sampling, you must use Turing’s native NUTS function.

To use the DynamicNUTS function, you must import the DynamicHMC package as well as Turing. Turing does not formally require DynamicHMC but will include additional functionality if both packages are present.

Here is a brief example of how to apply DynamicNUTS:

# Import Turing and DynamicHMC.
using DynamicHMC, Turing

# Model definition.
@model gdemo(x, y) = begin
  s ~ InverseGamma(2,3)
  m ~ Normal(0,sqrt(s))
  x ~ Normal(m, sqrt(s))
  y ~ Normal(m, sqrt(s))
end

# Pull 2,000 samples using DynamicNUTS.
chn = sample(gdemo(1.5, 2.0), DynamicNUTS(2000))