Add HMC and NUTS algorithms / interpretations

pyro-ppl / funsor

Functional tensors for probabilistic programming

https://funsor.pyro.ai

Apache License 2.0

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Add HMC and NUTS algorithms / interpretations #123

Open fritzo opened 5 years ago

fritzo commented 5 years ago

Blocked by Pyro HMC refactoring https://github.com/pyro-ppl/pyro/issues/1816

Initially we can simply wrap Pyro's HMC and NUTS implementations. After NumPyro's distributions are closer to torch.distributions and after Funsor's Numpy support improves, we can also implement a NumPyro-based HMC and NUTS.

Tasks

[ ] Add shim for Pyro's HMC and NUTS
[ ] Add an examples/nuts.py

fritzo commented 5 years ago

cc @neerajprad who is refactoring Pyro's HMC and NUTS to support this