xidulu edited a comment on issue #18140:
URL: 
https://github.com/apache/incubator-mxnet/issues/18140#issuecomment-618131555


   Hi @leandrolcampos
   
   Currently, pathwise gradient is only implemented for `mx.np.random.{normal, 
gumbel, logistic, weibull, exponential, pareto}` in the backend.
   
   We are planning to implement (in C++ backend) implicit reparam grad for 
Gamma related distribution in the future, which is extremely useful, as you 
pointed out, in scenarios like `BBVI for LDA`.
   
   Another possible solution, is to wrap the sampling Op as a CustomOp, which 
allows you to manually define the backward computation with Python.
   https://mxnet.apache.org/api/python/docs/tutorials/extend/customop.html


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