Add Support for numpy.convolve()

[RoyiAvital]

Since numpy.convolve() is a specific case of scipy.signal.convolve() could it be added?

[yaugenst-flex]

We have a version of this here. Note that we didn't intend to make this match the numpy API, but it would be straightforward to do. The main difficulty was getting the padding modes to work correctly, and we went the route of just implementing the padding modes in a differentiable manner (see here), so this is not using any custom primitives.

Is the intent for autograd to only provide primitives + JVP/VJP definitions, or would contributions built on top of those also be welcome?

[j-towns]

Is the intent for autograd to only provide primitives + JVP/VJP definitions, or would contributions built on top of those also be welcome?

Our intent until now has just been to wrap the NumPy and SciPy APIs (and define their derivatives). I guess if there's a compelling reason to provide something else we could consider it.

On the original issue, I'm not sure why np.convolve isn't already supported, it shouldn't be too difficult to implement.