MCMC, a way to specify starting points to sample


#1

For the MCMC part of Pyro, I notice that currently there is no way to specify starting points to sample from (if there is a way already, please let me know!). I don’t notice it either in the future areas of improvement for HMC/NUTS here. Is there a plan to incorporate this? This would be useful for instance if I want to start my samples from the MAP of the parameters. Thanks!


Specify a First Sample Value/Alternative to PyMC `testval`
#2

Thanks for the suggestion. I think there is a more general issue of choosing better strategies for initialization, e.g. using ADVI, MAP etc., that we would like to explore at some point. The ability to control the initial trace to begin sampling from could be more generally useful. I added this to the issue. The option to provide the initial trace should be a small change, and I will add it soon. In the meantime, you could intercept the initial_trace method in HMC to unblock yourself.