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Implement AutoWrap and AutoWrapFull guides#2928

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Implement AutoWrap and AutoWrapFull guides#2928
fritzo wants to merge 1 commit into
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auto-wrap

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@fritzo fritzo commented Sep 9, 2021

Addresses #2813

This implements a new method of constructing autoguides, AutoWrap, that allow guides to leverage deterministic computations in the model, e.g. those introduced by reparameterization.

Tasks

  • mask model sites in the guide?
  • return deterministic sites in get_dependencies()
  • trace all sites in ._setup_prototype()
  • replace matrix-vector ops with einsum ops
  • avoid re-running the model in SVI
  • avoid re-running the model in Predictive

Tested

  • add to test_autoguide.py
  • test structure inference
  • test on a real world model

@fritzo fritzo added the WIP label Sep 9, 2021
@fritzo fritzo marked this pull request as draft September 9, 2021 23:04
@fritzo fritzo mentioned this pull request Sep 13, 2021
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fritzo commented Sep 14, 2021

Closing in favor of #2929

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