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diff --git a/.doctrees/environment.pickle b/.doctrees/environment.pickle
diff --git a/.doctrees/examples/howto_custom_gradients.doctree b/.doctrees/examples/howto_custom_gradients.doctree
diff --git a/.doctrees/examples/howto_metropolis_within_gibbs.doctree b/.doctrees/examples/howto_metropolis_within_gibbs.doctree
diff --git a/.doctrees/examples/howto_other_frameworks.doctree b/.doctrees/examples/howto_other_frameworks.doctree
diff --git a/.doctrees/examples/howto_reproduce_the_blackjax_image.doctree b/.doctrees/examples/howto_reproduce_the_blackjax_image.doctree
diff --git a/.doctrees/examples/howto_sample_multiple_chains.doctree b/.doctrees/examples/howto_sample_multiple_chains.doctree
diff --git a/.doctrees/examples/howto_use_aesara.doctree b/.doctrees/examples/howto_use_aesara.doctree
diff --git a/.doctrees/examples/howto_use_numpyro.doctree b/.doctrees/examples/howto_use_numpyro.doctree
diff --git a/.doctrees/examples/howto_use_oryx.doctree b/.doctrees/examples/howto_use_oryx.doctree
diff --git a/.doctrees/examples/howto_use_pymc.doctree b/.doctrees/examples/howto_use_pymc.doctree
diff --git a/.doctrees/examples/howto_use_tfp.doctree b/.doctrees/examples/howto_use_tfp.doctree
diff --git a/.doctrees/examples/quickstart.doctree b/.doctrees/examples/quickstart.doctree
diff --git a/.doctrees/index.doctree b/.doctrees/index.doctree
diff --git a/_images/0ca6f5456ab0235849fb5e08eac89dfed16af699faa77b172838169670b30a91.png b/_images/0ca6f5456ab0235849fb5e08eac89dfed16af699faa77b172838169670b30a91.png
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diff --git a/_images/e2bdfe265829e30098c9254f23da12d03a806de1a33cec7a5cf6713429638145.png b/_images/e2bdfe265829e30098c9254f23da12d03a806de1a33cec7a5cf6713429638145.png
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diff --git a/_modules/blackjax/adaptation/base.html b/_modules/blackjax/adaptation/base.html
@@ -31,7 +31,7 @@
     <link rel="stylesheet" type="text/css" href="../../../_static/styles/sphinx-book-theme.css?v=a3416100" />
     <link rel="stylesheet" type="text/css" href="../../../_static/mystnb.4510f1fc1dee50b3e5859aac5469c37c29e427902b24a333a5f9fcb2f0b3ac41.css" />
     <link rel="stylesheet" type="text/css" href="../../../_static/graphviz.css?v=fd3f3429" />
-    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=87e54e7c" />
+    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=95c83b7e" />
     <link rel="stylesheet" type="text/css" href="../../../_static/custom.css?v=e37d73aa" />
 
   <!-- Pre-loaded scripts that we'll load fully later -->

diff --git a/_modules/blackjax/adaptation/chees_adaptation.html b/_modules/blackjax/adaptation/chees_adaptation.html
@@ -31,7 +31,7 @@
     <link rel="stylesheet" type="text/css" href="../../../_static/styles/sphinx-book-theme.css?v=a3416100" />
     <link rel="stylesheet" type="text/css" href="../../../_static/mystnb.4510f1fc1dee50b3e5859aac5469c37c29e427902b24a333a5f9fcb2f0b3ac41.css" />
     <link rel="stylesheet" type="text/css" href="../../../_static/graphviz.css?v=fd3f3429" />
-    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=87e54e7c" />
+    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=95c83b7e" />
     <link rel="stylesheet" type="text/css" href="../../../_static/custom.css?v=e37d73aa" />
 
   <!-- Pre-loaded scripts that we'll load fully later -->

diff --git a/_modules/blackjax/adaptation/mass_matrix.html b/_modules/blackjax/adaptation/mass_matrix.html
@@ -31,7 +31,7 @@
     <link rel="stylesheet" type="text/css" href="../../../_static/styles/sphinx-book-theme.css?v=a3416100" />
     <link rel="stylesheet" type="text/css" href="../../../_static/mystnb.4510f1fc1dee50b3e5859aac5469c37c29e427902b24a333a5f9fcb2f0b3ac41.css" />
     <link rel="stylesheet" type="text/css" href="../../../_static/graphviz.css?v=fd3f3429" />
-    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=87e54e7c" />
+    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=95c83b7e" />
     <link rel="stylesheet" type="text/css" href="../../../_static/custom.css?v=e37d73aa" />
 
