Add an info warning for HMC with enumeration

[fehiepsi]

Quoted by @clgarciga in #1174

Also wondering if maybe there is an error or warning that could be thrown when users attempt to use Discrete latents in an HMC/NUTS model?

[cgarciga]

@fehiepsi in #1174 :

We got many questions with the "automatic" mechanism of enumeration in NUTS. We should inform users that enumerate is using and point users to the enumerate tutorial or a different algorithm like DiscreteHMCGibbs. Do you want to take a stab at this? I believe you can raise the warning at this line.

Sorry it took me a bit to get to this, working on it now though. May I ask, what is the enumerate tutorial you are referring to above?

[fehiepsi]

Hi @clgarciga, you can use this link https://pyro.ai/examples/enumeration.html.

[cgarciga]

Okay, so, here's where I'm at with this: some MCMC kernels (e.g. HMC,NUTS) don't support discrete latents, and some do (e.g. DiscreteHMCGibbs, Mixed HMC). So I need to:

1. Check if the user is using MCMC
2. If yes, check if there are discrete latents in the model
3. If yes, check which kernel they are using
4. Check if that kernel supports discretes or not
5. If not, throw a warning (error?) that they need use a different kernel that supports discretes.
   Does that make sense at all?

[fehiepsi]

I think you can add an info warning/print after this line, which is agnostic to the kernels. I'm not sure how to check properly for each kernel (maybe add an argument enum=False/True to each kernel to decide the behavior? I guess it is a bit out of the scope of this issue).