I've had a lot of success with Numpyro (a JAX library), and used quite a lot of tools that are simpler interfaces to Stan. I've also had to write quite a few model-specific things from scratch by hand (more for sequential Monte Carlo than MCMC). I'm very excited for a world where PPLs become scalable and easier to use /customize.
> I think there is a good chance that normalizing flow-based variational inference will displace MCMC as the go-to method for Bayesian posterior inference as soon as everyone gets access to good GPUs.
Wow. This is incredibly surprising. I'm only tangentially aware of normalizing flows, but apparently I need to look at the intersection of them and Bayesian statistics now! Any sources from anyone would be most appreciated!