Summary

This PR introduces more informative progress bars with MCMCThreads which can be configured by the user (see options below).

In today's meeting it was generally agreed that having one progress bar per chain was more informative / useful, and that an upper bound could be placed to disable that by default if there were more than MAX_CHAINS_PROGRESS chains.

This PR sets MAX_CHAINS_PROGRESS = 10. The user can override the default on a case-by-case basis using the Symbol versions of progress, or can globally set the threshold using setmaxchainsprogress!(N).

For MCMCSerial no change is made (it already had one progress bar per chain).

For MCMCDistributed, progress = :overall is implemented (progress = true is a synonym for that) but progress = :perchain isn't, not for any good technical reason, but because it was just too much of a faff. I think that in principle it's possible to implement it similarly to how it's done for MCMCThreads (i.e., generate one UUID per chain), but I think each chain has to communicate back to the parent worker using a RemoteChannel, and there needs to be a way of disentangling the inputs from different chains (so you either need N RemoteChannels or the channel needs to take a chain ID). I suppose if somebody really, really wants it I could do it, but given that :overall already works I am hoping nobody will complain.

In a technical sense this is accomplished by passing richer objects in the progress keyword argument (see src/logging.jl). This does mean that people should not override progress in their own implementations (I have added a warning in the docs) but it is IMO better than using callbacks.

The videos below demonstrate the behaviour for MCMCThreads.

Closes #82
Closes TuringLang/Turing.jl#2264

Setup

using AbstractMCMC
struct M <: AbstractMCMC.AbstractModel end
struct S <: AbstractMCMC.AbstractSampler end
function AbstractMCMC.step(rng, ::M, ::S, state=nothing; kwargs...)
    sleep(0.001)
    rand(rng), nothing
end

progress=:perchain

# One progress bar per chain, plus one overall progress bar which tracks number of chains
sample(M(), S(), MCMCThreads(), 500, 6; progress=:perchain)

progress=:overall

# One overall progress bar which tracks the number of samples
sample(M(), S(), MCMCThreads(), 500, 6; progress=:perchain)

progress=true

# Uses :perchain for 10 or fewer chains, :overall for more than 10 chains
# This is still the default option
sample(M(), S(), MCMCThreads(), 500, 6; progress=true)
sample(M(), S(), MCMCThreads(), 200, 11; progress=true)

progress=false or progress=:none

# No progress bars at all
# `progress=:none` also works. We have to preserve the boolean values though so that
# `setprogress!(false)` works globally
sample(M(), S(), MCMCThreads(), 500, 6; progress=false)

Bonus: :perchain and :overall on Pluto (it's pretty)

Bonus: :perchain in iJulia (in VSCode; it's not pretty)

Bonus: :overall in iJulia (works fine)