pros and cons of the different mcmc methods

[yanivabir]

I'm trying to understand how to select an MCMC method, but can't really find a description in the documentation. Does one exist somewhere?

Thanks!

[janfb]

good point, we are lacking a bit of documentation here. the slice sampler slice_np (default, info) is a good start and its speed can be increased by using multiple cores (num_workers>1) and / or the vectorized version slice_np_vectorized.

HMC and NUTS are implemented via Pyro and you find more information about them in their docs: https://docs.pyro.ai/en/stable/mcmc.html