def test_categorical_variables():
np.random.seed(123)
def objective(x):
return np.array(np.sum(x, axis=1).reshape(-1, 1))
carol_spirits = ['past', 'present', 'yet to come']
encoding = OneHotEncoding(carol_spirits)
parameter_space = ParameterSpace([
ContinuousParameter('real_param', 0.0, 1.0),
CategoricalParameter('categorical_param', encoding)
])
random_design = RandomDesign(parameter_space)
x_init = random_design.get_samples(10)
assert x_init.shape == (10, 4)
assert np.all(np.logical_or(x_init[:, 1:3] == 0.0, x_init[:, 1:3] == 1.0))
y_init = objective(x_init)
gpy_model = GPy.models.GPRegression(x_init, y_init)
gpy_model.Gaussian_noise.fix(1)
model = GPyModelWrapper(gpy_model)
acquisition = ExpectedImprovement(model)
loop = BayesianOptimizationLoop(parameter_space, model, acquisition)
loop.run_loop(objective, 5)
assert len(loop.loop_state.Y) == 15
assert np.all(np.logical_or(loop.loop_state.X[:, 1:3] == 0.0, loop.loop_state.X[:, 1:3] == 1.0))
def test_categorical_variables():
np.random.seed(123)
def objective(x):
return np.array(np.sum(x, axis=1).reshape(-1, 1))
carol_spirits = ['past', 'present', 'yet to come']
encoding = OneHotEncoding(carol_spirits)
parameter_space = ParameterSpace([
ContinuousParameter('real_param', 0.0, 1.0),
CategoricalParameter('categorical_param', encoding)
])
random_design = RandomDesign(parameter_space)
x_init = random_design.get_samples(10)
assert x_init.shape == (10, 4)
assert np.all(np.logical_or(x_init[:, 1:3] == 0.0, x_init[:, 1:3] == 1.0))
y_init = objective(x_init)
gpy_model = GPy.models.GPRegression(x_init, y_init)
gpy_model.Gaussian_noise.fix(1)
model = GPyModelWrapper(gpy_model)
acquisition = ExpectedImprovement(model)
loop = BayesianOptimizationLoop(parameter_space, model, acquisition)
loop.run_loop(objective, 5)
assert len(loop.loop_state.Y) == 15
assert np.all(
np.logical_or(loop.loop_state.X[:, 1:3] == 0.0,
loop.loop_state.X[:, 1:3] == 1.0))
def test_loop():
n_iterations = 5
x_init = np.random.rand(5, 1)
y_init = np.random.rand(5, 1)
# Make GPy model
gpy_model = GPy.models.GPRegression(x_init, y_init)
model = GPyModelWrapper(gpy_model)
space = ParameterSpace([ContinuousParameter('x', 0, 1)])
acquisition = ExpectedImprovement(model)
# Make loop and collect points
bo = BayesianOptimizationLoop(model=model,
space=space,
acquisition=acquisition)
bo.run_loop(UserFunctionWrapper(f),
FixedIterationsStoppingCondition(n_iterations))
# Check we got the correct number of points
assert bo.loop_state.X.shape[0] == n_iterations + 5
# Check the obtained results
results = bo.get_results()
assert results.minimum_location.shape[0] == 1
assert results.best_found_value_per_iteration.shape[0] == n_iterations + 5
def bayesian_opt():
# 2. ranges of the synth parameters
syn1 = syn2 = syn3 = syn4 = syn5 = np.arange(158)
syn6 = np.arange(6000)
syn7 = np.arange(1000)
syn8 = np.arange(700)
# 2. synth paramters ranges into an 8D parameter space
# parameter_space = ParameterSpace(
# [ContinuousParameter('x1', 0., 157.)])
# parameter_space = ParameterSpace(
# [DiscreteParameter('x8', syn8)])
parameter_space = ParameterSpace(
[ContinuousParameter('x1', 0., 157.), ContinuousParameter('x2', 0., 157.), ContinuousParameter('x3', 0., 157.),
ContinuousParameter('x4', 0., 157.), ContinuousParameter('x5', 0., 157.), ContinuousParameter('x6', 0., 5999.),
ContinuousParameter('x7', 0., 999.), ContinuousParameter('x8', 0., 699.)])
