def test_manual_seed(self):
initial_state = torch.random.get_rng_state()
with manual_seed():
self.assertTrue(torch.all(torch.random.get_rng_state() == initial_state))
with manual_seed(1234):
self.assertFalse(torch.all(torch.random.get_rng_state() == initial_state))
self.assertTrue(torch.all(torch.random.get_rng_state() == initial_state))
def test_manual_seed(self):
initial_state = torch.random.get_rng_state()
with manual_seed():
self.assertTrue(torch.all(torch.random.get_rng_state() == initial_state))
with manual_seed(1234):
self.assertFalse(torch.all(torch.random.get_rng_state() == initial_state))
self.assertTrue(torch.all(torch.random.get_rng_state() == initial_state))
def _construct_base_samples(self, posterior: Posterior,
shape: torch.Size) -> None:
r"""Generate iid `N(0,1)` base samples (if necessary).
This function will generate a new set of base samples and set the
`base_samples` buffer if one of the following is true:
- `resample=True`
- the MCSampler has no `base_samples` attribute.
- `shape` is different than `self.base_samples.shape` (if
`collapse_batch_dims=True`, then batch dimensions of will be
automatically broadcasted as necessary)
Args:
posterior: The Posterior for which to generate base samples.
shape: The shape of the base samples to construct.
"""
if (self.resample or _check_shape_changed(self.base_samples,
self.batch_range, shape)
or (not self.collapse_batch_dims
and shape != self.base_samples.shape)):
with manual_seed(seed=self.seed):
base_samples = torch.randn(shape,
device=posterior.device,
dtype=posterior.dtype)
self.seed += 1
self.register_buffer("base_samples", base_samples)
elif self.collapse_batch_dims and shape != self.base_samples.shape:
self.base_samples = self.base_samples.view(shape)
if self.base_samples.device != posterior.device:
self.to(device=posterior.device) # pragma: nocover
if self.base_samples.dtype != posterior.dtype:
self.to(dtype=posterior.dtype)
def forward(self, X: Tensor) -> Tensor:
r"""Evaluate the GP sample function at a set of points X.
Args:
X: A `batch_shape x n x d`-dim tensor of points
Returns:
The value of the GP sample at the `n` points.
"""
if self.Xs is None:
X_eval = X # first time, no previous evaluation points
else:
X_eval = torch.cat([self.Xs, X], dim=-2)
posterior = self._model.posterior(X=X_eval)
base_sample_shape = posterior.base_sample_shape
# re-use old samples
bs_shape = base_sample_shape[:-2] + X.shape[-2:-1] + base_sample_shape[-1:]
with manual_seed(seed=int(self._seed)):
new_base_samples = torch.randn(bs_shape, device=X.device, dtype=X.dtype)
seed = self._seed + 1
if self.Xs is None:
base_samples = new_base_samples
else:
base_samples = torch.cat([self._base_samples, new_base_samples], dim=-2)
