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ailun | 1 year ago

You'll lose a lot of the PyMC convenience functions with Numpyro but gain a lot of control and flexibility over your model specification. If you're doing variational inference, Numpyro is the way to go.

You can use the Numpyro NUTS sampler in PyMC with pm.sample(nuts_sampler="numpyro") and it will significantly speed up sampling. It is less stable in my experience.

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