Connections to `transport_to`
Opened this issue · 2 comments
Hi, I just came across this package. I'm sorry I didn't see it earlier, but wanted to let you know that @oschulz and I have also been talking about this idea of finding a transport for a given prior. He's done a lot more work with this than I have, and as I understand his work in BAT.jl makes it easy to find transports, even for priors with hierarchical dependencies.
Oliver has been moving his packages closer to MeasureTheory.jl, and as I understand BAT v3 will depend directly on MeasureBase.jl. In preparation for this, he recently contributed to MeasureBase, adding some nice core functionality to support computations like this. I'd also like to be able to do this sort of thing from Tilde.jl, where it's very easy for users to represent dependencies.
It would seem useful for us to synchronize these efforts. We could discuss here or in Zulip, or set up a call some time and use this issue for some notes. This week is kind of busy, but maybe if you have some time next week?
Hi! That sounds great! This package was mostly a one-off to allow me to generate quick transformations and I think it would be great to generalize this and allow us to transform to any density. I think a call would be great and I should have some free time next week.
To expand a bit on what @cscherrer wrote above: Transport between many distributions and standard-normal and -uniform distributions are now available via MeasureBase.transport_to and implemented in DistributionsMeasures.jl (ported over from BAT.jl). All uniform distributions are supported, as well as MvNormal and Dirichlet (the latter currently only one-way). The whole still needs improvement/turing for better type stability and we still need to add support for product measures and so on.