# parameter_space = ParameterSpace(
# [DiscreteParameter('x1', syn1), DiscreteParameter('x2', syn2), DiscreteParameter('x3', syn3),
# DiscreteParameter('x4', syn4), DiscreteParameter('x5', syn5), DiscreteParameter('x6', syn6),
# DiscreteParameter('x7', syn1), DiscreteParameter('x8', syn8)])
# 3. collect random points
design = RandomDesign(parameter_space)
X = design.get_samples(num_data_points) # X is a numpy array
print("X=", X)
# [is the below needed?]
# UserFunction.evaluate(training_function, X)
# I put UserFunctionWrapper in line 94
# 4. define training_function as Y
Y = training_function(X)
# [is this needed?]
# loop_state = create_loop_state(X, Y)
# 5. train and wrap the model in Emukit
model_gpy = GPRegression(X, Y, normalizer=True)
model_emukit = GPyModelWrapper(model_gpy)
expected_improvement = ExpectedImprovement(model=model_emukit)
bayesopt_loop = BayesianOptimizationLoop(model=model_emukit,
space=parameter_space,
acquisition=expected_improvement,
batch_size=5)
max_iterations = 15
bayesopt_loop.run_loop(training_function, max_iterations)
model_gpy.plot()
plt.show()
results = bayesopt_loop.get_results()
# bayesopt_loop.loop_state.X
print("X: ", bayesopt_loop.loop_state.X)
print("Y: ", bayesopt_loop.loop_state.Y)
print("cost: ", bayesopt_loop.loop_state.cost)
def test_loop():
n_iterations = 5
x_init = np.random.rand(5, 1)
y_init = np.random.rand(5, 1)
# Make GPy model
gpy_model = GPy.models.GPRegression(x_init, y_init)
model = GPyModelWrapper(gpy_model)
space = ParameterSpace([ContinuousParameter('x', 0, 1)])
acquisition = ExpectedImprovement(model)
# Make loop and collect points
bo = BayesianOptimizationLoop(model=model, space=space, acquisition=acquisition)
bo.run_loop(UserFunctionWrapper(f), FixedIterationsStoppingCondition(n_iterations))
# Check we got the correct number of points
assert bo.loop_state.X.shape[0] == n_iterations + 5
# Check the obtained results
results = bo.get_results()
assert results.minimum_location.shape[0] == 1
assert results.best_found_value_per_iteration.shape[0] == n_iterations + 5
def run_optimisation(current_range, freq_range, power_range):
parameter_space = ParameterSpace([\
ContinuousParameter('current', current_range[0], current_range[1]), \
ContinuousParameter('freq', freq_range[0], freq_range[1]), \
ContinuousParameter('power', power_range[0], power_range[1])
])
def function(X):
current = X[:, 0]
freq = X[:, 1]
power = X[:, 2]
out = np.zeros((len(current), 1))
for g in range(len(current)):
'''
Set JPA Current, Frequency & Power
'''
out[g, 0] = -get_SNR(
plot=False)[-1] #Negative as want to maximise SNR
return out
num_data_points = 10
design = RandomDesign(parameter_space)
X = design.get_samples(num_data_points)
Y = function(X)
model_gpy = GPRegression(X, Y)
model_gpy.optimize()
model_emukit = GPyModelWrapper(model_gpy)
exp_imprv = ExpectedImprovement(model=model_emukit)
optimizer = GradientAcquisitionOptimizer(space=parameter_space)
point_calc = SequentialPointCalculator(exp_imprv, optimizer)
coords = []
min = []
bayesopt_loop = BayesianOptimizationLoop(model=model_emukit,
space=parameter_space,
acquisition=exp_imprv,
batch_size=1)
stopping_condition = FixedIterationsStoppingCondition(i_max=100)