# TODO: Deduplicate repeated evaluations / deal with numerical degeneracies
# that could lead to non-determinsitic evaluations. We could use SVD- or
# eigendecomposition-based sampling, but we probably don't want to use this
# by default for performance reasonse.
Ys = posterior.rsample(torch.Size(), base_samples=base_samples)
self.register_buffer("_Xs", X_eval)
self.register_buffer("_Ys", Ys)
self.register_buffer("_seed", seed)
self.register_buffer("_base_samples", base_samples)
return self.Ys[..., -(X.size(-2)) :, :]
def test_MultivariateNormalQMCEngineSeededInvTransform(self, cuda=False):
device = torch.device("cuda") if cuda else torch.device("cpu")
for dtype in (torch.float, torch.double):
# test even dimension
with manual_seed(54321):
a = torch.randn(2, 2)
cov = a @ a.transpose(-1, -2) + torch.rand(2).diag()
mean = torch.zeros(2, device=device, dtype=dtype)
cov = cov.to(device=device, dtype=dtype)
engine = MultivariateNormalQMCEngine(mean=mean,
cov=cov,
seed=12345,
inv_transform=True)
samples = engine.draw(n=2)
self.assertEqual(samples.dtype, dtype)
self.assertEqual(samples.device.type, device.type)
samples_expected = torch.tensor(
[[-0.560064316, 0.629113674], [-1.292604208, -0.048077226]],
device=device,
dtype=dtype,
)
self.assertTrue(torch.allclose(samples, samples_expected))
# test odd dimension
with manual_seed(54321):
a = torch.randn(3, 3)
cov = a @ a.transpose(-1, -2) + torch.rand(3).diag()
mean = torch.zeros(3, device=device, dtype=dtype)
cov = cov.to(device=device, dtype=dtype)
engine = MultivariateNormalQMCEngine(mean=mean,
cov=cov,
seed=12345,
inv_transform=True)
samples = engine.draw(n=2)
self.assertEqual(samples.dtype, dtype)
self.assertEqual(samples.device.type, device.type)
samples_expected = torch.tensor(
[
[-2.388370037, 3.071142435, -0.319439292],
[-0.282978594, -4.350236893, -1.085214734],
],
device=device,
dtype=dtype,
)
self.assertTrue(torch.allclose(samples, samples_expected))
def test_MultivariateNormalQMCEngineSeededInvTransform(self, cuda=False):
device = torch.device("cuda") if cuda else torch.device("cpu")
for dtype in (torch.float, torch.double):
# test even dimension
with manual_seed(54321):
a = torch.randn(2, 2)
cov = a @ a.transpose(-1, -2) + torch.rand(2).diag()
mean = torch.zeros(2, device=device, dtype=dtype)
cov = cov.to(device=device, dtype=dtype)
engine = MultivariateNormalQMCEngine(
mean=mean, cov=cov, seed=12345, inv_transform=True
)
samples = engine.draw(n=2)
self.assertEqual(samples.dtype, dtype)
self.assertEqual(samples.device.type, device.type)
samples_expected = torch.tensor(
[[-0.560064316, 0.629113674], [-1.292604208, -0.048077226]],
device=device,
dtype=dtype,
)
self.assertTrue(torch.allclose(samples, samples_expected))
# test odd dimension
with manual_seed(54321):
a = torch.randn(3, 3)
cov = a @ a.transpose(-1, -2) + torch.rand(3).diag()
mean = torch.zeros(3, device=device, dtype=dtype)
cov = cov.to(device=device, dtype=dtype)
engine = MultivariateNormalQMCEngine(
mean=mean, cov=cov, seed=12345, inv_transform=True
)
samples = engine.draw(n=2)
self.assertEqual(samples.dtype, dtype)
self.assertEqual(samples.device.type, device.type)
samples_expected = torch.tensor(
[
[-2.388370037, 3.071142435, -0.319439292],
[-0.282978594, -4.350236893, -1.085214734],
],
device=device,
dtype=dtype,
)
self.assertTrue(torch.allclose(samples, samples_expected))
def test_get_ehvi(self):
weights = torch.tensor([0.0, 1.0, 1.0])
X_observed = torch.rand(4, 3)
X_pending = torch.rand(1, 3)
constraints = (torch.tensor([1.0, 0.0, 0.0]), torch.tensor([[10.0]]))
Y = torch.rand(4, 3)
mm = MockModel(MockPosterior(mean=Y))
objective_thresholds = torch.arange(3, dtype=torch.float)
obj_and_obj_t = get_weighted_mc_objective_and_objective_thresholds(
objective_weights=weights,
objective_thresholds=objective_thresholds,
)
(weighted_obj, new_obj_thresholds) = obj_and_obj_t
