Can I use a theano operation that evaluates to a vector as the log-likelihood for NUTS? In this case, would theano try to optimize each element of the array of log-likelihood independently?
I want to know if NUTS can do this for the following reason. The calculation of my log-likelihood requires iteration over the whole data set. The current iteration depends on the previous iteration. If I try to calculate 1000 log-likelihood for 1000 sets of parameters parallely, I might be able to use the GPU to increase throughput.
Tensorflow’s Hamiltonian Monte Carlo can do that. But Tensorflow doesn’t have NUTS.
https://www.tensorflow.org/probability/api_docs/python/tfp/mcmc/HamiltonianMonteCarlo