To begin I tried logging in with GitHub and also creating an account on the pyro forums, but neither of those is working.

Problem

I need to fit a batch of four independent Gaussian Processes and I don't want to have to use for loops for fitting each one. The current GP's are able to broadcast properly to my outputs, but I can't batch them so that the inputs are independent.

My input d

Summary:

It'd be nice to have a builder pattern for var contexts to make them easy to construct for testing. Something that could be used like this:

MatrixXd m(3, 2); 
...
var_context vc
  = var_context::builder()
    .matrix("a", m)
    .real("f", 2.3)
    .build();

Current Version:

v2.23.0

Hi @JavierAntoran @stratisMarkou,

First of all, thanks for making all of this code available - it's been great to look through!

Im currently spending some time trying to work through the Weight Uncertainty in Neural Networks in order to implement Bayes-by-Backprop. I was struggling to understand the difference between your implementation of `Bayes-by-Bac

Currently, we support stax but it lacks some popular layers such as RNN. Some other candidates include flax, haiku. It might not take much effort to use those libraries in NumPyro.

We might start with some utilities/handlers in numpyro.contrib.flax or `n