Implement AutoGaussian guide (#2929)

* Implement front-end of AutoGaussian guide

* Implement funsor backend

* Break plates causing collision

* Fix some tests

* Support monte carlo particles

* Tweak variable order of cholesky parametrization

* Register docstring

* Split up methods, split up tests, add new tests, mark stage=funsor

* Fix get_dependencies() to handle pyro.factor

* Add failing test for plated sampling

* Add regression tests for get_dependencies()

* lint

* Use funsor.recipes.forward_filter_backward_rsample

* Fix & strengthen tests

* Reflect

* Add another exact test

* Simplify log_density computation

* Switch from precision to precision_chol parameters

* Add test of Gaussian .rsample() and .log_prob()

* Sketch dense backend

* Update docs

* Perfect precision parametrization (breaking both backends)

* Minor updates

* Change precision representation, start fixing dense backend

* Add more tests

* Refactor to use a class hierarchy

* Flesh out dense backend (some tests fail)

* Fix tests, simplify init logic

* Add a pyro-cov poisson example model

* Flesh out funsor backend

* Add tests, update docs

* Be safer about importing funsor

* Fix more tests

* Add a test

* Simplify; fix bugs

* Tweak test parameters

* Revert unnecessary change

* Mark test funsor stage

* Wrap intractable error in NotImplemented

* Fix serialization tests

* fix typo

docs/source/infer.autoguide.rst

@@ -8,71 +8,71 @@ AutoGuide
 .. autoclass:: pyro.infer.autoguide.AutoGuide
     :members:
     :undoc-members:
-    :special-members: __call__
+    :member-order: bysource
     :show-inheritance:
 
 AutoGuideList
 -------------
 .. autoclass:: pyro.infer.autoguide.AutoGuideList
     :members:
     :undoc-members:
-    :special-members: __call__
+    :member-order: bysource
     :show-inheritance:
 
 AutoCallable
 ------------
 .. autoclass:: pyro.infer.autoguide.AutoCallable
     :members:
     :undoc-members:
-    :special-members: __call__
+    :member-order: bysource
     :show-inheritance:
 
 AutoNormal
 ----------
 .. autoclass:: pyro.infer.autoguide.AutoNormal
     :members:
     :undoc-members:
-    :special-members: __call__
+    :member-order: bysource
     :show-inheritance:
 
 AutoDelta
 ---------
 .. autoclass:: pyro.infer.autoguide.AutoDelta
     :members:
     :undoc-members:
-    :special-members: __call__
+    :member-order: bysource
     :show-inheritance:
 
 AutoContinuous
 --------------
 .. autoclass:: pyro.infer.autoguide.AutoContinuous
     :members:
     :undoc-members:
-    :special-members: __call__
+    :member-order: bysource
     :show-inheritance:
 
 AutoMultivariateNormal
 ----------------------
 .. autoclass:: pyro.infer.autoguide.AutoMultivariateNormal
     :members:
     :undoc-members:
-    :special-members: __call__
+    :member-order: bysource
     :show-inheritance:
 
 AutoDiagonalNormal
 ------------------
 .. autoclass:: pyro.infer.autoguide.AutoDiagonalNormal
     :members:
     :undoc-members:
-    :special-members: __call__
+    :member-order: bysource
     :show-inheritance:
 
 AutoLowRankMultivariateNormal
 -----------------------------
 .. autoclass:: pyro.infer.autoguide.AutoLowRankMultivariateNormal
     :members:
     :undoc-members:
-    :special-members: __call__
+    :member-order: bysource
     :show-inheritance:
 
 
@@ -81,7 +81,7 @@ AutoNormalizingFlow
 .. autoclass:: pyro.infer.autoguide.AutoNormalizingFlow
     :members:
     :undoc-members:
-    :special-members: __call__
+    :member-order: bysource
     :show-inheritance:
 
 
@@ -90,31 +90,39 @@ AutoIAFNormal
 .. autoclass:: pyro.infer.autoguide.AutoIAFNormal
     :members:
     :undoc-members:
-    :special-members: __call__
+    :member-order: bysource
     :show-inheritance:
 
 AutoLaplaceApproximation
 -----------------------------
 .. autoclass:: pyro.infer.autoguide.AutoLaplaceApproximation
     :members:
     :undoc-members:
-    :special-members: __call__
+    :member-order: bysource
     :show-inheritance:
 
 AutoDiscreteParallel
 --------------------
 .. autoclass:: pyro.infer.autoguide.AutoDiscreteParallel
     :members:
     :undoc-members:
-    :special-members: __call__
+    :member-order: bysource
     :show-inheritance:
 
 AutoStructured
 --------------------
 .. autoclass:: pyro.infer.autoguide.AutoStructured
     :members:
     :undoc-members:
-    :special-members: __call__
+    :member-order: bysource
+    :show-inheritance:
+
+AutoGaussian
+------------
+.. autoclass:: pyro.infer.autoguide.AutoGaussian
+    :members:
+    :undoc-members:
+    :member-order: bysource
     :show-inheritance:
 
 .. _autoguide-initialization:
@@ -125,5 +133,5 @@ Initialization
     :members:
     :undoc-members:
     :special-members: __call__
-    :show-inheritance:
     :member-order: bysource
+    :show-inheritance:

pyro/infer/autoguide/__init__.py

@@ -1,6 +1,7 @@
 # Copyright (c) 2017-2019 Uber Technologies, Inc.
 # SPDX-License-Identifier: Apache-2.0
 
+from pyro.infer.autoguide.gaussian import AutoGaussian
 from pyro.infer.autoguide.guides import (
     AutoCallable,
     AutoContinuous,
@@ -34,6 +35,7 @@
     "AutoDelta",
     "AutoDiagonalNormal",
     "AutoDiscreteParallel",
+    "AutoGaussian",
     "AutoGuide",
     "AutoGuideList",
     "AutoIAFNormal",