cons_tfs = get_outcome_constraint_transforms(constraints)
with manual_seed(0):
seed = torch.randint(1, 10000, (1, )).item()
with ExitStack() as es:
mock_get_acqf = es.enter_context(mock.patch(GET_ACQF_PATH))
es.enter_context(
mock.patch(GET_CONSTRAINT_PATH, return_value=cons_tfs))
es.enter_context(
mock.patch(GET_OBJ_PATH, return_value=obj_and_obj_t))
es.enter_context(manual_seed(0))
get_EHVI(
model=mm,
objective_weights=weights,
outcome_constraints=constraints,
objective_thresholds=objective_thresholds,
X_observed=X_observed,
X_pending=X_pending,
)
mock_get_acqf.assert_called_once_with(
acquisition_function_name="qEHVI",
model=mm,
objective=weighted_obj,
X_observed=X_observed,
X_pending=X_pending,
constraints=cons_tfs,
mc_samples=128,
qmc=True,
alpha=0.0,
seed=seed,
ref_point=new_obj_thresholds.tolist(),
Y=Y,
)
def test_MultivariateNormalQMCEngineSeeded(self, cuda=False):
device = torch.device("cuda") if cuda else torch.device("cpu")
for dtype in (torch.float, torch.double):
# test even dimension
with manual_seed(54321):
a = torch.randn(2, 2)
cov = a @ a.transpose(-1, -2) + torch.rand(2).diag()
mean = torch.zeros(2, device=device, dtype=dtype)
cov = cov.to(device=device, dtype=dtype)
engine = MultivariateNormalQMCEngine(mean=mean,
cov=cov,
seed=12345)
samples = engine.draw(n=2)
self.assertEqual(samples.dtype, dtype)
self.assertEqual(samples.device.type, device.type)
samples_expected = torch.tensor(
[[-0.849047422, -0.713852942], [0.398635030, 1.350660801]],
device=device,
dtype=dtype,
)
self.assertTrue(torch.allclose(samples, samples_expected))
# test odd dimension
with manual_seed(54321):
a = torch.randn(3, 3)
cov = a @ a.transpose(-1, -2) + torch.rand(3).diag()
mean = torch.zeros(3, device=device, dtype=dtype)
cov = cov.to(device=device, dtype=dtype)
engine = MultivariateNormalQMCEngine(mean, cov, seed=12345)
samples = engine.draw(n=2)
self.assertEqual(samples.dtype, dtype)
self.assertEqual(samples.device.type, device.type)
samples_expected = torch.tensor(
[
[3.113158941, -3.262257099, -0.819938779],
[0.621987879, 2.352285624, -1.992680788],
],
device=device,
dtype=dtype,
)
self.assertTrue(torch.allclose(samples, samples_expected))
def test_MultivariateNormalQMCEngineSeeded(self, cuda=False):
device = torch.device("cuda") if cuda else torch.device("cpu")
for dtype in (torch.float, torch.double):
# test even dimension
with manual_seed(54321):
a = torch.randn(2, 2)
cov = a @ a.transpose(-1, -2) + torch.rand(2).diag()
mean = torch.zeros(2, device=device, dtype=dtype)
cov = cov.to(device=device, dtype=dtype)
engine = MultivariateNormalQMCEngine(mean=mean, cov=cov, seed=12345)
samples = engine.draw(n=2)
self.assertEqual(samples.dtype, dtype)
self.assertEqual(samples.device.type, device.type)
samples_expected = torch.tensor(
[[-0.849047422, -0.713852942], [0.398635030, 1.350660801]],
device=device,
dtype=dtype,
)
self.assertTrue(torch.allclose(samples, samples_expected))
# test odd dimension
with manual_seed(54321):
a = torch.randn(3, 3)
cov = a @ a.transpose(-1, -2) + torch.rand(3).diag()
mean = torch.zeros(3, device=device, dtype=dtype)
cov = cov.to(device=device, dtype=dtype)
engine = MultivariateNormalQMCEngine(mean, cov, seed=12345)
samples = engine.draw(n=2)
self.assertEqual(samples.dtype, dtype)
self.assertEqual(samples.device.type, device.type)
samples_expected = torch.tensor(
[
[3.113158941, -3.262257099, -0.819938779],
[0.621987879, 2.352285624, -1.992680788],
],
device=device,
dtype=dtype,
)
self.assertTrue(torch.allclose(samples, samples_expected))
def test_MultivariateNormalQMCEngineSeededOut(self):
for dtype in (torch.float, torch.double):
# test even dimension
with manual_seed(54321):
a = torch.randn(2, 2)
cov = a @ a.transpose(-1, -2) + torch.rand(2).diag()
mean = torch.zeros(2, device=self.device, dtype=dtype)
cov = cov.to(device=self.device, dtype=dtype)
