I am looking for MCMC codes with a GPU suport (like NVIDIA or OpenCL libraries) to make faster run chains in Python. I would like also, in a second time, to find the equivalent with a C++ library that allows to perform this (but let's start firstly with Python).
In cosmology, in order to estimate the posterior, there is a plenty of codes that does MCMC but which ones could allow to exploit GPU power with MCMC ?
In particular, I wonder if I could associate a GPU thread for each chain and finally agregate them at the end by summing the histogram of each one and then get the final posterior. I know this kind of thing is already done with MPI where each process is associated to a chain.
From your different advices, it seems that we could benefit from GPU with Pytorch for MCMC (but caution, I don't want to introduce deep learning for the moment). But I am open to any solutions.
Could anyone send me an example of bayesian inference with a GPU benefit in Python, I would be grateful.
from Looking for GPU support on Markov-chain Monte-Carlo (MCMC) in Python ( codes for example based on PyTorch library)
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