I am trying to estimate the posterior for hyperparameters of a covariance function. Here is a Kruschke diagram of my model. [GP_param] I am looking for speedups preferably using NUTS as it seems to sample the hyperparameters better. Although, Metropolis is ~100x faster for a given sample (althoug…

Advice for speeding up sampling for models with multiple evaluations of Cholesky factors

junpenglao October 31, 2019, 2:38pm 2

Maybe try the pm.GP with approximation? From a quick look these is nothing obvious to speed up

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