MessengerGuide incompatible with local param mode

[ilia-kats]

I have a custom messenger guide that subclasses AutoMessenger. I took inspiration from the existing messenger guides and use deep_setattr(self, name, PyroParam(...)) to create learnable parameters. I have now tried using my model/guide pair with local param mode (with pyro.settings.context(module_local_params=True):, and it throws a

NotImplementedError: Support for global pyro.param statements in PyroModules with local param mode enabled is not yet implemented.

The exception is coming from the model. Debugging it a bit, it looks like all the learnable parameters are saved in the _pyro_context of the model and not the guide. I believe that might be because:

• guide enters its context, global param store updates its content to the guide's local parameters
• guide calls model. Model enters its context, global param store updates its content to the model's local parameters
• Sample statements in the model get intercepted by get_posterior, which creates the PyroParams
• but the model's context is currently active, so the params are saved in the model