Following the informed and helpful comments from Matt Graham and Bob Carpenter on our eHMC paper [arXival] last month, we produced a revised and re-arXived version of the paper based on new experiments ran by Changye Wu and Julien Stoehr. Here are some quick replies to these comments, reproduced for convenience. (Warning: this is a loooong post, much longer than usual.) Continue reading
Archive for github
revised empirical HMC
Posted in Statistics, University life with tags eHMC, github, Hamiltonian Monte Carlo, leapfrog integrator, NUTS, Rao-Blackwellisation, revision, scaling, STAN on March 12, 2019 by xi'ana knapsack riddle?
Posted in Books, pictures, R, Statistics, Travel with tags allocations, Colonel Blotto game, github, optimisation, R, simulated annealing, The Riddler on February 13, 2017 by xi'an
The [then current now past] riddle of the week is a sort of multiarmed bandits optimisation. Of sorts. Or rather a generalised knapsack problem. The question is about optimising the allocation of 100 undistinguishable units to 10 distinct boxes against a similarly endowed adversary, when the loss function is
and the distribution q of the adversary is unknown. As usual (!), the phrasing of the riddle is somewhat ambiguous but I am under the impression that the game is played sequentially, hence that one can learn about the distribution of the adversary, at least when assuming this adversary keeps the same distribution q at all times. Continue reading