engine = MultivariateNormalQMCEngine(mean=mean,
cov=cov,
seed=12345)
out = torch.empty(2, 2, device=self.device, dtype=dtype)
self.assertIsNone(engine.draw(n=2, out=out))
samples_expected = torch.tensor(
[[-0.849047422, -0.713852942], [0.398635030, 1.350660801]],
device=self.device,
dtype=dtype,
)
self.assertTrue(torch.allclose(out, samples_expected))
# test odd dimension
with manual_seed(54321):
a = torch.randn(3, 3)
cov = a @ a.transpose(-1, -2) + torch.rand(3).diag()
mean = torch.zeros(3, device=self.device, dtype=dtype)
cov = cov.to(device=self.device, dtype=dtype)
engine = MultivariateNormalQMCEngine(mean, cov, seed=12345)
out = torch.empty(2, 3, device=self.device, dtype=dtype)
self.assertIsNone(engine.draw(n=2, out=out))
samples_expected = torch.tensor(
[
[3.113158941, -3.262257099, -0.819938779],
[0.621987879, 2.352285624, -1.992680788],
],
device=self.device,
dtype=dtype,
)
self.assertTrue(torch.allclose(out, samples_expected))
def _get_model_and_data(
self, batch_shape, m, outcome_transform=None, input_transform=None, **tkwargs
):
with manual_seed(0):
train_X, train_Y = _get_random_data(batch_shape=batch_shape, m=m, **tkwargs)
train_Yvar = (0.1 + 0.1 * torch.rand_like(train_Y)) ** 2
model_kwargs = {
"train_X": train_X,
"train_Y": train_Y,
"train_Yvar": train_Yvar,
"input_transform": input_transform,
"outcome_transform": outcome_transform,
}
model = HeteroskedasticSingleTaskGP(**model_kwargs)
return model, model_kwargs
def _get_model_and_data(self,
batch_shape,
m,
outcome_transform=None,
**tkwargs):
with manual_seed(0):
train_X, train_Y = _get_random_data(batch_shape=batch_shape,
num_outputs=m,
**tkwargs)
train_Yvar = (0.1 + 0.1 * torch.rand_like(train_Y))**2
model_kwargs = {
"train_X": train_X,
"train_Y": train_Y,
"train_Yvar": train_Yvar,
}
if outcome_transform is not None:
model_kwargs["outcome_transform"] = outcome_transform
model = HeteroskedasticSingleTaskGP(**model_kwargs)
return model, model_kwargs
def _gen_new_generator_run(self, n: int = 1) -> GeneratorRun:
"""Generate new generator run for this experiment.
Args:
n: Number of arms to generate.
"""
# If random seed is not set for this optimization, context manager does
# nothing; otherwise, it sets the random seed for torch, but only for the
# scope of this call. This is important because torch seed is set globally,
# so if we just set the seed without the context manager, it can have
# serious negative impact on the performance of the models that employ
# stochasticity.
with manual_seed(seed=self._random_seed) and warnings.catch_warnings():
# Filter out GPYTorch warnings to avoid confusing users.
warnings.simplefilter("ignore")
return not_none(self.generation_strategy).gen(
experiment=self.experiment,
n=n,
pending_observations=get_pending_observation_features(
experiment=self.experiment),
)
def gen_batch_initial_conditions(acq_function,
bounds,
q,
num_restarts,
raw_samples,
options=None):
r"""[Copy of original botorch function]
Generate a batch of initial conditions for random-restart optimziation.
Args:
acq_function: The acquisition function to be optimized.
bounds: A `2 x d` tensor of lower and upper bounds for each column of `X`.
q: The number of candidates to consider.
num_restarts: The number of starting points for multistart acquisition
function optimization.
raw_samples: The number of raw samples to consider in the initialization
heuristic.
options: Options for initial condition generation. For valid options see
`initialize_q_batch` and `initialize_q_batch_nonneg`. If `options`
contains a `nonnegative=True` entry, then `acq_function` is
assumed to be non-negative (useful when using custom acquisition
functions).
Returns:
A `num_restarts x q x d` tensor of initial conditions.
Example:
>>> qEI = qExpectedImprovement(model, best_f=0.2)
>>> bounds = torch.tensor([[0.], [1.]])
