What’s your favourite MCMC method/technique atm? I know this can be quite domain dependent, but curious. From my experience, it can seem more of an art than a science at times.
I am also really interested to see if CHEES HMC (https://proceedings.mlr.press/v130/hoffman21a.html) makes it as a viable in-the-wild inference technique since it gets around the nastiness of writing NUTS as a recursive algorithm on hardware (GPU / TPU) generally not friendly to that type of control flow.