Implement AutoGuideList.quantiles() (#2896)

* added quantile method to AutoGuideList

* added AutoGuideList quantile tests

* fixed lint

* updated doc format

Co-authored-by: Vitalii Kleshchevnikov <vk7@sanger.ac.uk>
Co-authored-by: Vitalii Kleshchevnikov <klv2706w@gmail.com>

pyro/infer/autoguide/guides.py

@@ -282,6 +282,19 @@ def median(self, *args, **kwargs):
             result.update(part.median(*args, **kwargs))
         return result
 
+    def quantiles(self, quantiles, *args, **kwargs):
+        """
+        Returns the posterior quantile values of each latent variable.
+
+        :param list quantiles: A list of requested quantiles between 0 and 1.
+        :returns: A dict mapping sample site name to quantiles tensor.
+        :rtype: dict
+        """
+        result = {}
+        for part in self:
+            result.update(part.quantiles(quantiles, *args, **kwargs))
+        return result
+
 
 class AutoCallable(AutoGuide):
     """

tests/infer/test_autoguide.py

@@ -422,6 +422,13 @@ def model():
         assert_equal(attr_get(guide_deser), attr_get(guide).data)
 
 
+def AutoGuideList_x(model):
+    guide = AutoGuideList(model)
+    guide.append(AutoNormal(poutine.block(model, expose=["x"])))
+    guide.append(AutoLowRankMultivariateNormal(poutine.block(model, hide=["x"])))
+    return guide
+
+
 @pytest.mark.parametrize(
     "auto_class",
     [
@@ -430,6 +437,7 @@ def model():
         AutoNormal,
         AutoLowRankMultivariateNormal,
         AutoLaplaceApproximation,
+        AutoGuideList_x,
     ],
 )
 @pytest.mark.parametrize("Elbo", [Trace_ELBO, TraceGraph_ELBO, TraceEnum_ELBO])