bayesopt_loop.run_loop(q, stopping_condition)
coord_results = bayesopt_loop.get_results().minimum_location
min_value = bayesopt_loop.get_results().minimum_value
step_results = bayesopt_loop.get_results().best_found_value_per_iteration
print(coord_results)
print(min_value)
return coord_results, abs(min_value)
def test_optimization_with_linear_constraint():
branin_fcn, parameter_space = branin_function()
x_init = parameter_space.sample_uniform(10)
y_init = branin_fcn(x_init)
A = np.array([[1.0, 1.0]])
b_lower = np.array([-5])
b_upper = np.array([5])
parameter_space.constraints = [
LinearInequalityConstraint(A, np.array([-5]), np.array([5]))
]
gpy_model = GPy.models.GPRegression(x_init, y_init)
model = GPyModelWrapper(gpy_model)
lp = BayesianOptimizationLoop(parameter_space, model)
lp.run_loop(branin_fcn, 5)
assert True
def test_local_penalization():
np.random.seed(123)
branin_fcn, parameter_space = branin_function()
random_design = RandomDesign(parameter_space)
x_init = random_design.get_samples(10)
y_init = branin_fcn(x_init)
gpy_model = GPy.models.GPRegression(x_init, y_init)
gpy_model.Gaussian_noise.fix(1)
model = GPyModelWrapper(gpy_model)
base_acquisition = ExpectedImprovement(model)
batch_size = 10
update_interval = 1
lp = BayesianOptimizationLoop(parameter_space, model, base_acquisition, update_interval, batch_size)
lp.run_loop(branin_fcn, 5)
assert len(lp.loop_state.Y) == 60
def test_local_penalization():
np.random.seed(123)
branin_fcn, parameter_space = branin_function()
x_init = parameter_space.sample_uniform(10)
y_init = branin_fcn(x_init)
gpy_model = GPy.models.GPRegression(x_init, y_init)
gpy_model.Gaussian_noise.fix(1)
model = GPyModelWrapper(gpy_model)
base_acquisition = ExpectedImprovement(model)
batch_size = 10
update_interval = 1
lp = BayesianOptimizationLoop(parameter_space, model, base_acquisition,
update_interval, batch_size)
lp.run_loop(branin_fcn, 5)
assert len(lp.loop_state.Y) == 60
gpmodel.optimize()
model = GPyModelWrapper(gpmodel)
acquisition = ExpectedImprovement(model)
acquisition_optimizer = DirectOptimizer(space)
candidate_point_calculator = Sequential(acquisition, acquisition_optimizer)
bo = BayesianOptimizationLoop(model=model, space=space, X_init=X_init, Y_init=Y_init, acquisition=acquisition,
candidate_point_calculator=candidate_point_calculator)
overhead = []
st = time.time()
for i in range(args.num_iterations):
t = time.time()
bo.run_loop(user_function=obj, stopping_condition=FixedIterationsStoppingCondition(i + X_init.shape[0]))
overhead.append(time.time() - t)
print(i)
data = dict()
data["overhead"] = overhead
data["runtime"] = np.cumsum(overhead).tolist()
path = os.path.join(args.output_path, args.benchmark)
os.makedirs(path, exist_ok=True)
fname = os.path.join(path, "%s_run_%d.json" % (args.model_type, args.run_id))
fh = open(fname, "w")
json.dump(data, fh)
fh.close()
'''use random forests as model'''
from emukit.examples.models.random_forest import RandomForest
from emukit.experimental_design import RandomDesign
random_design = RandomDesign(space)
'''start finding optimimum'''
start = time.time()
initial_points_count = 1500
X_init = random_design.get_samples(initial_points_count)
