raise an error when model has discrete vars (#2917)

* raise an error when model has discrete vars

* unicode char

Author: ferrine

pymc3/tests/test_variational_inference.py

@@ -21,7 +21,7 @@
 )
 from pymc3.variational import flows
 from pymc3.variational.opvi import Approximation, Group
-
+from pymc3.variational import opvi
 from . import models
 from .helpers import not_raises
 
@@ -835,6 +835,19 @@ def test_sample_replacements(binomial_model_inference):
     assert sampled.shape[0] == 101
 
 
+def test_discrete_not_allowed():
+    mu_true = np.array([-2, 0, 2])
+    z_true = np.random.randint(len(mu_true), size=100)
+    y = np.random.normal(mu_true[z_true], np.ones_like(z_true))
+
+    with pm.Model():
+        mu = pm.Normal('mu', mu=0, sd=10, shape=3)
+        z = pm.Categorical('z', p=tt.ones(3) / 3, shape=len(y))
+        pm.Normal('y_obs', mu=mu[z], sd=1., observed=y)
+        with pytest.raises(opvi.ParametrizationError):
+            pm.fit(n=1)  # fails
+
+
 def test_var_replacement():
     X_mean = pm.floatX(np.linspace(0, 10, 10))
     y = pm.floatX(np.random.normal(X_mean*4, .05))

pymc3/variational/opvi.py

@@ -894,6 +894,9 @@ def __init_group__(self, group):
         self.replacements = dict()
         self.group = [get_transformed(var) for var in self.group]
         for var in self.group:
+            if isinstance(var.distribution, pm.Discrete):
+                raise ParametrizationError('Discrete variables are not supported by VI: {}'
+                                           .format(var))
             begin = self.ddim
             if self.batched:
                 if var.ndim < 1: