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HyperMC: Multi-Fidelity Hyperparameter Tuning for Stochastic Gradient MCMC

arXiv · AI, language, vision and robotics · article · Sep 2, 2026 · UTC

Stochastic gradient Markov chain Monte Carlo (SGMCMC) methods enable scalable Bayesian inference, but their performance depends strongly on hyperparameters such as the step size, mini-batch size, and number of leapfrog steps. Since most SGMCMC algorithms lack a Metropolis-Hastings acceptance rate, standard acceptance-based tuning methods are not directly applicable. We propose HyperMC, a multi-fidelity tuning framework that combines Hyperband-style resource allocation with kernel Stein discrepancy (KSD) evaluation. By running multiple successive-halving brackets, HyperMC balances broad explora

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