We have been using Klara.jl for some of our projects, and are looking for alternatives (due to that package no longer being maintained).
I’m really looking for something where I can just provide a callback for the log-density target function, pass that to a sampler and get a chain back. I am in particular not interested in fancy modeling environments, graphical representations of the problem or anything like that. From that point of view, the API of DynamicHMC.jl looks great. But, it seems to only support one sampling algorithm, and in particular one where we need to provide gradients, which we don’t have.
The sampler that we used from Klara.jl in the past was the RAM sampler. So in my ideal world, we would use a package with an API similar to DynamicHMC.jl that allows us to use that sampler. Does that exist?
In general, are there any efforts to provide robust, solid implementations of just the different samplers that exist in the literature? Maybe in such a way that they could be re-used by the higher level modeling packages, but could also be used directly by folks that are only interested in the samplers, not the modeling environments?