>>> Xinit = gen_batch_initial_conditions(
>>> qEI, bounds, q=3, num_restarts=25, raw_samples=500
>>> )
"""
options = options or {}
seed: Optional[int] = options.get("seed")
batch_limit: Optional[int] = options.get("batch_limit")
batch_initial_arms: Tensor
factor, max_factor = 1, 5
init_kwargs = {}
device = bounds.device
bounds = bounds.cpu()
if "eta" in options:
init_kwargs["eta"] = options.get("eta")
if options.get("nonnegative") or is_nonnegative(acq_function):
init_func = initialize_q_batch_nonneg
if "alpha" in options:
init_kwargs["alpha"] = options.get("alpha")
else:
init_func = initialize_q_batch
q = 1 if q is None else q
# the dimension the samples are drawn from
dim = bounds.shape[-1] * q
if dim > SobolEngine.MAXDIM and settings.debug.on():
warnings.warn(
f"Sample dimension q*d={dim} exceeding Sobol max dimension "
f"({SobolEngine.MAXDIM}). Using iid samples instead.",
SamplingWarning,
)
while factor < max_factor:
with warnings.catch_warnings(record=True) as ws:
n = raw_samples * factor
if dim <= SobolEngine.MAXDIM:
X_rnd = draw_sobol_samples(bounds=bounds, n=n, q=q, seed=seed)
else:
with manual_seed(seed):
# load on cpu
X_rnd_nlzd = torch.rand(n * dim, dtype=bounds.dtype).view(
n, q, bounds.shape[-1])
X_rnd = bounds[0] + (bounds[1] - bounds[0]) * X_rnd_nlzd
with torch.no_grad():
if batch_limit is None:
batch_limit = X_rnd.shape[0]
Y_rnd_list = []
start_idx = 0
while start_idx < X_rnd.shape[0]:
end_idx = min(start_idx + batch_limit, X_rnd.shape[0])
Y_rnd_curr = acq_function(
X_rnd[start_idx:end_idx].to(device=device)).cpu()
Y_rnd_list.append(Y_rnd_curr)
start_idx += batch_limit
Y_rnd = torch.cat(Y_rnd_list)
batch_initial_conditions = init_func(
X=X_rnd, Y=Y_rnd, n=num_restarts,
**init_kwargs).to(device=device)
if not any(
issubclass(w.category, BadInitialCandidatesWarning)
for w in ws):
return batch_initial_conditions
if factor < max_factor:
factor += 1
if seed is not None:
seed += 1 # make sure to sample different X_rnd
warnings.warn(
"Unable to find non-zero acquisition function values - initial conditions "
"are being selected randomly.",
BadInitialCandidatesWarning,
)
return batch_initial_conditions
def gen_batch_initial_conditions(
acq_function: AcquisitionFunction,
bounds: Tensor,
q: int,
num_restarts: int,
raw_samples: int,
fixed_features: Optional[Dict[int, float]] = None,
options: Optional[Dict[str, Union[bool, float, int]]] = None,
inequality_constraints: Optional[List[Tuple[Tensor, Tensor, float]]] = None,
equality_constraints: Optional[List[Tuple[Tensor, Tensor, float]]] = None,
) -> Tensor:
r"""Generate a batch of initial conditions for random-restart optimziation.
TODO: Support t-batches of initial conditions.
Args:
acq_function: The acquisition function to be optimized.
bounds: A `2 x d` tensor of lower and upper bounds for each column of `X`.
q: The number of candidates to consider.
num_restarts: The number of starting points for multistart acquisition
function optimization.
raw_samples: The number of raw samples to consider in the initialization
heuristic. Note: if `sample_around_best` is True (the default is False),
then `2 * raw_samples` samples are used.
fixed_features: A map `{feature_index: value}` for features that
should be fixed to a particular value during generation.
options: Options for initial condition generation. For valid options see
`initialize_q_batch` and `initialize_q_batch_nonneg`. If `options`
contains a `nonnegative=True` entry, then `acq_function` is
assumed to be non-negative (useful when using custom acquisition
functions). In addition, an "init_batch_limit" option can be passed
to specify the batch limit for the initialization. This is useful
for avoiding memory limits when computing the batch posterior over
raw samples.
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`.
Returns:
A `num_restarts x q x d` tensor of initial conditions.
Example:
>>> qEI = qExpectedImprovement(model, best_f=0.2)
>>> bounds = torch.tensor([[0.], [1.]])
