Reading · Dr. Juan Camilo Orduz

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In this notebook we describe how to use blackjax ’s pathfinder implementation to do inference with a numpyro model. 
 I am simply putting some pieces together from the following resources (strongly recommended to read): 
 References: 
 
 Blackjax docs: Use with Numpyro models 
 Blackjax Sampling Book: Pathfinder 
 Numpyro Issue #1485 
 PyMC Experimental - Pathfinder…

In this notebook we describe how to use blackjax’s pathfinder implementation to do inference with a numpyro model.

I am simply putting some pieces together from the following resources (strongly recommended to read):

References:

Blackjax docs: Use with Numpyro models
Blackjax Sampling Book: Pathfinder
Numpyro Issue #1485
PyMC Experimental - Pathfinder
Pathfinder: Parallel quasi-Newton variational inference

What and Why Pathfinder?

From the paper’s abstract:

What?

We propose Pathfinder, a variational method for approximately sampling from differentiable log densities. Starting from a random initialization, Pathfinder locates normal approximations to the target density along a quasi-Newton optimization path, with local covariance estimated using the inverse Hessian estimates produced by the optimizer. Pathfinder returns draws from the approximation with the lowest estimated Kullback-Leibler (KL) divergence to the true posterior.

NumPyro with Pathfinder

What and Why Pathfinder?

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