Bijectors and initial values to NUTS

Hi,

I have a question about the initial values passed to a NUTS sampler with constraining bijectors. As far as I understand, the initial values should be in the constrained space, right? If so - perhaps it would be more "friendly" to accept initial values from the unconstrained space? It took me a while to figure out why NUTS is returning nans...

I guess it's not too complicated (for the user, that is) to add something like

current_state=[bijector.forward(init) for bijector, init in zip(bijectors_list, initial_states)],

when calling the sample_mcmc function (this seems to work, at least in a simple example); Just raising the point to hear other people's thoughts on this.

Start by tracing the sample_mcmc entry point and how constraining bijectors and current_state are handled. Determine whether initial values should be accepted in unconstrained space, then define the expected behavior for invalid values and NaNs. Done means the API decision is implemented or documented with coverage for the relevant initialization path.