Allow setting initial values on autoguides with subsampling
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- Python
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Description
Feature Summary
With a model that allows subsampling (subsample_size=n) it is currently not possible to set initial values on autoguides on parameters that have the same dimension as all data with size N, such that n is a subsample of N.
Why is this needed?
This may be useful for complicated (time series) models where it is useful to set initial values for initializing SVI and one wants to use subsampling. (And one does not use amortization)
See here for a MRE: https://forum.pyro.ai/t/svi-autoguides-subsampling-and-initial-values/
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Use the linked forum MRE as the first reproduction case, then trace NumPyro's autoguide handling of initial values when a model uses subsampling. The work is done when the MRE can set initial values for parameters whose full-data dimension exceeds the subsample size and SVI initializes successfully.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- python
- Domain
- machine-learning
- Issue type
- Feature
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 38/100