I think I generally agree with the majority of the comments here that burn in can serve a useful purpose (especially if you can't find a high probability density point to start from), but I also wonder: if burn-in vs no burn-in makes a large difference in your outcome, aren't you likely just not running your chain long enough? Sure, if you choose a bad starting point, your initial samples might not be representative of the overall distribution, but if a handful of non-representative points can massively impact your result, then I'm not sure how stable your result was to begin with (how do you know there isn't some other set of low-probability high-impact points that your sampler just missed through luck?). People tend to have a cognitive bais towards distributions looking pretty (eg not having random chains off to the side as in the article), but I'm not sure it makes a real difference.
That said, I do think burn in is a pretty reasonable way to find a good starting point if you don't have existing knowledge about the distribution. From a practical standpoint, has anyone actually seen a massive difference between runs with/without burn in? kinda curious how often it really matters
That said, I do think burn in is a pretty reasonable way to find a good starting point if you don't have existing knowledge about the distribution. From a practical standpoint, has anyone actually seen a massive difference between runs with/without burn in? kinda curious how often it really matters