Defining Statistical Models in Jax?
https://statmodeling.stat.columbia.edu/2024/10/08/defining-statistical-models-in-jax/#commentsI've had a lot of success with Numpyro (a JAX library), and used quite a lot of tools that are simpler interfaces to Stan. I've also had to write quite a few model-specific things from scratch by hand (more for sequential Monte Carlo than MCMC). I'm very excited for a world where PPLs become scalable and easier to use /customize.
> I think there is a good chance that normalizing flow-based variational inference will displace MCMC as the go-to method for Bayesian posterior inference as soon as everyone gets access to good GPUs.
Wow. This is incredibly surprising. I'm only tangentially aware of normalizing flows, but apparently I need to look at the intersection of them and Bayesian statistics now! Any sources from anyone would be most appreciated!
Danilo Rezende and Shakir Mohamed. Variational inference with normalizing flows. In ICML, 2015. Link: https://bigdata.duke.edu/wp-content/uploads/2022/08/1505.057...
Laurent Dinh, David Krueger, and Yoshua Bengio. Nice: Non-linear independent components estimation. In ICLR Workshop, 2015. Link: https://arxiv.org/pdf/1410.8516
And for your direct question, the following paper "Efficient Bayesian Sampling Using Normalizing Flows to Assist Markov Chain Monte Carlo Methods" appears upon a superficial glance to be relevant. Link: https://arxiv.org/pdf/2107.08001
Where does the name "normalizing flows" come from?
would be better link than (currently) posted
https://statmodeling.stat.columbia.edu/2024/10/08/defining-s...