   <!-- Pre-loaded scripts that we'll load fully later -->

diff --git a/_modules/blackjax/adaptation/mclmc_adaptation.html b/_modules/blackjax/adaptation/mclmc_adaptation.html
@@ -31,7 +31,7 @@
     <link rel="stylesheet" type="text/css" href="../../../_static/styles/sphinx-book-theme.css?v=a3416100" />
     <link rel="stylesheet" type="text/css" href="../../../_static/mystnb.4510f1fc1dee50b3e5859aac5469c37c29e427902b24a333a5f9fcb2f0b3ac41.css" />
     <link rel="stylesheet" type="text/css" href="../../../_static/graphviz.css?v=fd3f3429" />
-    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=87e54e7c" />
+    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=95c83b7e" />
     <link rel="stylesheet" type="text/css" href="../../../_static/custom.css?v=e37d73aa" />
 
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diff --git a/_modules/blackjax/adaptation/meads_adaptation.html b/_modules/blackjax/adaptation/meads_adaptation.html
@@ -31,7 +31,7 @@
     <link rel="stylesheet" type="text/css" href="../../../_static/styles/sphinx-book-theme.css?v=a3416100" />
     <link rel="stylesheet" type="text/css" href="../../../_static/mystnb.4510f1fc1dee50b3e5859aac5469c37c29e427902b24a333a5f9fcb2f0b3ac41.css" />
     <link rel="stylesheet" type="text/css" href="../../../_static/graphviz.css?v=fd3f3429" />
-    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=87e54e7c" />
+    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=95c83b7e" />
     <link rel="stylesheet" type="text/css" href="../../../_static/custom.css?v=e37d73aa" />
 
   <!-- Pre-loaded scripts that we'll load fully later -->

diff --git a/_modules/blackjax/adaptation/pathfinder_adaptation.html b/_modules/blackjax/adaptation/pathfinder_adaptation.html
@@ -31,7 +31,7 @@
     <link rel="stylesheet" type="text/css" href="../../../_static/styles/sphinx-book-theme.css?v=a3416100" />
     <link rel="stylesheet" type="text/css" href="../../../_static/mystnb.4510f1fc1dee50b3e5859aac5469c37c29e427902b24a333a5f9fcb2f0b3ac41.css" />
     <link rel="stylesheet" type="text/css" href="../../../_static/graphviz.css?v=fd3f3429" />
-    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=87e54e7c" />
+    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=95c83b7e" />
     <link rel="stylesheet" type="text/css" href="../../../_static/custom.css?v=e37d73aa" />
 
   <!-- Pre-loaded scripts that we'll load fully later -->

diff --git a/_modules/blackjax/adaptation/step_size.html b/_modules/blackjax/adaptation/step_size.html
@@ -31,7 +31,7 @@
     <link rel="stylesheet" type="text/css" href="../../../_static/styles/sphinx-book-theme.css?v=a3416100" />
     <link rel="stylesheet" type="text/css" href="../../../_static/mystnb.4510f1fc1dee50b3e5859aac5469c37c29e427902b24a333a5f9fcb2f0b3ac41.css" />
     <link rel="stylesheet" type="text/css" href="../../../_static/graphviz.css?v=fd3f3429" />
-    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=87e54e7c" />
+    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=95c83b7e" />
     <link rel="stylesheet" type="text/css" href="../../../_static/custom.css?v=e37d73aa" />
 
   <!-- Pre-loaded scripts that we'll load fully later -->

diff --git a/_modules/blackjax/adaptation/window_adaptation.html b/_modules/blackjax/adaptation/window_adaptation.html
@@ -31,7 +31,7 @@
     <link rel="stylesheet" type="text/css" href="../../../_static/styles/sphinx-book-theme.css?v=a3416100" />
     <link rel="stylesheet" type="text/css" href="../../../_static/mystnb.4510f1fc1dee50b3e5859aac5469c37c29e427902b24a333a5f9fcb2f0b3ac41.css" />
     <link rel="stylesheet" type="text/css" href="../../../_static/graphviz.css?v=fd3f3429" />
-    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=87e54e7c" />
+    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=95c83b7e" />
     <link rel="stylesheet" type="text/css" href="../../../_static/custom.css?v=e37d73aa" />
 
