Feature Summary
Add a support for the algorithm presented in The Within-Orbit Adaptive Leapfrog No-U-Turn Sampler
Why is this needed?
It seems to have some improvements over NUTS:
Empirical evaluations on multiscale target distributions, including Neal’s funnel and the Stock-Watson
stochastic volatility time-series model, demonstrate that WALNUTS achieves substantial improvements in
sampling efficiency and robustness compared to standard NUTS.
Feature Summary
Add a support for the algorithm presented in The Within-Orbit Adaptive Leapfrog No-U-Turn Sampler
Why is this needed?
It seems to have some improvements over NUTS: