def optimize_acqf(
acq_function: AcquisitionFunction,
bounds: Tensor,
q: int,
num_restarts: int,
raw_samples: int,
options: Optional[Dict[str, Union[bool, float, int, str]]] = None,
inequality_constraints: Optional[List[Tuple[Tensor, Tensor, float]]] = None,
equality_constraints: Optional[List[Tuple[Tensor, Tensor, float]]] = None,
fixed_features: Optional[Dict[int, float]] = None,
post_processing_func: Optional[Callable[[Tensor], Tensor]] = None,
batch_initial_conditions: Optional[Tensor] = None,
return_best_only: bool = True,
sequential: bool = False,
) -> Tuple[Tensor, Tensor]:
r"""Generate a set of candidates via multi-start optimization.
Args:
acq_function: An AcquisitionFunction.
bounds: A `2 x d` tensor of lower and upper bounds for each column of `X`.
q: The number of candidates.
num_restarts: The number of starting points for multistart acquisition
function optimization.
raw_samples: The number of samples for initialization.
options: Options for candidate generation.
inequality constraints: A list of tuples (indices, coefficients, rhs),
with each tuple encoding an inequality constraint of the form
`\sum_i (X[indices[i]] * coefficients[i]) >= rhs`
equality constraints: A list of tuples (indices, coefficients, rhs),
with each tuple encoding an inequality constraint of the form
`\sum_i (X[indices[i]] * coefficients[i]) = rhs`
fixed_features: A map `{feature_index: value}` for features that
should be fixed to a particular value during generation.
post_processing_func: A function that post-processes an optimization
result appropriately (i.e., according to `round-trip`
transformations).
batch_initial_conditions: A tensor to specify the initial conditions. Set
this if you do not want to use default initialization strategy.
return_best_only: If False, outputs the solutions corresponding to all
random restart initializations of the optimization.
sequential: If False, uses joint optimization, otherwise uses sequential
optimization.
Returns:
A two-element tuple containing
- a `(num_restarts) x q x d`-dim tensor of generated candidates.
- a tensor of associated acquisiton values. If `sequential=False`,
this is a `(num_restarts)`-dim tensor of joint acquisition values
(with explicit restart dimension if `return_best_only=False`). If
`sequential=True`, this is a `q`-dim tensor of expected acquisition
values conditional on having observed canidates `0,1,...,i-1`.
Example:
>>> # generate `q=2` candidates jointly using 20 random restarts
>>> # and 512 raw samples
>>> candidates, acq_value = optimize_acqf(qEI, bounds, 2, 20, 512)
>>> generate `q=3` candidates sequentially using 15 random restarts
>>> # and 256 raw samples
>>> qEI = qExpectedImprovement(model, best_f=0.2)
>>> bounds = torch.tensor([[0.], [1.]])
>>> candidates, acq_value_list = optimize_acqf(
>>> qEI, bounds, 3, 15, 256, sequential=True
>>> )
"""
if sequential and q > 1:
if not return_best_only:
raise NotImplementedError(
"return_best_only=False only supported for joint optimization"
)
if isinstance(acq_function, OneShotAcquisitionFunction):
raise NotImplementedError(
"sequential optimization currently not supported for one-shot "
"acquisition functions. Must have `sequential=False`."
)
candidate_list, acq_value_list = [], []
candidates = torch.tensor([])
base_X_pending = acq_function.X_pending
for i in range(q):
candidate, acq_value = optimize_acqf(
acq_function=acq_function,
bounds=bounds,
q=1,
num_restarts=num_restarts,
raw_samples=raw_samples,
options=options or {},
inequality_constraints=inequality_constraints,
equality_constraints=equality_constraints,
fixed_features=fixed_features,
post_processing_func=post_processing_func,
batch_initial_conditions=None,
return_best_only=True,
sequential=False,
)
candidate_list.append(candidate)
acq_value_list.append(acq_value)
candidates = torch.cat(candidate_list, dim=-2)
acq_function.set_X_pending(
torch.cat([base_X_pending, candidates], dim=-2)
if base_X_pending is not None
else candidates
)
logger.info(f"Generated sequential candidate {i+1} of {q}")
# Reset acq_func to previous X_pending state
acq_function.set_X_pending(base_X_pending)
return candidates, torch.stack(acq_value_list)
options = options or {}
if batch_initial_conditions is None:
ic_gen = (
gen_one_shot_kg_initial_conditions
if isinstance(acq_function, qKnowledgeGradient)
else gen_batch_initial_conditions
)
