def testMatchCIWidth(self):
Ys = get_data([self.obsd1, self.obsd2, self.obsd3], ["m2"])
pt = _compute_power_transforms(Ys)
pt["m2"].lambdas_.fill(-3.0)
bounds = _compute_inverse_bounds(pt)["m2"]
# Both will be NaN since we are far outside the bounds
new_mean_1, new_var_1 = match_ci_width_truncated(
mean=bounds[1] + 2.0,
variance=0.1,
transform=lambda y: pt["m2"].inverse_transform(np.array(y, ndmin=2)),
lower_bound=bounds[0],
upper_bound=bounds[1],
margin=0.001,
clip_mean=False,
)
# This will be finite since we clip
new_mean_2, new_var_2 = match_ci_width_truncated(
mean=bounds[1] + 2.0,
variance=0.1,
transform=lambda y: pt["m2"].inverse_transform(np.array(y, ndmin=2)),
lower_bound=bounds[0],
upper_bound=bounds[1],
margin=0.001,
clip_mean=True,
)
self.assertTrue(isnan(new_mean_1) and isnan(new_var_1))
self.assertTrue(isfinite(new_mean_2) and isfinite(new_var_2))
def testGetData(self):
for m in ["m1", "m2"]:
Ys = get_data([self.obsd1, self.obsd2, self.obsd3], m)
self.assertIsInstance(Ys, dict)
self.assertEqual([*Ys], [m])
if m == "m1":
self.assertEqual(Ys[m], [0.5, 0.1, 0.9])
else:
self.assertEqual(Ys[m], [0.9, 0.4, 0.8])
def __init__(
self,
search_space: SearchSpace,
observation_features: List[ObservationFeatures],
observation_data: List[ObservationData],
modelbridge: Optional["modelbridge_module.base.ModelBridge"] = None,
config: Optional[TConfig] = None,
) -> None:
if len(observation_data) == 0:
raise ValueError(
"Winsorize transform requires non-empty observation data.")
if config is None:
raise ValueError(
"Transform config for `Winsorize` transform must be specified and "
"non-empty when using winsorization.")
all_metric_values = get_data(observation_data=observation_data)
# Check for legacy config
use_legacy = False
old_present = set(OLD_KEYS).intersection(config.keys())
if old_present:
warnings.warn(
"Winsorization received an out-of-date `transform_config`, containing "
f"the following deprecated keys: {old_present}. Please update the "
"config according to the docs of "
"`ax.modelbridge.transforms.winsorize.Winsorize`.",
DeprecationWarning,
)
use_legacy = True
# Get winsorization and optimization configs
winsorization_config = config.get("winsorization_config", {})
opt_config = config.get("optimization_config", {})
if "optimization_config" in config:
if not isinstance(opt_config, OptimizationConfig):
raise UserInputError(
"Expected `optimization_config` of type `OptimizationConfig` but "
f"got type `{type(opt_config)}.")
opt_config = checked_cast(OptimizationConfig, opt_config)
self.cutoffs = {}
for metric_name, metric_values in all_metric_values.items():
if use_legacy:
self.cutoffs[
metric_name] = _get_cutoffs_from_legacy_transform_config(
metric_name=metric_name,
metric_values=metric_values,
transform_config=config,
)
else:
self.cutoffs[metric_name] = _get_cutoffs_from_transform_config(
metric_name=metric_name,
metric_values=metric_values,
winsorization_config=winsorization_config, # pyre-ignore[6]
optimization_config=opt_config, # pyre-ignore[6]
)
def __init__(
self,
search_space: SearchSpace,
observation_features: List[ObservationFeatures],
observation_data: List[ObservationData],
config: Optional[TConfig] = None,
) -> None:
if len(observation_data) == 0:
raise ValueError(
"Winsorize transform requires non-empty observation data.")
# If winsorization limits are missing or either one of them is None,
# we can just replace that limit(s) with 0.0, as in those cases the
# percentile will just interpret them as 0-th or 100-th percentile,
# leaving the data unclipped.
lower = 0.0
if config is not None and "winsorization_lower" in config:
lower = checked_cast(float,
(config.get("winsorization_lower") or 0.0))
upper = 0.0
if config is not None and "winsorization_upper" in config:
upper = checked_cast(float,
(config.get("winsorization_upper") or 0.0))
metric_values = get_data(observation_data=observation_data)
if lower >= 1 - upper:
raise ValueError( # pragma: no cover
f"Lower bound: {lower} was greater than the inverse of the upper "
f"bound: {1 - upper}. Decrease one or both of your "
f"winsorization_limits: {(lower, upper)}.")
