Provide a way to Return Rejected Samples

TuringLang / AbstractMCMC.jl

Abstract types and interfaces for Markov chain Monte Carlo methods

https://turinglang.org/AbstractMCMC.jl

MIT License

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Provide a way to Return Rejected Samples #88

Open ParadaCarleton opened 2 years ago

ParadaCarleton commented 2 years ago

Rejected samples are often very useful for Rao-Blackwellization, or even just for identifying where the sampler is having trouble. Maybe we should have some way to return and store rejected samples?