DynamicHMCExamples.jl
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discuss optimization, with examples
The documentation should have a section on making models run fast, in particular
- paying attention to effective sample size, and model transformations
- using a different AD framework (reverse mode if that can be made to work, especially for larger problems),
- profiling and benchmarking a calls to
logdensity(LogDensityProblems.Value, ...), fixing all problems, thenlogdensity(LogDensityProblems.ValueGradient, ...). Mention ProfileView package.