GPU and Thread-Parallel Support for Turing.jl

[EvoArt]

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Parallelism within Turing.jl model

Hi there, just wondering how safe it is to use Threads.@threads for loops within turing models e.g. @model function my_func(Y) alpha ~ Normal(0,1) sigma ~ Normal(0,1) Threads.@threads for i in 1:size(Y)[2] Y[:,j] .~ Normal(alpha,sigma) end end This seems to work on my laptop. But I don’t currently have more than 1 thread available to me, so I can’t test it out properly. Is there any reason to avoid this in Turing? Would also be nice to get a general view of how nice…