Question: MCMChain after VI sampling

[stefanocovino]

Question on: https://github.com/TuringLang/Turing.jl/edit/master/docs/_tutorials/09_variational-inference.md

Actually, it is simply a suggestion rather than a question. In the tutorial, it is shown how to generate a plot of the posterior after having carried out a VI analysis. However, alternatively, it is possible to convert the obtained sample to a MCMChains object and plot the posterior with StatsPlots, PairPlots or, in general, use various tools suited to MCMC chains.

The syntax is really simple. If "sample" is the result of VI analysis, one can have a MCMCChains as:

chain = Chains(sample',[varname1, varname2...])

Where the list of model parameters can be obtained as already shown in the tutorial or even by DynamicPPL.syms(DynamicPPL.VarInfo(m)), if "m" is the Turing model.

I think it could be good having this possibility mentioned in the tutorial.