>>> Xinit = gen_batch_initial_conditions(
>>> qEI, bounds, q=3, num_restarts=25, raw_samples=500
>>> )
"""
options = options or {}
seed: Optional[int] = options.get("seed")
batch_limit: Optional[int] = options.get(
"init_batch_limit", options.get("batch_limit")
)
batch_initial_arms: Tensor
factor, max_factor = 1, 5
init_kwargs = {}
device = bounds.device
bounds_cpu = bounds.cpu()
if "eta" in options:
init_kwargs["eta"] = options.get("eta")
if options.get("nonnegative") or is_nonnegative(acq_function):
init_func = initialize_q_batch_nonneg
if "alpha" in options:
init_kwargs["alpha"] = options.get("alpha")
else:
init_func = initialize_q_batch
q = 1 if q is None else q
# the dimension the samples are drawn from
effective_dim = bounds.shape[-1] * q
if effective_dim > SobolEngine.MAXDIM and settings.debug.on():
warnings.warn(
f"Sample dimension q*d={effective_dim} exceeding Sobol max dimension "
f"({SobolEngine.MAXDIM}). Using iid samples instead.",
SamplingWarning,
)
while factor < max_factor:
with warnings.catch_warnings(record=True) as ws:
n = raw_samples * factor
if inequality_constraints is None and equality_constraints is None:
if effective_dim <= SobolEngine.MAXDIM:
X_rnd = draw_sobol_samples(bounds=bounds_cpu, n=n, q=q, seed=seed)
else:
with manual_seed(seed):
# load on cpu
X_rnd_nlzd = torch.rand(
n, q, bounds_cpu.shape[-1], dtype=bounds.dtype
)
X_rnd = bounds_cpu[0] + (bounds_cpu[1] - bounds_cpu[0]) * X_rnd_nlzd
else:
X_rnd = (
get_polytope_samples(
n=n * q,
bounds=bounds,
inequality_constraints=inequality_constraints,
equality_constraints=equality_constraints,
seed=seed,
n_burnin=options.get("n_burnin", 10000),
thinning=options.get("thinning", 32),
)
.view(n, q, -1)
.cpu()
)
# sample points around best
if options.get("sample_around_best", False):
X_best_rnd = sample_points_around_best(
acq_function=acq_function,
n_discrete_points=n * q,
sigma=options.get("sample_around_best_sigma", 1e-3),
bounds=bounds,
subset_sigma=options.get("sample_around_best_subset_sigma", 1e-1),
prob_perturb=options.get("sample_around_best_prob_perturb"),
)
if X_best_rnd is not None:
X_rnd = torch.cat(
[
X_rnd,
X_best_rnd.view(n, q, bounds.shape[-1]).cpu(),
],
dim=0,
)
X_rnd = fix_features(X_rnd, fixed_features=fixed_features)
with torch.no_grad():
if batch_limit is None:
batch_limit = X_rnd.shape[0]
Y_rnd_list = []
start_idx = 0
while start_idx < X_rnd.shape[0]:
end_idx = min(start_idx + batch_limit, X_rnd.shape[0])
Y_rnd_curr = acq_function(
X_rnd[start_idx:end_idx].to(device=device)
).cpu()
Y_rnd_list.append(Y_rnd_curr)
start_idx += batch_limit
Y_rnd = torch.cat(Y_rnd_list)
batch_initial_conditions = init_func(
X=X_rnd, Y=Y_rnd, n=num_restarts, **init_kwargs
).to(device=device)
if not any(issubclass(w.category, BadInitialCandidatesWarning) for w in ws):
return batch_initial_conditions
if factor < max_factor:
factor += 1
if seed is not None:
seed += 1 # make sure to sample different X_rnd
warnings.warn(
"Unable to find non-zero acquisition function values - initial conditions "
"are being selected randomly.",
BadInitialCandidatesWarning,
)
return batch_initial_conditions
def estimate_feasible_volume(
bounds: Tensor,
model: model.Model,
outcome_constraints: List[Callable[[Tensor], Tensor]],
inequality_constraints: Optional[List[Tuple[Tensor, Tensor, float]]] = None,
nsample_feature: int = 1000,
nsample_outcome: int = 1000,
threshold: float = 0.1,
verbose: bool = False,
seed: Optional[int] = None,
device: Optional[torch.device] = None,
dtype: Optional[torch.dtype] = None,
) -> Tuple[float, float]:
r"""
Monte Carlo estimate of the feasible volume with respect
to feature constraints and outcome constraints.