# TODO: Generating initial candidates should use parameter constraints.
batch_initial_conditions = ic_gen(
acq_function=acq_function,
bounds=bounds,
q=q,
num_restarts=num_restarts,
raw_samples=raw_samples,
options=options,
)
batch_limit: int = options.get("batch_limit", num_restarts)
batch_candidates_list: List[Tensor] = []
batch_acq_values_list: List[Tensor] = []
start_idcs = list(range(0, num_restarts, batch_limit))
for start_idx in start_idcs:
end_idx = min(start_idx + batch_limit, num_restarts)
# optimize using random restart optimization
batch_candidates_curr, batch_acq_values_curr = gen_candidates_scipy(
initial_conditions=batch_initial_conditions[start_idx:end_idx],
acquisition_function=acq_function,
lower_bounds=bounds[0],
upper_bounds=bounds[1],
options={
k: v
for k, v in options.items()
if k not in ("batch_limit", "nonnegative")
},
inequality_constraints=inequality_constraints,
equality_constraints=equality_constraints,
fixed_features=fixed_features,
)
batch_candidates_list.append(batch_candidates_curr)
batch_acq_values_list.append(batch_acq_values_curr)
logger.info(f"Generated candidate batch {start_idx+1} of {len(start_idcs)}.")
batch_candidates = torch.cat(batch_candidates_list)
batch_acq_values = torch.cat(batch_acq_values_list)
if post_processing_func is not None:
batch_candidates = post_processing_func(batch_candidates)
if return_best_only:
best = torch.argmax(batch_acq_values.view(-1), dim=0)
batch_candidates = batch_candidates[best]
batch_acq_values = batch_acq_values[best]
if isinstance(acq_function, OneShotAcquisitionFunction):
batch_candidates = acq_function.extract_candidates(X_full=batch_candidates)
return batch_candidates, batch_acq_values
def optimize_acqf(
acq_function: AcquisitionFunction,
bounds: Tensor,
q: int,
num_restarts: int,
raw_samples: Optional[int] = None,
options: Optional[Dict[str, Union[bool, float, int, str]]] = None,
inequality_constraints: Optional[List[Tuple[Tensor, Tensor,
float]]] = None,
equality_constraints: Optional[List[Tuple[Tensor, Tensor, float]]] = None,
nonlinear_inequality_constraints: Optional[List[Callable]] = None,
fixed_features: Optional[Dict[int, float]] = None,
post_processing_func: Optional[Callable[[Tensor], Tensor]] = None,
batch_initial_conditions: Optional[Tensor] = None,
return_best_only: bool = True,
sequential: bool = False,
**kwargs: Any,
) -> Tuple[Tensor, Tensor]:
r"""Generate a set of candidates via multi-start optimization.
Args:
acq_function: An AcquisitionFunction.
bounds: A `2 x d` tensor of lower and upper bounds for each column of `X`.
q: The number of candidates.
num_restarts: The number of starting points for multistart acquisition
function optimization.
raw_samples: The number of samples for initialization. This is required
if `batch_initial_conditions` is not specified.
options: Options for candidate generation.
inequality constraints: A list of tuples (indices, coefficients, rhs),
with each tuple encoding an inequality constraint of the form
`\sum_i (X[indices[i]] * coefficients[i]) >= rhs`
equality constraints: A list of tuples (indices, coefficients, rhs),
with each tuple encoding an inequality constraint of the form
`\sum_i (X[indices[i]] * coefficients[i]) = rhs`
nonlinear_inequality_constraints: A list of callables with that represent
non-linear inequality constraints of the form `callable(x) >= 0`. Each
callable is expected to take a `(num_restarts) x q x d`-dim tensor as an
input and return a `(num_restarts) x q`-dim tensor with the constraint
values. The constraints will later be passed to SLSQP. You need to pass in
`batch_initial_conditions` in this case. Using non-linear inequality
constraints also requires that `batch_limit` is set to 1, which will be
done automatically if not specified in `options`.
fixed_features: A map `{feature_index: value}` for features that
should be fixed to a particular value during generation.
post_processing_func: A function that post-processes an optimization
result appropriately (i.e., according to `round-trip`
transformations).
batch_initial_conditions: A tensor to specify the initial conditions. Set
this if you do not want to use default initialization strategy.
return_best_only: If False, outputs the solutions corresponding to all
random restart initializations of the optimization.
sequential: If False, uses joint optimization, otherwise uses sequential
optimization.
kwargs: Additonal keyword arguments.
Returns:
A two-element tuple containing
- a `(num_restarts) x q x d`-dim tensor of generated candidates.
- a tensor of associated acquisition values. If `sequential=False`,
this is a `(num_restarts)`-dim tensor of joint acquisition values
(with explicit restart dimension if `return_best_only=False`). If
`sequential=True`, this is a `q`-dim tensor of expected acquisition
values conditional on having observed canidates `0,1,...,i-1`.
