Generalizing the No-U-Turn Sampler to Riemannian Manifolds

Abstract: Hamiltonian Monte Carlo provides efficient Markov transitions at the expense of introducing two free parameters: a step size and total integration time. Because the step size controls discretization error it can be readily tuned to achieve certain accuracy criteria, but the total integration time is left unconstrained. Recently Hoffman and Gelman proposed a criterion for tuning the integration time in certain systems with their No U-Turn Sampler, or NUTS. In this paper I investigate the dynamical basis for the success of NUTS and generalize it to Riemannian Manifold Hamiltonian Monte Carlo.