Y_init = emukit_friendly_objective_function(X_init)
rf_model = RandomForest(X_init, Y_init)
loop = BayesianOptimizationLoop(space,rf_model)
noSamples = 1500
loop.run_loop(emukit_friendly_objective_function, noSamples)
end = time.time()
print('time needed: ' + str(end-start))
'''get results'''
bestIteration = np.argmin(loop.loop_state.Y)
bestPointEncoded = loop.loop_state.X[bestIteration]
bestAction = encodingToAction(bestPointEncoded,encodingList)
model.printAllAboutAction(bestAction)
model.savePerformance('emukit_opt',end-start,noSamples+initial_points_count,bestAction)
print("end of optimization")
EIcurMin = float('inf')
model_gpyPI = GPRegression(X, Y) # Train and wrap the model in Emukit
model_emukitPI = GPyModelWrapper(model_gpyPI)
boPI = BayesianOptimizationLoop(model=model_emukitPI,
space=parameter_space,
acquisition=ProbabilityOfImprovement(
model=model_emukit,
jitter=Exploration_parameter),
batch_size=1)
boPIep_r = []
PIcurMax = 0
PIcurMin = float('inf')
for t in range(50): # in one episode
bo.run_loop(fun, 1)
a = bo.loop_state.X[-1]
ppo.ppoMax = max(ppo.ppoMax, fun(a))
ppoMin = min(ppoMin, ppo.curFun(a))
# r = -(env.maxVal-ppo.ppoMax)
r = (env.minVal - ppoMin)
r = float(r)
boPPOep_r.append(r)
### EI
boEI.run_loop(fun, 1)
aEI = boEI.loop_state.X[-1]
EIcurMax = max(EIcurMax, fun(aEI))
EIcurMin = min(EIcurMin, fun(aEI))
# rEI = -(env.maxVal-EIcurMax)
X0 = latin_design.get_samples(n_samples)
Y0 = training_function(X0)
#D0 = ((Y0 - target)**2).sum(axis=1)
#plotter = BayesOptPlotter(h_noiseless, target, xmin, xmax, X0=X0, Y0=Y0)
model = GPRegression(X0, Y0)
model_wrapped = GPyModelWrapper(model)
target = user_sample_vector
acq = L2_LCB(model=model_wrapped, target=target)
fit_update = lambda a, b: model.optimize_restarts(verbose=False)
bayesopt_loop = BayesianOptimizationLoop(model=model_wrapped,
space=parameter_space,
acquisition=acq)
bayesopt_loop.iteration_end_event.append(fit_update)
bayesopt_loop.run_loop(training_function, 5)
# 5. train and wrap the model in Emukit
# model_gpy = GPRegression(X, Y, normalizer=True)
#
# model_emukit = GPyModelWrapper(model_gpy)
# expected_improvement = ExpectedImprovement(model=model_emukit)
# bayesopt_loop = BayesianOptimizationLoop(model=model_emukit,
# space=parameter_space,
# acquisition=expected_improvement,
# batch_size=5)
#
# max_iterations = 15
# bayesopt_loop.run_loop(training_function, max_iterations)
model_wrapped.plot()
plt.show()
design = RandomDesign(parameter_space) # Collect random points
X = design.get_samples(num_data_points)
Y = fun(X)
model_gpy = GPRegression(X,Y) # Train and wrap the model in Emukit
model_emukit = GPyModelWrapper(model_gpy)
ppo.model = model_emukit
bo = BayesianOptimizationLoop(model = model_emukit,
space = parameter_space,
acquisition = ppo,
batch_size = 1)
mu_, var_ = bo.model.predict(bo.loop_state.X[-1].reshape(-1,1))
ppo.s_ = np.concatenate((mu_,var_),axis=1)
for t in range(EP_LEN): # in one episode
bo.run_loop(fun, 1)
# ppo.ppoMax = max(ppo.ppoMax,env.curFun(bo.loop_state.X[-1]))
ppo.ppoMin = min(ppo.ppoMin,env.curFun(bo.loop_state.X[-1]))
# boPPOep_r.append(ppo.ppoMax-env.maxVal)
boPPOep_r.append(env.minVal-ppo.ppoMin)
if (t+1) % BATCH == 0 or t == EP_LEN-1:
print("updating.......")
