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Inconsistent results with bounds? #12

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brian-bk22 opened this issue Feb 19, 2024 · 0 comments
Open

Inconsistent results with bounds? #12

brian-bk22 opened this issue Feb 19, 2024 · 0 comments

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@brian-bk22
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When using multiple runs of the same MCMC algorithm (and settings) with bounds, sometimes it will return a 0 acceptance rate and fail, while other runs will work as expected. Our hopeful use case would be to provide R wrappers to your fast MCMC samplers with custom bounded density functions, but the instability has us concerned.

To simplify the issue and provide a hopefully reproducible example, take the HMC example with Eigen in the package documentation. If bounds are added between 1.55 and 50 for both parameters, it fails >10% of the time. But when I increase the lower bound to 1.65, the algorithm almost always fails. Does this have to do with the step-size? Or am I missing something?

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