Feature request: parallel vb sampling from posterior

[stemangiola]

Summary:

I was wondering how hard would be to sample in parallel from the approximate posterior from variational bayes.

Description:

In my algorithm I explore the tails of many distributions to arbitrary precision to detect outliers, giving the user the possibility to set the desired % of false positives. https://github.com/stemangiola/ppcSeq

Generally the inference is really quick and consistent with HMC, but then the algorithm seats for long minutes sampling from the posterior. Since it is an approximate posterior would be easy to spread that sampling through multiple cores? That would be really great.

Reproducible Steps:

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Current Output:

The current output. Knowing what is the current behavior is useful.

Expected Output:

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Additional Information:

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Current Version:

v2.20.0