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Is the NUTS algorithm correct?

05/04/2020

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by J. M. Sanz-Serna, et al.

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This paper is devoted to investigate whether the popular No U-turn (NUTS) sampling algorithm is correct, i.e. whether the target probability distribution is exactly conserved by the algorithm. It turns out that one of the Gibbs substeps used in the algorithm cannot always be guaranteed to be correct.

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