Potential extension to `compute_log_probs` to facilitate VI model diagnostics

[hessammehr]

It often happens that you want to diagnose a VI fit, specifically examining how well the guide fits the prior, the data, etc. So far, I've been using a function like the following but would be interested to know if there are better established alternatives and, if not, whether it would be an appropriate as a backwards compatible extension to the newly introduced (and very useful) compute_log_probs function (or perhaps as a separate function).

def compute_log_probs(
    model,
    model_args: tuple,
    model_kwargs: dict,
    model_params: dict,
    guide=None,
    guide_params:dict=None,
    sum_log_prob: bool = True,
):
    from numpyro.infer.util import compute_log_probs as clp
    from numpyro.handlers import trace, replay, substitute
    if guide:
        guide_trace = trace(substitute(guide, guide_params or {})).get_trace(*model_args, **model_kwargs)
        model = replay(model, guide_trace)
    return clp(model, model_args, model_kwargs, model_params, sum_log_prob=sum_log_prob)

[fehiepsi]

Sorry for the late response. I think your implementation is correct. Re introducing new behavior compute_log_probs, I guess it is unnecessary. Maybe @tillahoffmann has other opinion on this.

[tillahoffmann]

Yes, I think this seems like a good implementation.

Having said that, I'm not sure if adding the two extra arguments might overload the function a little and lead to more complex signatures down the line, e.g., should we also include a rng_key in the signature or should the seeding of the guide happen outside but the parameter substitution inside compute_log_probs? Maybe a separate function would be better to keep compute_log_probs doing one thing only? E.g., compute_log_probs is also relevant for MCMC sampling but the guide isn't. I can see an argument for either though. What do you think?

Do you know how often the pattern compute_log_probs(replay(model, trace(substitute(guide, guide_params)))) appears across the code base?

[fehiepsi]

I agree that having the extension is unnecessary. Combining with handlers looks nicer to me. :)