pymc-devs/pymc — pull request #587 by twiecki (2014-08-16 21:09:55+00:00)
Title: Implement non-blocked sampling for array based samplers.

Before, all our samples opearted in the joint space. This often leads to bad convergence for metropolis or slice.

This adds functionality to set `blocked=False` when instantiating any sampler which will instead create a step-method for each RV and append them to a `CompoundStep`.

Samplers like metropolis and slice default to not being blocked (as was the case in pymc2 and is what people assume). HMC and NUTS however default to being blocked as they are specifically designed to operate in the joint space.

This supersedes https://github.com/pymc-devs/pymc/pull/450 which took a different approach.