   <!-- Pre-loaded scripts that we'll load fully later -->
@@ -725,16 +725,22 @@ <h1>Source code for blackjax.adaptation.window_adaptation</h1><div class="highli
         <span class="k">if</span> <span class="n">progress_bar</span><span class="p">:</span>
             <span class="nb">print</span><span class="p">(</span><span class="s2">&quot;Running window adaptation&quot;</span><span class="p">)</span>
             <span class="n">one_step_</span> <span class="o">=</span> <span class="n">jax</span><span class="o">.</span><span class="n">jit</span><span class="p">(</span><span class="n">progress_bar_scan</span><span class="p">(</span><span class="n">num_steps</span><span class="p">)(</span><span class="n">one_step</span><span class="p">))</span>
+            <span class="n">start_state</span> <span class="o">=</span> <span class="p">((</span><span class="n">init_state</span><span class="p">,</span> <span class="n">init_adaptation_state</span><span class="p">),</span> <span class="o">-</span><span class="mi">1</span><span class="p">)</span>
         <span class="k">else</span><span class="p">:</span>
             <span class="n">one_step_</span> <span class="o">=</span> <span class="n">jax</span><span class="o">.</span><span class="n">jit</span><span class="p">(</span><span class="n">one_step</span><span class="p">)</span>
+            <span class="n">start_state</span> <span class="o">=</span> <span class="p">(</span><span class="n">init_state</span><span class="p">,</span> <span class="n">init_adaptation_state</span><span class="p">)</span>
 
         <span class="n">keys</span> <span class="o">=</span> <span class="n">jax</span><span class="o">.</span><span class="n">random</span><span class="o">.</span><span class="n">split</span><span class="p">(</span><span class="n">rng_key</span><span class="p">,</span> <span class="n">num_steps</span><span class="p">)</span>
         <span class="n">schedule</span> <span class="o">=</span> <span class="n">build_schedule</span><span class="p">(</span><span class="n">num_steps</span><span class="p">)</span>
         <span class="n">last_state</span><span class="p">,</span> <span class="n">info</span> <span class="o">=</span> <span class="n">jax</span><span class="o">.</span><span class="n">lax</span><span class="o">.</span><span class="n">scan</span><span class="p">(</span>
             <span class="n">one_step_</span><span class="p">,</span>
-            <span class="p">(</span><span class="n">init_state</span><span class="p">,</span> <span class="n">init_adaptation_state</span><span class="p">),</span>
+            <span class="n">start_state</span><span class="p">,</span>
             <span class="p">(</span><span class="n">jnp</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="n">num_steps</span><span class="p">),</span> <span class="n">keys</span><span class="p">,</span> <span class="n">schedule</span><span class="p">),</span>
         <span class="p">)</span>
+
+        <span class="k">if</span> <span class="n">progress_bar</span><span class="p">:</span>
+            <span class="n">last_state</span><span class="p">,</span> <span class="n">_</span> <span class="o">=</span> <span class="n">last_state</span>
+
         <span class="n">last_chain_state</span><span class="p">,</span> <span class="n">last_warmup_state</span><span class="p">,</span> <span class="o">*</span><span class="n">_</span> <span class="o">=</span> <span class="n">last_state</span>
 
         <span class="n">step_size</span><span class="p">,</span> <span class="n">inverse_mass_matrix</span> <span class="o">=</span> <span class="n">adapt_final</span><span class="p">(</span><span class="n">last_warmup_state</span><span class="p">)</span>

diff --git a/_modules/blackjax/diagnostics.html b/_modules/blackjax/diagnostics.html
@@ -31,7 +31,7 @@
     <link rel="stylesheet" type="text/css" href="../../_static/styles/sphinx-book-theme.css?v=a3416100" />
     <link rel="stylesheet" type="text/css" href="../../_static/mystnb.4510f1fc1dee50b3e5859aac5469c37c29e427902b24a333a5f9fcb2f0b3ac41.css" />
     <link rel="stylesheet" type="text/css" href="../../_static/graphviz.css?v=fd3f3429" />
-    <link rel="stylesheet" type="text/css" href="../../_static/sphinx-design.min.css?v=87e54e7c" />
+    <link rel="stylesheet" type="text/css" href="../../_static/sphinx-design.min.css?v=95c83b7e" />
     <link rel="stylesheet" type="text/css" href="../../_static/custom.css?v=e37d73aa" />
 
