pyro-ppl/pyro

Tutorial on implementing custom MCMC samplers

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#2,069 opened on Oct 18, 2019

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Examplesdocumentationhelp wanted

Description

Similar to the tutorial on custom losses in SVI, we should have a tutorial on implementing custom MCMC kernels using the new MCMC API. Something simple like SGLD seems like a good starting point.

Contributor guide

Tech stack
pythonpytorch
Domain
documentation
Issue type
documentation
DifficultyEstimated implementation difficulty for a new contributor, from 1 for very small changes to 5 for expert-level work.
3
Estimated timeA rough time range for an experienced contributor to investigate, implement, test, and prepare a pull request.
1-2 days
Activity statusHow available the issue appears right now: fresh, active, stale, blocked, or waiting on maintainer input.
stale
ClarityHow clearly the issue explains the expected change, acceptance criteria, and next step.
clear
Prerequisites
Basic knowledge of PyroUnderstanding of MCMCPython programming
Newbie friendlinessA 1-100 score estimating how approachable this issue is for first-time contributors.
60
Research direction
Review the existing tutorial on custom losses (http://pyro.ai/examples/custom objectives.html) and adapt its structure for MCMC. Explore the new MCMC API in Pyro's source code to understand kernel interfaces. Implement a simple SGLD kernel following the API, then write a tutorial with explanation and code examples.