[FR] initialize MCMC from a given state

[ssnl]

Issue Description

Sometimes we have domain knowledge about a good initial state, e.g., when the code is run in an online fashion and we want to incorporate new observations into existing inference. In such cases, it would be useful to have a way to initialize MCMC with a given state, or distribution of state values (e.g., maybe represented by a model itself).

[fehiepsi]

Hi @ssnl , right now you can change initial_trace of an MCMC kernel as follows:

initial_trace = pyro.poutine.trace(model).get_trace(*args, **kwargs)  # args, kwargs are arguments of your model
initial_trace.nodes["a"]["value"] = initial_a
nuts_kernel.initial_trace = initial_trace  # this changes the initial_trace of a kernel

As a side note, right now we don't have a public interface to set initial_traces for different chains. I'll think about how to support it if it is useful for you.

[ssnl]

@fehiepsi Thanks! This code snippet is helpful!

[fehiepsi]

Now, MCMC class has an initial_params arg which allows users set initial params for different chains (instead of traces).