v_s_ = ppo.get_v(ppo.s_)
discounted_r = []
for r in ppo.buffer_r[::-1]:
v_s_ = r + GAMMA * v_s_
discounted_r.append(v_s_)
discounted_r.reverse()
bs, ba, br = np.vstack(ppo.buffer_s), np.vstack(ppo.buffer_a), np.array(discounted_r)[:, np.newaxis]
def bo_loop(config, image_path, ai_model=None):
target_function, space = eval(config.name)()
data_dim = config.data_dim
num_mix = config.num_mix
init_num_data = config.init_num_data
interval_std = config.interval_std
interval = np.zeros((1, data_dim))
std = np.zeros((1, data_dim))
mean = np.zeros((1, data_dim))
#set up data, scaling
for ii in range(data_dim):
interval[0, ii] = space.parameters[ii].max - space.parameters[ii].min
std[0, ii] = interval[0, ii] / interval_std
mean[0, ii] = (space.parameters[ii].max + space.parameters[ii].min) / 2
space.parameters[ii].min = (space.parameters[ii].min -
mean[0, ii]) / std[0, ii]
space.parameters[ii].max = (space.parameters[ii].max -
mean[0, ii]) / std[0, ii]
results_list = [None] * config.repeated_runs
best_value_per_iter = np.zeros((config.repeated_runs, config.bo_iter))
npr = np.random.RandomState(123)
for ii in tqdm(range(config.repeated_runs)):
#initialize data points
X_init = (npr.rand(init_num_data, data_dim) - 0.5) * interval + mean
X_init_norm = (X_init - mean) / std
Y_init = target_function(X_init)
Y_init_norm, mean_Y, std_Y = standardize(Y_init)
# normalized function
function_norm = lambda x: (target_function(x * std + mean) - mean_Y
) / std_Y
if config.is_GPY:
kernel = GPy.kern.RBF(input_dim=data_dim,
variance=npr.rand(1),
lengthscale=npr.rand(data_dim),
ARD=True)
for jj in range(num_mix - 1):
rbf_new = GPy.kern.RBF(input_dim=data_dim,
variance=npr.rand(1),
lengthscale=npr.rand(data_dim),
ARD=True)
kernel = kernel + rbf_new
if config.is_sparseGP:
z = (np.random.rand(config.num_inducing_pts, data_dim) -
0.5) * interval_std
model_gp = GPy.models.SparseGPRegression(X_init_norm,
Y_init_norm,
kernel,
Z=z)
else:
model_gp = GPy.models.GPRegression(X_init_norm, Y_init_norm,
kernel)
model_gp.Gaussian_noise.variance = config.epsilon
model_gp.Gaussian_noise.variance.fix()
model_emukit = GPyModelWrapperTime(model_gp)
model_emukit.optimize()
else:
#Set up Emukit_BO_BQ_GP_Model
model_emukit = Emukit_BO_BQ_GP_Model(X_init_norm, Y_init_norm,
config, ai_model)
model_emukit.optimize()
model_emukit.set_kernel()
expected_improvement = ExpectedImprovement(model=model_emukit)
bayesopt_loop = BayesianOptimizationLoop(
model=model_emukit,
space=space,
acquisition=expected_improvement,
batch_size=1)
max_iterations = config.bo_iter
bayesopt_loop.run_loop(function_norm, max_iterations)
results = bayesopt_loop.get_results()
#scale back the x and y
results_save = edict()
results_save.best_found_value_per_iteration = results.best_found_value_per_iteration[
init_num_data:] * std_Y.item() + mean_Y.item()
best_value_per_iter[
ii, :] = results_save.best_found_value_per_iteration
results_save.minimum_value = results.minimum_value * std_Y.item(
) + mean_Y.item()
results_save.minimum_location = results.minimum_location * std.squeeze(
0) + mean.squeeze(0)
results_save.time_elapsed = model_emukit.time_count
results_list[ii] = results_save
best_value_mean = np.mean(best_value_per_iter, 0)
best_value_std = np.std(best_value_per_iter, 0)
plt.figure(figsize=(12, 8))
plt.fill_between(np.arange(max_iterations) + 1,
best_value_mean - 0.2 * best_value_std,
best_value_mean + 0.2 * best_value_std,
color='red',
alpha=0.15)
plt.plot(np.arange(max_iterations) + 1,
best_value_mean,
'or-',
lw=2,
label='Best found function value')
plt.legend(loc=2, prop={'size': LEGEND_SIZE})
plt.xlabel(r"iteration")
plt.ylabel(r"$f(x)$")
plt.grid(True)
plt.savefig(image_path, format='pdf')
