Hi,
I have defined a model which I am fitting with NUTS and in many cases I am finding that the time taken to compile the MCMC object is a significant portion of the time required to fit the model. This problem is accentuated because it frequently doesn’t converge at the first attempt and I have to increase num_warmup
, which as far as I can tell means rebuilding the MCMC object before rerunning it Therefore, even with jit_model_args=True
it still requires recompiling the model before it can be run
My question is, does numpyro provide a way to increase the number of warmup steps of an MCMC object without requiring the model to be recompiled before it can be run? I cannot see anything in the documentation describing this, but I would be surprised if I was the first person to wish to do this so I was wondering if there is anything I have missed?
Thanks in advance