Args:
bounds: A `2 x d` tensor of lower and upper bounds
for each column of `X`.
model: The model used for sampling the outcomes.
outcome_constraints: A list of callables, each mapping a Tensor of dimension
`sample_shape x batch-shape x q x m` to a Tensor of dimension
`sample_shape x batch-shape x q`, where negative values imply
feasibility.
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`.
nsample_feature: The number of feature samples satisfying the bounds.
nsample_outcome: The number of outcome samples from the model posterior.
threshold: A lower limit for the probability of outcome feasibility
seed: The seed for both feature and outcome samplers. If omitted,
use a random seed.
verbose: An indicator for whether to log the results.
Returns:
2-element tuple containing:
- Estimated proportion of volume in feature space that is
feasible wrt the bounds and the inequality constraints (linear).
- Estimated proportion of feasible features for which
posterior samples (outcome) satisfies the outcome constraints
with probability above the given threshold.
"""
seed = seed if seed is not None else torch.randint(0, 1000000, (1,)).item()
with manual_seed(seed=seed):
box_samples = bounds[0] + (bounds[1] - bounds[0]) * torch.rand(
(nsample_feature, bounds.size(1)), dtype=dtype, device=device
)
features, p_feature = get_feasible_samples(
samples=box_samples, inequality_constraints=inequality_constraints
) # each new feature sample is a row
p_outcome = get_outcome_feasibility_probability(
model=model,
X=features.unsqueeze(-2),
outcome_constraints=outcome_constraints,
threshold=threshold,
nsample_outcome=nsample_outcome,
seed=seed,
)
if verbose: # pragma: no cover
logger.info(
"Proportion of volume that satisfies linear constraints: "
+ f"{p_feature:.4e}"
)
if p_feature <= 0.01:
logger.warning(
"The proportion of satisfying volume is very low and may lead to "
+ "very long run times. Consider making your constraints less "
+ "restrictive."
)
logger.info(
"Proportion of linear-feasible volume that also satisfies each "
+ f"outcome constraint with probability > 0.1: {p_outcome:.4e}"
)
if p_outcome <= 0.001:
logger.warning(
"The proportion of volume that also satisfies the outcome constraint "
+ "is very low. Consider making your parameter and outcome constraints "
+ "less restrictive."
)
return p_feature, p_outcome
def test_get_polytope_samples(self):
tkwargs = {"device": self.device}
for dtype in (torch.float, torch.double):
tkwargs["dtype"] = dtype
bounds = torch.zeros(2, 4, **tkwargs)
bounds[1] = 1
inequality_constraints = [
(
torch.tensor([3], **tkwargs),
torch.tensor([-4], **tkwargs),
-3,
)
]
equality_constraints = [
(
torch.tensor([0], **tkwargs),
torch.tensor([1], **tkwargs),
0.5,
)
]
dense_equality_constraints = sparse_to_dense_constraints(
d=4, constraints=equality_constraints
)
with manual_seed(0):
samps = get_polytope_samples(
n=5,
bounds=bounds,
inequality_constraints=inequality_constraints,
equality_constraints=equality_constraints,
seed=0,
thinning=3,
n_burnin=2,
)
(A, b) = sparse_to_dense_constraints(
d=4, constraints=inequality_constraints
)
dense_inequality_constraints = (-A, -b)
with manual_seed(0):
expected_samps = HitAndRunPolytopeSampler(
bounds=bounds,
inequality_constraints=dense_inequality_constraints,
equality_constraints=dense_equality_constraints,
n_burnin=2,
).draw(15, seed=0)[::3]
self.assertTrue(torch.equal(samps, expected_samps))
# test no equality constraints
with manual_seed(0):
samps = get_polytope_samples(
n=5,
bounds=bounds,
inequality_constraints=inequality_constraints,
seed=0,
thinning=3,
n_burnin=2,
)
with manual_seed(0):
expected_samps = HitAndRunPolytopeSampler(
bounds=bounds,
inequality_constraints=dense_inequality_constraints,
n_burnin=2,
).draw(15, seed=0)[::3]
self.assertTrue(torch.equal(samps, expected_samps))
