Three Samplers, One Posterior: NUTS vs. Emcee vs. Nested Sampling
Critical empirical analysis of sampling algorithms that ML researchers use for Bayesian inference and model comparison.
AI Summary
Empirical comparison of NUTS, emcee, and nested sampling reveals that while NUTS is fastest for smooth problems, it fails on distributions where dynesty performs reliably but with optimistic error estimates.
Excerpt
Benchmarking NumPyro, affine-invariant MCMC, and dynesty against exact ground truth and watching them fail. The post Three Samplers, One Posterior: NUTS vs. Emcee vs. Nested Sampling appeared first on Towards Data Science.
