DOCS: explain Compound Step in sampling

[junpenglao]

Currently, there is no information on the compound step method.
There are some examples here and there in the docs, which using a compound step assignment step = [step1, step2]. However, is it unclear:

1. what happen when pymc3 assign sampler under the default condition?
2. the order of step methods. for example, is the next sample propose at the same time or in a sequential manner.
3. is there a way to specify the order of the step methods? Is it possible to do a NUTS within Gibbs kind of idea?
4. some guideline on mixing different sampler, eg bob's comment in #1990.

[springcoil]

Does anyone have any resources that could help with this?

[junpenglao]

I have drafted a notebook explaining this, following a similar discussion on discourse: https://github.com/junpenglao/Planet_Sakaar_Data_Science/blob/master/PyMC3QnA/CompoundStep_Explained.ipynb
Need some help to formatted it and extend it into a proper doc.

[huangy22]

Hi, I want to try to work on this as my first issue. Is it okay? Thanks!

[junpenglao]

Absolutely! If you have any additional question feel free to post it on discourse.

[huangy22]

I wrote some explanation in the sample function (PR #3014) and please let me know if there's any improvement I could make! Thank you!

[junpenglao]

close via #3014