If I want to take maximum advantage of the computing power of my 4 GPU machine learning desktop, should I use PyStan or PyMC3 for probabilistic programming in Python?
PyStan or PyMC3 to take advantage of machine learning desktop?
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Honestly, GPU support for both is rather shoddy. Both are works in progress. I'd look elsewhere.
If you're really trying to create a performance optimized model, my recommendation would be to use TensorFlow probability since it has first class GPU support and gives fairly fine-grained control over execution.
There's also NumPyro, which I haven't used personally but looks promising.