You might want to use consencus MCMC Tutorial or example on embarrassingly parallel/consensus MCMC · Issue #417 · pyro-ppl/numpyro · GitHub See also numpyro/notebooks/source/covtype.ipynb at 07c801d420b87bf79bd10fb790cb409158b257e5 · pyro-ppl/numpyro · GitHub for some ideas.
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