Turing.jl Newsletter 10
LKJCholesky
Sampling LKJCholesky with HMC/NUTS has, until now, failed because of numerical instabilities (you’d usually get a DomainError somewhere). Bijectors.jl has gotten a couple of fixes (here and here, just released v0.15.8 today that contains both of these) that should fix this, hopefully once and for all! (There are still some issues with LKJ itself, see this PR. But now with LKJCholesky working there is less need for LKJ :))
Multiple-chain progress bars
Not released yet, but you might like to see this PR (and the videos therein!) which, if merged, will provide more detailed progress bars when sampling with MCMCThreads() or MCMCDistributed(). Currently, the default is that for 10 chains or fewer you’ll get one progress bar per chain; above that there’ll just be one overall progress bar, but it’ll update more than once per chain. That’s customisable, and if you think the default should be different feel free to drop a line!