opened 05:35PM - 12 Sep 19 UTC
#### Summary:
The dynamic HMC algorithm can be parallelized to run the forward …and backward sweeps in independence. See for a description and a decent evaluation the thread on discourse:
https://discourse.mc-stan.org/t/parallel-dynamic-hmc-merits/10895
By using 2 cores we can be speed up things by 35%.
#### Description:
A prototype implementation is here:
https://github.com/stan-dev/stan/blob/parallel-nuts-2/src/stan/mcmc/hmc/nuts/base_nuts.hpp#L159
That version is based on the 2.20.0 sampler.
The branch is not runnable without a special setup of math due to the requirement of the TBB. A variant of the branch https://github.com/stan-dev/math/tree/parallel-ad-tape-3 can make this one run, but no attempt is made at the moment to give clear instructions.
This issue is here to document that we can get 35% speedup if we do a speculative HMC
#### Reproducible Steps:
See discourse for all of this.
#### Current Output:
#### Expected Output:
Faster samples.
#### Additional Information:
Provide any additional information here.
#### Current Version:
v2.20.0