   <!-- Pre-loaded scripts that we'll load fully later -->

diff --git a/_modules/blackjax/mcmc/barker.html b/_modules/blackjax/mcmc/barker.html
@@ -31,7 +31,7 @@
     <link rel="stylesheet" type="text/css" href="../../../_static/styles/sphinx-book-theme.css?v=a3416100" />
     <link rel="stylesheet" type="text/css" href="../../../_static/mystnb.4510f1fc1dee50b3e5859aac5469c37c29e427902b24a333a5f9fcb2f0b3ac41.css" />
     <link rel="stylesheet" type="text/css" href="../../../_static/graphviz.css?v=fd3f3429" />
-    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=87e54e7c" />
+    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=95c83b7e" />
     <link rel="stylesheet" type="text/css" href="../../../_static/custom.css?v=e37d73aa" />
 
   <!-- Pre-loaded scripts that we'll load fully later -->

diff --git a/_modules/blackjax/mcmc/diffusions.html b/_modules/blackjax/mcmc/diffusions.html
@@ -31,7 +31,7 @@
     <link rel="stylesheet" type="text/css" href="../../../_static/styles/sphinx-book-theme.css?v=a3416100" />
     <link rel="stylesheet" type="text/css" href="../../../_static/mystnb.4510f1fc1dee50b3e5859aac5469c37c29e427902b24a333a5f9fcb2f0b3ac41.css" />
     <link rel="stylesheet" type="text/css" href="../../../_static/graphviz.css?v=fd3f3429" />
-    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=87e54e7c" />
+    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=95c83b7e" />
     <link rel="stylesheet" type="text/css" href="../../../_static/custom.css?v=e37d73aa" />
 
   <!-- Pre-loaded scripts that we'll load fully later -->

diff --git a/_modules/blackjax/mcmc/dynamic_hmc.html b/_modules/blackjax/mcmc/dynamic_hmc.html
@@ -31,7 +31,7 @@
     <link rel="stylesheet" type="text/css" href="../../../_static/styles/sphinx-book-theme.css?v=a3416100" />
     <link rel="stylesheet" type="text/css" href="../../../_static/mystnb.4510f1fc1dee50b3e5859aac5469c37c29e427902b24a333a5f9fcb2f0b3ac41.css" />
     <link rel="stylesheet" type="text/css" href="../../../_static/graphviz.css?v=fd3f3429" />
-    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=87e54e7c" />
+    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=95c83b7e" />
     <link rel="stylesheet" type="text/css" href="../../../_static/custom.css?v=e37d73aa" />
 
   <!-- Pre-loaded scripts that we'll load fully later -->

diff --git a/_modules/blackjax/mcmc/elliptical_slice.html b/_modules/blackjax/mcmc/elliptical_slice.html
@@ -31,7 +31,7 @@
     <link rel="stylesheet" type="text/css" href="../../../_static/styles/sphinx-book-theme.css?v=a3416100" />
     <link rel="stylesheet" type="text/css" href="../../../_static/mystnb.4510f1fc1dee50b3e5859aac5469c37c29e427902b24a333a5f9fcb2f0b3ac41.css" />
     <link rel="stylesheet" type="text/css" href="../../../_static/graphviz.css?v=fd3f3429" />
-    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=87e54e7c" />
+    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=95c83b7e" />
     <link rel="stylesheet" type="text/css" href="../../../_static/custom.css?v=e37d73aa" />
 
   <!-- Pre-loaded scripts that we'll load fully later -->

diff --git a/_modules/blackjax/mcmc/ghmc.html b/_modules/blackjax/mcmc/ghmc.html
@@ -31,7 +31,7 @@
     <link rel="stylesheet" type="text/css" href="../../../_static/styles/sphinx-book-theme.css?v=a3416100" />
     <link rel="stylesheet" type="text/css" href="../../../_static/mystnb.4510f1fc1dee50b3e5859aac5469c37c29e427902b24a333a5f9fcb2f0b3ac41.css" />
     <link rel="stylesheet" type="text/css" href="../../../_static/graphviz.css?v=fd3f3429" />
-    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=87e54e7c" />
+    <link rel="stylesheet" type="text/css" href="../../../_static/sphinx-design.min.css?v=95c83b7e" />
     <link rel="stylesheet" type="text/css" href="../../../_static/custom.css?v=e37d73aa" />
 
   <!-- Pre-loaded scripts that we'll load fully later -->

diff --git a/_modules/blackjax/mcmc/hmc.html b/_modules/blackjax/mcmc/hmc.html
@@ -31,7 +31,7 @@
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