cuda support

[martinjankowiak]

hello, thanks for the interesting package!

i'm interested in running the polya gamma scheme for the Logistic and LogisticSoftMax likelihoods (for a baseline for a possible paper). i would like to do this on a GPU. as i understand it the package provides support for this, but i have zero experience with julia and so i am at a loss how to proceed. can you please provide a minimal example? as far as i can tell all the provided examples are CPU only.

as i understand it to use these particular models i need to combine the following ingredients:

• SVGP
• LogisticLikelihood or LogisticSoftMaxLikelihood
• AnalyticSVI (since i want mini-batching)

is that right?

[theogf]

Hi, thanks for your interest!

The package such that it should be compatible with GPUs, however I never tried it myself...
One main reason is that I don't believe that for the variational updates one could see a real improvement. The biggest boost from GPU is matrix multiplication operations and those are not so present (to my knowledge). This could be worth a try though