Clarify the composability of handlers with jax primities

numpyro/handlers.py

@@ -10,6 +10,21 @@
 can be composed together or new ones added to enable implementation of custom
 inference utilities and algorithms.
 
+When a handler, such as `handlers.seed`, is applied to a model in NumPyro, e.g.,
+`seeded_model = handlers.seed(model, rng_seed=0)`, it creates a callable object
+with stateful attributes. These attributes can interfere with JAX primitives,
+such as `jax.jit`, `jax.vmap`, and `jax.grad`. To ensure proper composition with
+JAX primitives, handlers should be applied locally within the function or context
+where the model is used, rather than globally. For example::
+
+    # Good: can be used in a jitted function
+    def seeded_model(data):
+        return handlers.seed(model, rng_seed=0)(data)
+
+    # Bad: might create tracer-leaks when used in a jitted function
+    seeded_model = handlers.seed(model, rng_seed=0)
+
+
 **Example**
 
 As an example, we are using :class:`~numpyro.handlers.seed`, :class:`~numpyro.handlers.trace`

numpyro/infer/mcmc.py

@@ -365,6 +365,12 @@ def __init__(
                 stacklevel=find_stack_level(),
             )
         self.chain_method = chain_method
+        if callable(chain_method) and (num_chains > 1) and progress_bar:
+            warnings.warn(
+                "Disabling progress bar as `chain_method` is a callable and `num_chains > 1`.",
+                stacklevel=find_stack_level(),
+            )
+            progress_bar = False
         self.progress_bar = progress_bar
         if "CI" in os.environ or "PYTEST_XDIST_WORKER" in os.environ:
             self.progress_bar = False

test/infer/test_hmc_gibbs.py

@@ -478,7 +478,12 @@ def gibbs_fn(rng_key, gibbs_sites, hmc_sites):
     hmc_kernel = NUTS(model)
     kernel = HMCGibbs(hmc_kernel, gibbs_fn=gibbs_fn, gibbs_sites=["x"])
     mcmc = MCMC(
-        kernel, num_warmup=100, num_chains=2, num_samples=100, chain_method=vmap
+        kernel,
+        num_warmup=100,
+        num_chains=2,
+        num_samples=100,
+        chain_method=vmap,
+        progress_bar=False,
     )
     mcmc.run(random.PRNGKey(0))
     samples = mcmc.get_samples()