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TuringLang / ParetoSmooth.jl

An implementation of PSIS algorithms in Julia.
http://turinglang.org/ParetoSmooth.jl/
MIT License
19 stars 12 forks source link

Connect ParetoSmooth to Turing Ecosystem #22

Open ParadaCarleton opened 3 years ago

ParadaCarleton commented 3 years ago

It would be nice to connect ParetoSmooth to the Turing ecosystem of importance samplers/variational inference, so that PSIS can be used as a step in Sequential Monte Carlo or Variational Inference. For SMC, PSIS could replace the typical importance sampling step; for variational inference, the variational inference distribution should be used as a proposal distribution for PSIS, allowing for improvements to VI (PSIS is consistent, unlike VI) and providing a diagnostic to judge convergence of the VI algorithm.

ParadaCarleton commented 3 years ago

(To be clear, this would not involve making Turing a dependency for ParetoSmooth. ParetoSmooth should work just fine without Turing, and always will, since I want to be sure it can be used with Stan, Gen, and Soss.)

As a first step I'll be moving ParetoSmooth under the TuringLang org, which should also help with ensuring the package can be maintained even if I find myself unable to continue working on it.