pct_bounds = {}
if config is not None and "percentile_bounds" in config:
pct_bounds = checked_cast(dict,
config.get("percentile_bounds") or {})
self.percentiles = {}
for metric_name, vals in metric_values.items():
pct_l = np.percentile(vals, lower * 100, interpolation="lower")
pct_u = np.percentile(vals, (1 - upper) * 100,
interpolation="higher")
if metric_name in pct_bounds:
# Update the percentiles if percentile_bounds are specified
metric_bnds = pct_bounds.get(metric_name)
if len(metric_bnds) != 2:
raise ValueError( # pragma: no cover
f"Expected percentile_bounds for metric {metric_name} to be "
f"of the form (l, u), got {metric_bnds}.")
bnd_l, bnd_u = metric_bnds
pct_l = min(pct_l,
bnd_l if bnd_l is not None else float("inf"))
pct_u = max(pct_u,
bnd_u if bnd_u is not None else -float("inf"))
self.percentiles[metric_name] = (pct_l, pct_u)
def __init__(
self,
search_space: SearchSpace,
observation_features: List[ObservationFeatures],
observation_data: List[ObservationData],
config: Optional[TConfig] = None,
) -> None:
if len(observation_data) == 0:
raise ValueError(
"StandardizeY transform requires non-empty observation data.")
Ys = get_data(observation_data=observation_data)
# Compute means and SDs
# pyre-fixme[6]: Expected `DefaultDict[Union[str, Tuple[str, Optional[Union[b...
self.Ymean, self.Ystd = compute_standardization_parameters(Ys)
def testComputePowerTransform(self):
Ys = get_data([self.obsd1, self.obsd2, self.obsd3], ["m2"])
pts = _compute_power_transforms(Ys)
self.assertEqual(pts["m2"].method, "yeo-johnson")
self.assertIsInstance(pts["m2"].lambdas_, np.ndarray)
self.assertEqual(pts["m2"].lambdas_.shape, (1,))
Y_np = np.array(Ys["m2"])[:, None]
Y_trans = pts["m2"].transform(Y_np)
# Output should be standardized
self.assertAlmostEqual(Y_trans.mean(), 0.0)
self.assertAlmostEqual(Y_trans.std(), 1.0)
# Transform back
Y_np2 = pts["m2"].inverse_transform(Y_trans)
self.assertAlmostEqual(np.max(np.abs(Y_np - Y_np2)), 0.0)
def __init__(
self,
search_space: SearchSpace,
observation_features: List[ObservationFeatures],
observation_data: List[ObservationData],
config: Optional[TConfig] = None,
) -> None:
if config is None:
raise ValueError("PowerTransform requires a config.")
# pyre-fixme[6]: Same issue as for LogY
metric_names = list(config.get("metrics", []))
if len(metric_names) == 0:
raise ValueError("Must specify at least one metric in the config.")
self.clip_mean = config.get("clip_mean", True)
self.metric_names = metric_names
Ys = get_data(observation_data=observation_data, metric_names=metric_names)
self.power_transforms = _compute_power_transforms(Ys=Ys)
self.inv_bounds = _compute_inverse_bounds(self.power_transforms, tol=1e-10)
def __init__(
self,
search_space: SearchSpace,
observation_features: List[ObservationFeatures],
observation_data: List[ObservationData],
config: Optional[TConfig] = None,
) -> None:
if len(observation_data) == 0:
raise ValueError(
"Percentile transform requires non-empty observation data.")
metric_values = get_data(observation_data=observation_data)
self.percentiles = {
metric_name: vals
for metric_name, vals in metric_values.items()
}
if config is not None and "winsorize" in config:
self.winsorize = checked_cast(bool,
(config.get("winsorize") or False))
else:
self.winsorize = False
def testComputeInverseBounds(self):
Ys = get_data([self.obsd1, self.obsd2, self.obsd3], ["m2"])
pt = _compute_power_transforms(Ys)["m2"]
# lambda < 0: im(f) = (-inf, -1/lambda) without standardization
pt.lambdas_.fill(-2.5)
bounds = _compute_inverse_bounds({"m2": pt})["m2"]
self.assertEqual(bounds[0], -np.inf)
# Make sure we got the boundary right
left = pt.inverse_transform(np.array(bounds[1] - 0.01, ndmin=2))
right = pt.inverse_transform(np.array(bounds[1] + 0.01, ndmin=2))
self.assertTrue(isnan(right) and not isnan(left))
# 0 <= lambda <= 2: im(f) = R
pt.lambdas_.fill(1.0)
bounds = _compute_inverse_bounds({"m2": pt})["m2"]
self.assertTrue(bounds == (-np.inf, np.inf))
# lambda > 2: im(f) = (1 / (2 - lambda), inf) without standardization
pt.lambdas_.fill(3.5)
bounds = _compute_inverse_bounds({"m2": pt})["m2"]
self.assertEqual(bounds[1], np.inf)
# Make sure we got the boundary right
left = pt.inverse_transform(np.array(bounds[0] - 0.01, ndmin=2))
right = pt.inverse_transform(np.array(bounds[0] + 0.01, ndmin=2))
self.assertTrue(not isnan(right) and isnan(left))