# test no inequality constraints
with manual_seed(0):
samps = get_polytope_samples(
n=5,
bounds=bounds,
equality_constraints=equality_constraints,
seed=0,
thinning=3,
n_burnin=2,
)
with manual_seed(0):
expected_samps = HitAndRunPolytopeSampler(
bounds=bounds,
equality_constraints=dense_equality_constraints,
n_burnin=2,
).draw(15, seed=0)[::3]
self.assertTrue(torch.equal(samps, expected_samps))
def sample_relative(
self,
study: Study,
trial: FrozenTrial,
search_space: Dict[str, BaseDistribution],
) -> Dict[str, Any]:
assert isinstance(search_space, OrderedDict)
if len(search_space) == 0:
return {}
trials = study.get_trials(deepcopy=False, states=(TrialState.COMPLETE,))
n_trials = len(trials)
if n_trials < self._n_startup_trials:
return {}
trans = _SearchSpaceTransform(search_space)
n_objectives = len(study.directions)
values: Union[numpy.ndarray, torch.Tensor] = numpy.empty(
(n_trials, n_objectives), dtype=numpy.float64
)
params: Union[numpy.ndarray, torch.Tensor]
con: Optional[Union[numpy.ndarray, torch.Tensor]] = None
bounds: Union[numpy.ndarray, torch.Tensor] = trans.bounds
params = numpy.empty((n_trials, trans.bounds.shape[0]), dtype=numpy.float64)
for trial_idx, trial in enumerate(trials):
params[trial_idx] = trans.transform(trial.params)
assert len(study.directions) == len(trial.values)
for obj_idx, (direction, value) in enumerate(zip(study.directions, trial.values)):
assert value is not None
if direction == StudyDirection.MINIMIZE: # BoTorch always assumes maximization.
value *= -1
values[trial_idx, obj_idx] = value
if self._constraints_func is not None:
constraints = study._storage.get_trial_system_attrs(trial._trial_id).get(
_CONSTRAINTS_KEY
)
if constraints is not None:
n_constraints = len(constraints)
if con is None:
con = numpy.full((n_trials, n_constraints), numpy.nan, dtype=numpy.float64)
elif n_constraints != con.shape[1]:
raise RuntimeError(
f"Expected {con.shape[1]} constraints but received {n_constraints}."
)
con[trial_idx] = constraints
if self._constraints_func is not None:
if con is None:
warnings.warn(
"`constraints_func` was given but no call to it correctly computed "
"constraints. Constraints passed to `candidates_func` will be `None`."
)
elif numpy.isnan(con).any():
warnings.warn(
"`constraints_func` was given but some calls to it did not correctly compute "
"constraints. Constraints passed to `candidates_func` will contain NaN."
)
values = torch.from_numpy(values)
params = torch.from_numpy(params)
if con is not None:
con = torch.from_numpy(con)
bounds = torch.from_numpy(bounds)
if con is not None:
if con.dim() == 1:
con.unsqueeze_(-1)
bounds.transpose_(0, 1)
if self._candidates_func is None:
self._candidates_func = _get_default_candidates_func(n_objectives=n_objectives)
with manual_seed(self._seed):
# `manual_seed` makes the default candidates functions reproducible.
# `SobolQMCNormalSampler`'s constructor has a `seed` argument, but its behavior is
# deterministic when the BoTorch's seed is fixed.
candidates = self._candidates_func(params, values, con, bounds)
if self._seed is not None:
self._seed += 1
if not isinstance(candidates, torch.Tensor):
raise TypeError("Candidates must be a torch.Tensor.")
if candidates.dim() == 2:
if candidates.size(0) != 1:
raise ValueError(
"Candidates batch optimization is not supported and the first dimension must "
"have size 1 if candidates is a two-dimensional tensor. Actual: "
f"{candidates.size()}."
)
# Batch size is one. Get rid of the batch dimension.
candidates = candidates.squeeze(0)
if candidates.dim() != 1:
raise ValueError("Candidates must be one or two-dimensional.")
if candidates.size(0) != bounds.size(1):
raise ValueError(
"Candidates size must match with the given bounds. Actual candidates: "
f"{candidates.size(0)}, bounds: {bounds.size(1)}."
)
return trans.untransform(candidates.numpy())
