I imagine it depends on which algorithm you’re using - maybe with their VB functionality (I almost entirely use the souped up NUTS algorithm for full Bayesian i

I imagine it depends on which algorithm you’re using - maybe with their VB functionality (I almost entirely use the souped up NUTS algorithm for full Bayesian inference). It also likely depends on how well conditioned your model is - even if you can get it to run for huge models on reasonable hardware, convergence may not be practical.