warn and dont test with threads/Zygote

Author: marius311

src/turing.jl

@@ -125,6 +125,10 @@ function TuringMuseProblem(
             error("Unsupposed backend from Turing: $(Turing.ADBACKEND)")
         end
     end
+    if (Threads.nthreads() > 1) && hasmethod(AD.ZygoteBackend,Tuple{}) && (autodiff isa typeof(AD.ZygoteBackend()))
+        error("Turing doesn't support using the Zygote backend when Threads.nthreads()>1. Use a different backend or a single-thread.")
+    end
+
     # ensure tuple
     params = (params...,)
     # prevent this constructor from advancing the default RNG for more clear reproducibility

test/runtests.jl

@@ -22,11 +22,15 @@ rng = StableRNG(0)
             ("Zygote", AD.ZygoteBackend())
         ]
 
-            (;x) = rand(copy(rng), turing_funnel() | (θ=0,))
-            prob = TuringMuseProblem(turing_funnel() | (;x); autodiff)
-            MuseInference.check_self_consistency(prob, (θ=1,), has_volume_factor=true, rng=copy(rng))
-            result = muse(prob, (θ=1,); rng=copy(rng), get_covariance=true)
-            @test result.dist.μ / result.dist.σ < 2
+            if !(name=="Zygote" && Threads.nthreads()>1)
+
+                (;x) = rand(copy(rng), turing_funnel() | (θ=0,))
+                prob = TuringMuseProblem(turing_funnel() | (;x); autodiff)
+                MuseInference.check_self_consistency(prob, (θ=1,), has_volume_factor=true, rng=copy(rng))
+                result = muse(prob, (θ=1,); rng=copy(rng), get_covariance=true)
+                @test result.dist.μ / result.dist.σ < 2
+                
+            end
 
         end