Gausian Mixture Model takes too long to sample

So that first example takes 2 minutes to sample on my machine and it doesn’t sample particularly well given how simple the model is. Not sure that’s useful, but maybe it provides some reference.

One thing that is going to slow sampling quite a bit (and hurt sampling over all) is the use of the categorical parameters z. It is strongly recommended to marginalize these parameters out. You can see an example of that here.

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