sbi Add new MCMC samplers

PyMC
torch library for MCMC?
compile with torch-compile?
numpyro: https://github.com/pyro-ppl/numpyro

Jan 16 '24 16:01 michaeldeistler

another one: https://github.com/blackjax-devs/blackjax maybe we can write a wrapper to jax or use this workaround: https://blackjax-devs.github.io/blackjax/examples/howto_other_frameworks.html

Feb 21 '24 08:02 janfb

Additional context:

We can include more options for MCMC sampling from external libraries. E.g. for pyro, this required writing this wrapper (Note: if we add other external MCMC samplers, we should rename this to PyroMCMC) and this interface. One can create a similar interface for other MCMC samplers, see examples above. As suggested in #703 we should add tests that these wrappers sample correctly. A speed comparison could also be useful, as would a FAQ entry on which sampler to use.

Feb 29 '24 17:02 gmoss13

good first issue? happy to help crunch this for the hackathon

Mar 13 '24 20:03 lappalainenj

Probably an advanced good first issue but it does not require knowing sbi really. The main task is to find an interface between our MCMC API and that of the MCMC backend.