2D Gaussian Mixture

[jessegrabowski]

@zach my response here might be relevant to this thread as well:

Why does MAP vastly outperform sample in bayesian clustering?

Typically, if you are getting better results with a “simpler” method (MAP, metropolis, etc), your model has some kind of mis-specification. One of the best and most frustrating things about NUTS is that it fails very loudly. I’m a beginner when it comes to mixture models, but I spent some time playing with your model. As written, you end up with really nonsense results in the non-sorted dimension. After some consultation with @ricardoV94 , I think it’s really important that you use a mixture of…