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https://pymc-experimental.readthedocs.io
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successive SMC inference loops #379

Open myravian opened 1 month ago

myravian commented 1 month ago

Hi there,

I was experimentng with jax sampling and instead of running successive calls to sample_smc_blackjax (which I thought would be useful to compare the posteriors and enable rhat-like diagnostics), I was wondering whether it would make sense to hard code a given number of (successive) jobs in the code itself (pymc_experimental/inference/smc/sampling.py). Does it make sense to build the kernel only once, then runs several inference_loop + arviz_from_particles?

Cheers, Vian

ricardoV94 commented 1 month ago

CC @ciguaran

aloctavodia commented 1 month ago

Sure, it makes sense to have more than one instance/"chain". Then we would be able to apply diagnostics like r-hat and rankplots. Other diagnostics like ess doesn't make sense.