find_MAPstill encouraged in practice? i notice a lot of code samples stopped using find_MAP (asked by @kpei)
find_MAP is pretty much discouraged now in most situations. The MAP is not a representative point in high dimensions, because the MAP is usually not in the typical set (Betancourt’s paper is the best reference https://arxiv.org/abs/1701.02434). Moreover, it can make life difficult for NUTS, as the gradients are small at the MAP.
- Is NUTS sampler with ADVI always encouraged? I know that it only supports continuous (asked by @kpei)
Use NUTS when you can, it scales reasonably in higher dimensions. How to properly initialize it is a bit of an open question right now, but advi is probably the best we have at the moment: it gives a very good scaling matrix for NUTS. And in general, the estimation from ADVI is quite close to the posterior from MCMC (you can even get better result using FullRankADVI)
[EDIT]: We now have a new default for initialising NUTS, which is close to what STAN does by adapting the mass matrix during tuning.