Supply list of kernels to tfp.mcmc.sample_chain

Sometime when sampling from complex models, it would be handy to provide a list of kernels to tfp.mcmc.sample_chain instead of just one. As a simple example, suppose I have a joint probability distribution, with density function $\pi(\theta, \phi, \psi)$ where $-\infty < \theta, \phi < \infty$ and $\psi \in {-1, 0, 1}$. Here, I might need two kernels: an HMC for $\theta, \phi$ and a Metropolis Hastings for $\psi$.

Could we have a feature for composing such updates, as currently it is not obvious how to achieve this?

Thanks,

Chris

Start at tfp.mcmc.sample_chain and review how it currently accepts and applies a single kernel. Define how a list of kernels should be composed for the joint distribution example, and consider how completion would be demonstrated for HMC and Metropolis-Hastings updates.