Support observations that require broadcasting in SplitReparam.

pyro/infer/reparam/split.py

@@ -6,6 +6,7 @@
 import pyro
 import pyro.distributions as dist
 import pyro.poutine as poutine
+from pyro.ops.tensor_utils import broadcast_tensors_without_dim
 
 from .reparam import Reparam
 
@@ -64,6 +65,7 @@ def apply(self, msg):
 
         # Combine parts into value.
         if value is None:
+            value_split = broadcast_tensors_without_dim(value_split, -self.event_dim)
             value = torch.cat(value_split, dim=-self.event_dim)
 
         if poutine.get_mask() is False:

pyro/ops/tensor_utils.py

@@ -470,3 +470,35 @@ def safe_normalize(x, *, p=2):
     x = x / norm.clamp(min=torch.finfo(x.dtype).tiny)
     x.data[..., 0][x.data.eq(0).all(dim=-1)] = 1  # Avoid the singularity.
     return x
+
+
+def broadcast_tensors_without_dim(tensors, dim):
+    """
+    Broadcast tensors to the same shape without changing the size of
+    dimension ``dim`` of each tensor.
+
+    The broadcasting is performed in the same way as done in
+    :func:`torch.broadcast_tensors`, while leaving the size of
+    dimension ``dim`` of each tensor unchanged.
+
+    The returned tensors can be concatenated along the dimension ``dim``.
+
+    :param list tensors: List of `torch.Tensor` objects.
+    :param int dim: Dimension to leave out of broadcasting.
+    :returns: List of `torch.Tensor` objects.
+    """
+    if dim >= 0:
+        shape_len = len(tensors[0].shape)
+        for tensor in tensors[1:]:
+            if len(tensor.shape) != shape_len:
+                raise ValueError(
+                    "Dimension dim must be negative for different dimension tensors"
+                )
+    shapes = [list(tensor.shape) for tensor in tensors]
+    for shape in shapes:
+        shape[dim] = 1
+    shape = torch.broadcast_shapes(*shapes)
+    shapes = [list(shape) for count in range(len(tensors))]
+    for shape, tensor in zip(shapes, tensors):
+        shape[dim] = tensor.shape[dim]
+    return [tensor.expand(shape) for shape, tensor in zip(shapes, tensors)]

tests/infer/reparam/test_split.py

@@ -8,6 +8,7 @@
 import pyro
 import pyro.distributions as dist
 from pyro import poutine
+from pyro.infer.autoguide.initialization import InitMessenger, init_to_median
 from pyro.infer.reparam import SplitReparam
 from tests.common import assert_close
 
@@ -100,3 +101,31 @@ def model():
             return pyro.sample("x", dist.Normal(loc, scale).to_event(len(event_shape)))
 
     check_init_reparam(model, SplitReparam(splits, dim))
+
+
+def test_observe():
+    def model():
+        x_dist = dist.TransformedDistribution(
+            dist.Normal(0, 1).expand((8,)).to_event(1), dist.transforms.HaarTransform()
+        )
+        return pyro.sample("x", x_dist)
+
+    # Build reparameterized model
+    rep = SplitReparam([6, 2], -1)
+    reparam_model = poutine.reparam(model, {"x": rep})
+
+    # Sample from the reparameterized model to create an observation
+    initialized_reparam_model = InitMessenger(init_to_median)(reparam_model)
+    trace = poutine.trace(initialized_reparam_model).get_trace()
+    observation = {"x_split_1": trace.nodes["x_split_1"]["value"]}
+
+    # Create a model conditioned on the observation
+    conditioned_reparam_model = poutine.condition(reparam_model, observation)
+
+    # Fit a guide for the conditioned model
+    guide = pyro.infer.autoguide.AutoMultivariateNormal(conditioned_reparam_model)
+    optim = pyro.optim.Adam(dict(lr=0.1))
+    loss = pyro.infer.Trace_ELBO(num_particles=20, vectorize_particles=True)
+    svi = pyro.infer.SVI(conditioned_reparam_model, guide, optim, loss)
+    for iter_count in range(10):
+        svi.step()