I have implemented a Bayesian Neural Network similar to this: https://gist.github.com/paraschopra/70a28910ae0d819b4fcd61406ec280db#file-bnn-model-py
Then I sample a trace with NUTS and MCMC, like so:
nuts_kernel = NUTS(model, adapt_step_size=True)
mcmc_run = MCMC(nuts_kernel, num_samples=100, warmup_steps=30).run(inp, outp)
Now that I have a trace of sampled weights for my BNN, I would like to run my model on new data, with parameters from my trace. This feels like something that should be easy to do, but I can’t quite find how to do this in the documentation. What is the canonical way?