[bug] InverseGamma CDF

[treigerm]

Issue Description

Currently the cdf function for InverseGamma returns obviously wrong values. The current implementation returns a monotonically decreasing function which clearly cannot be right.

On closer inspection, currently the cdf(x) function actually return the value 1 - cdf(x). I think this is due to an issue in that for current releases of PyTorch the PowerTransform has a hard-coded sign of +1 (offending line: https://github.com/pytorch/pytorch/blob/7bcf7da3a268b435777fe87c7794c382f444e86d/torch/distributions/transforms.py#L567).

There is a recent PR which has been merged which should actually fix the issue. To confirm this I ran my code on the nightly PyTorch release and the issue indeed goes away.

Environment

Pyro version: 1.8.6 PyTorch version:

• contains bug: 2.1.0+cu121
• nightly version that fixes bug: 2.2.0.dev20231107+cpu

OS: Ubuntu 22.04.2 LTS Python version: 3.10.12

Code Snippet

import pyro.distributions as dist
import matplotlib.pyplot as plt
import torch

xs = torch.linspace(0, 3, 200)
cdfs = dist.InverseGamma(1.0, 1.0).cdf(xs)
# Visual inspection of CDF. See output below.
plt.plot(xs, cdfs)

# gammaincc allows computing the analytic form of the InverseGamma cdf.
# This evaluate to True in version '2.1.0+cu121' but False in '2.2.0.dev20231107+cpu'. 
torch.allclose(cdfs, 1 - torch.special.gammaincc(torch.ones(200), torch.ones(200) / xs))
# If the cdfs would be correct the following statement should evaluate to True instead.
torch.allclose(cdfs, torch.special.gammaincc(torch.ones(200), torch.ones(200) / xs))