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Allow for more general chain_method in MCMC #1825

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merged 1 commit into from
Jul 1, 2024

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@fehiepsi fehiepsi commented Jul 1, 2024

Fixes #1725

Currently, we only support "vectorized" chain method in HMC/NUTS. This PR allows chain_method to be a callable, so that users can use vectorized method via chain_method=jax.vmap.

I found this is simpler than supporting vmap explicitly for each kernel.

@fehiepsi fehiepsi merged commit f4e69eb into pyro-ppl:master Jul 1, 2024
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HMCGibbs with chain_method=”vectorized”
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