I am interested in estimating the posterior of a model from a weighted data set.
Every data point has an associated weight. For a data point with weight W, I want the inference algorithm to update the posterior as if there were W copies of that data point in the observed data set (even if W is not an integer).
Is there a way to weight data points during inference in Pyro, and if not, how difficult would it be to extend Pyro to do this?
I believe this functionality should be a priority for Pyro going forward, because weighted coreset methods allow extending Bayesian approaches to much larger datasets. See: https://arxiv.org/abs/1710.05053