Example:
>>> # generate `q=2` candidates jointly using 20 random restarts
>>> # and 512 raw samples
>>> candidates, acq_value = optimize_acqf(qEI, bounds, 2, 20, 512)
>>> generate `q=3` candidates sequentially using 15 random restarts
>>> # and 256 raw samples
>>> qEI = qExpectedImprovement(model, best_f=0.2)
>>> bounds = torch.tensor([[0.], [1.]])
>>> candidates, acq_value_list = optimize_acqf(
>>> qEI, bounds, 3, 15, 256, sequential=True
>>> )
"""
if sequential and q > 1:
if not return_best_only:
raise NotImplementedError(
"`return_best_only=False` only supported for joint optimization."
)
if isinstance(acq_function, OneShotAcquisitionFunction):
raise NotImplementedError(
"sequential optimization currently not supported for one-shot "
"acquisition functions. Must have `sequential=False`.")
candidate_list, acq_value_list = [], []
base_X_pending = acq_function.X_pending
for i in range(q):
candidate, acq_value = optimize_acqf(
acq_function=acq_function,
bounds=bounds,
q=1,
num_restarts=num_restarts,
raw_samples=raw_samples,
options=options or {},
inequality_constraints=inequality_constraints,
equality_constraints=equality_constraints,
nonlinear_inequality_constraints=
nonlinear_inequality_constraints,
fixed_features=fixed_features,
post_processing_func=post_processing_func,
batch_initial_conditions=None,
return_best_only=True,
sequential=False,
)
candidate_list.append(candidate)
acq_value_list.append(acq_value)
candidates = torch.cat(candidate_list, dim=-2)
acq_function.set_X_pending(
torch.cat([base_X_pending, candidates], dim=-2
) if base_X_pending is not None else candidates)
logger.info(f"Generated sequential candidate {i+1} of {q}")
# Reset acq_func to previous X_pending state
acq_function.set_X_pending(base_X_pending)
return candidates, torch.stack(acq_value_list)
options = options or {}
# Handle the trivial case when all features are fixed
if fixed_features is not None and len(fixed_features) == bounds.shape[-1]:
X = torch.tensor(
[fixed_features[i] for i in range(bounds.shape[-1])],
device=bounds.device,
dtype=bounds.dtype,
)
X = X.expand(q, *X.shape)
with torch.no_grad():
acq_value = acq_function(X)
return X, acq_value
if batch_initial_conditions is None:
if nonlinear_inequality_constraints:
raise NotImplementedError(
"`batch_initial_conditions` must be given if there are non-linear "
"inequality constraints.")
if raw_samples is None:
raise ValueError(
"Must specify `raw_samples` when `batch_initial_conditions` is `None`."
)
ic_gen = (gen_one_shot_kg_initial_conditions if isinstance(
acq_function, qKnowledgeGradient) else
gen_batch_initial_conditions)
batch_initial_conditions = ic_gen(
acq_function=acq_function,
bounds=bounds,
q=q,
num_restarts=num_restarts,
raw_samples=raw_samples,
fixed_features=fixed_features,
options=options,
inequality_constraints=inequality_constraints,
equality_constraints=equality_constraints,
)
batch_limit: int = options.get(
"batch_limit",
num_restarts if not nonlinear_inequality_constraints else 1)
batch_candidates_list: List[Tensor] = []
batch_acq_values_list: List[Tensor] = []
batched_ics = batch_initial_conditions.split(batch_limit)
for i, batched_ics_ in enumerate(batched_ics):
# optimize using random restart optimization
batch_candidates_curr, batch_acq_values_curr = gen_candidates_scipy(
initial_conditions=batched_ics_,
acquisition_function=acq_function,
lower_bounds=bounds[0],
upper_bounds=bounds[1],
options={
k: v
for k, v in options.items() if k not in INIT_OPTION_KEYS
},
inequality_constraints=inequality_constraints,
equality_constraints=equality_constraints,
nonlinear_inequality_constraints=nonlinear_inequality_constraints,
fixed_features=fixed_features,
)
batch_candidates_list.append(batch_candidates_curr)
batch_acq_values_list.append(batch_acq_values_curr)
logger.info(f"Generated candidate batch {i+1} of {len(batched_ics)}.")
batch_candidates = torch.cat(batch_candidates_list)
batch_acq_values = torch.cat(batch_acq_values_list)
if post_processing_func is not None:
batch_candidates = post_processing_func(batch_candidates)
if return_best_only:
best = torch.argmax(batch_acq_values.view(-1), dim=0)
batch_candidates = batch_candidates[best]
batch_acq_values = batch_acq_values[best]
if isinstance(acq_function, OneShotAcquisitionFunction):
if not kwargs.get("return_full_tree", False):
batch_candidates = acq_function.extract_candidates(
X_full=batch_candidates)
return batch_candidates, batch_acq_values