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Add a note that Trace_EnumELBO does not work with AutoContinuous #1796

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May 12, 2024
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Add a note that Trace_EnumELBO does not work with AutoContinuous #1796

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4 changes: 4 additions & 0 deletions numpyro/infer/elbo.py
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Expand Up @@ -1016,13 +1016,17 @@ class TraceEnum_ELBO(ELBO):
is constructed along the lines of reference [1] specialized to the case
of the ELBO. It supports arbitrary dependency structure for the model
and guide.

Fine-grained conditional dependency information as recorded in the
trace is used to reduce the variance of the gradient estimator.
In particular provenance tracking [2] is used to find the ``cost`` terms
that depend on each non-reparameterizable sample site.
Enumerated variables are eliminated using the TVE algorithm for plated
factor graphs [3].

.. note:: Currently, the objective does not support AutoContinous guides.
We recommend users to use AutoNormal guide as an alternative auto solution.

References

[1] `Storchastic: A Framework for General Stochastic Automatic Differentiation`,
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