Parallel chains with variational Bayes

Is it possible to run in parallel many chains for variational Bayes (vb from RStan)?

Basically for some models (of which all parameters have normal distribution checked with NUTS) I have to explore the tails of the posterior with many draws, and although the inference is somewhat quick, the sampling stage takes hours.

If I could split those draws among parallel chains would be amazing. I could do it manually but I don’t know how to print the progresses for all chains to the user. Usually with parallelism in R I loose the standard output.


Not currently