return results_list
model_gpy.optimize()
model_emukit = GPyModelWrapper(model_gpy)
# Set up Bayesian optimisation routine
exp_imprv = ExpectedImprovement(model = model_emukit)
optimizer = GradientAcquisitionOptimizer(space = parameter_space)
point_calc = SequentialPointCalculator(exp_imprv,optimizer)
# Bayesian optimisation routine
bayesopt_loop = BayesianOptimizationLoop(model = model_emukit,
space = parameter_space,
acquisition=exp_imprv,
batch_size=1)
stopping_condition = FixedIterationsStoppingCondition(i_max = no_BO_sims)
bayesopt_loop.run_loop(q, stopping_condition)
# Results of Bayesian optimisation
coord_results = bayesopt_loop.get_results().minimum_location
min_value = bayesopt_loop.get_results().minimum_value
step_results = bayesopt_loop.get_results().best_found_value_per_iteration
print(coord_results)
print(min_value)
# Save the pararmeters of the best resonator
results = [coord_results,min_value]
results_file = open('results.txt','w')
results_file.write(str(results))
results_file.close()
acquisition = LogExpectedImprovement(model)
elif args.acquisition_type == "entropy_search":
model = BOGP(X_init=X_init, Y_init=Y_init)
acquisition = EntropySearch(model, space=space)
# if with_gradients:
# acquisition_optimizer = AcquisitionOptimizer(space)
# else:
acquisition_optimizer = DirectOptimizer(space)
candidate_point_calculator = Sequential(acquisition, acquisition_optimizer)
bo = BayesianOptimizationLoop(model=model, space=space, X_init=X_init, Y_init=Y_init, acquisition=acquisition,
candidate_point_calculator=candidate_point_calculator)
bo.run_loop(user_function=obj, stopping_condition=FixedIterationsStoppingCondition(args.num_iterations))
curr_inc = np.inf
traj = []
regret = []
for yi in bo.loop_state.Y:
if curr_inc > yi:
curr_inc = yi[0]
traj.append(curr_inc)
regret.append(curr_inc - f_opt)
data = dict()
data["regret"] = regret
path = os.path.join(args.output_path, args.benchmark)
os.makedirs(path, exist_ok=True)
def main():
print("######################")
global target, X0, Y0, values, frac_M, frac_X, bo_flag
#target_params = np.array([[0.14,0.4],[1.4,0.03]])
#target = LiX_wrapper(True,'LiF','Rocksalt','JC',
# target_params,False,False,eng)
target = np.array([[-764.5, 6.012 * 0.99, 6.012 * 0.99, 6.012 * 0.99]])
if focus == 'energy':
target_comp = target[0, 0].reshape(1, -1)
if focus == 'constant':
target_comp = target[0, 1].reshape(1, -1)
else:
target_comp = target[0, :4].reshape(1, -1)
print('Target initialized!')
latin_design = LatinDesign(parameter_space=parameter_space)
X0 = latin_design.get_samples(INIT_POINTS)
Y0 = np.array([])
for x in X0:
x = np.array([x])
Y0 = np.append(Y0, f.evaluate(x))
values = []
for y in Y0:
values.append(y.Y)
values = np.asarray(values, dtype=float)
### Redundancy check
if (values[:, 7:-1] == values[0, 7]).all():
values = values[:, :7]
frac_X = False
if (values[:, 4:7] == values[0, 4]).all():
values = values[:, :4]
frac_M = False
values = values.reshape(-1, np.max(np.shape(target)))
bo_flag = True
if focus == 'energy':
values = values[:, 0].reshape(-1, 1)
if focus == 'constant':
values = values[:, 1:4].reshape(-1, 3)
### BO Loop
kern = Matern52(X0.shape[1], variance=1)
model = GPRegression(X0,
values,
kernel=kern,
normalizer=True,
noise_var=NOISE) # Kernel = None: RBF default
model.optimize(optimizer='lbfgsb')
model.optimize_restarts(num_restarts=50, verbose=False)
model_wrapped = GPyModelWrapper(model)
acq = L2_LCB(model=model_wrapped, target=target_comp, beta=np.float64(1.))
# beta is the exploration constant
bayesopt_loop = BayesianOptimizationLoop(model=model_wrapped,
space=parameter_space,
acquisition=acq)
bayesopt_loop.run_loop(f, BO_ITER)
return save(bayesopt_loop)