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pyro-ppl / pyro

Deep universal probabilistic programming with Python and PyTorch
http://pyro.ai
Apache License 2.0
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Tutorial on implementing custom MCMC samplers #2069

Open eb8680 opened 4 years ago

eb8680 commented 4 years ago

Similar to the tutorial on custom losses in SVI, we should have a tutorial on implementing custom MCMC kernels using the new MCMC API. Something simple like SGLD seems like a good starting point.

eb8680 commented 4 years ago

cc @neerajprad @fehiepsi @shashankg7