Ensemble samplers can sometimes work in high dimensions

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A few years ago Bob Carpenter wrote a fantastic post on how why ensemble methods cannot work in high dimensions. He explains how high dimensions proposals that interpolate and extrapolate among samples are unlikely to fall in the typical set, causing the sampler to fail. During my PhD I worked on sampling problems with infinite-dimension parameters (ie: functions) and intractible gradients. After…

Read on /2021/02/26/functional_ensemble_sampler/ ↗