pyro-ppl / pyro

Deep universal probabilistic programming with Python and PyTorch
http://pyro.ai
Apache License 2.0
8.55k stars 986 forks source link

Reinstate Metropolis Hastings algorithm #179

Open neerajprad opened 7 years ago

neerajprad commented 7 years ago

@eb8680 had an implementation for single site Metropolis Hastings in #61. Let us resolve the issues raised in the PR, and reinstate the algorithm. This is also needed to build other algorithms like Annealed Importance Sampling. We could use this to develop the machinery for testing inference algorithms and distributions, as mentioned in Roger Grosse's paper on bidirectional MCMC.

eb8680 commented 7 years ago

Also, MH should be written as an implementation of an abstract base MCMC kernel as in #44

neerajprad commented 6 years ago

@OptimusLime - Assigning to you since you already have a draft out. Feel free to adjust the sub-tasks.