def test_initialize_covar_module(self):
kernel = LinearTruncatedFidelityKernel()
self.assertTrue(isinstance(kernel.covar_module_1, MaternKernel))
self.assertTrue(isinstance(kernel.covar_module_2, MaternKernel))
kernel.covar_module_1 = RBFKernel()
kernel.covar_module_2 = RBFKernel()
self.assertTrue(isinstance(kernel.covar_module_1, RBFKernel))
self.assertTrue(isinstance(kernel.covar_module_2, RBFKernel))
kernel2 = LinearTruncatedFidelityKernel(covar_module_1=RBFKernel(),
covar_module_2=RBFKernel())
self.assertTrue(isinstance(kernel2.covar_module_1, RBFKernel))
self.assertTrue(isinstance(kernel2.covar_module_2, RBFKernel))
def test_manual_bounds(self, cuda=False):
device = torch.device("cuda") if cuda else torch.device("cpu")
for dtype in (torch.float, torch.double):
# get a test module
train_x = torch.tensor([[1.0, 2.0, 3.0]], device=device, dtype=dtype)
train_y = torch.tensor([4.0], device=device, dtype=dtype)
likelihood = GaussianLikelihood()
model = ExactGP(train_x, train_y, likelihood)
model.covar_module = RBFKernel(ard_num_dims=3)
model.mean_module = ConstantMean()
model.to(device=device, dtype=dtype)
mll = ExactMarginalLogLikelihood(likelihood, model)
# test the basic case
x, pdict, bounds = module_to_array(
module=mll, bounds={"model.covar_module.raw_lengthscale": (0.1, None)}
)
self.assertTrue(np.array_equal(x, np.zeros(5)))
expected_sizes = {
"likelihood.noise_covar.raw_noise": torch.Size([1]),
"model.covar_module.raw_lengthscale": torch.Size([1, 3]),
"model.mean_module.constant": torch.Size([1]),
}
self.assertEqual(set(pdict.keys()), set(expected_sizes.keys()))
for pname, val in pdict.items():
self.assertEqual(val.dtype, dtype)
self.assertEqual(val.shape, expected_sizes[pname])
self.assertEqual(val.device.type, device.type)
lower_exp = np.full_like(x, 0.1)
for p in ("likelihood.noise_covar.raw_noise", "model.mean_module.constant"):
lower_exp[_get_index(pdict, p)] = -np.inf
self.assertTrue(np.equal(bounds[0], lower_exp).all())
self.assertTrue(np.equal(bounds[1], np.full_like(x, np.inf)).all())
def test_exclude(self):
for dtype in (torch.float, torch.double):
# get a test module
train_x = torch.tensor([[1.0, 2.0, 3.0]],
device=self.device,
dtype=dtype)
train_y = torch.tensor([4.0], device=self.device, dtype=dtype)
likelihood = GaussianLikelihood()
model = ExactGP(train_x, train_y, likelihood)
model.covar_module = RBFKernel(ard_num_dims=3)
model.mean_module = ConstantMean()
model.to(device=self.device, dtype=dtype)
mll = ExactMarginalLogLikelihood(likelihood, model)
# test the basic case
x, pdict, bounds = module_to_array(
module=mll, exclude={"model.mean_module.constant"})
self.assertTrue(np.array_equal(x, np.zeros(4)))
expected_sizes = {
"likelihood.noise_covar.raw_noise": torch.Size([1]),
"model.covar_module.raw_lengthscale": torch.Size([1, 3]),
}
self.assertEqual(set(pdict.keys()), set(expected_sizes.keys()))
for pname, val in pdict.items():
self.assertEqual(val.dtype, dtype)
self.assertEqual(val.shape, expected_sizes[pname])
self.assertEqual(val.device.type, self.device.type)
self.assertIsNone(bounds)
def test_initialize_covar_module(self):
kernel = LinearTruncatedFidelityKernel(fidelity_dims=[1, 2], dimension=3)
self.assertTrue(isinstance(kernel.covar_module_unbiased, MaternKernel))
self.assertTrue(isinstance(kernel.covar_module_biased, MaternKernel))
kernel.covar_module_unbiased = RBFKernel()
kernel.covar_module_biased = RBFKernel()
self.assertTrue(isinstance(kernel.covar_module_unbiased, RBFKernel))
self.assertTrue(isinstance(kernel.covar_module_biased, RBFKernel))
kernel2 = LinearTruncatedFidelityKernel(
fidelity_dims=[1, 2],
dimension=3,
covar_module_unbiased=RBFKernel(),
covar_module_biased=RBFKernel(),
)
self.assertTrue(isinstance(kernel2.covar_module_unbiased, RBFKernel))
self.assertTrue(isinstance(kernel2.covar_module_biased, RBFKernel))
def __init__(
self,
train_X: Tensor,
train_Y: Tensor,
train_iteration_fidelity: bool = True,
train_data_fidelity: bool = True,
likelihood: Optional[Likelihood] = None,
) -> None:
train_X, train_Y, _ = self._set_dimensions(train_X=train_X,
train_Y=train_Y)
num_fidelity = train_iteration_fidelity + train_data_fidelity
ard_num_dims = train_X.shape[-1] - num_fidelity
active_dimsX = list(range(train_X.shape[-1] - num_fidelity))
rbf_kernel = RBFKernel(
ard_num_dims=ard_num_dims,
batch_shape=self._aug_batch_shape,
lengthscale_prior=GammaPrior(3.0, 6.0),
active_dims=active_dimsX,
)
exp_kernel = ExpDecayKernel(
batch_shape=self._aug_batch_shape,
lengthscale_prior=GammaPrior(3.0, 6.0),
offset_prior=GammaPrior(3.0, 6.0),
power_prior=GammaPrior(3.0, 6.0),
)
ds_kernel = DownsamplingKernel(
batch_shape=self._aug_batch_shape,
offset_prior=GammaPrior(3.0, 6.0),
power_prior=GammaPrior(3.0, 6.0),
)
if train_iteration_fidelity and train_data_fidelity:
active_dimsS1 = [train_X.shape[-1] - 1]
active_dimsS2 = [train_X.shape[-1] - 2]
exp_kernel.active_dims = torch.tensor(active_dimsS1)
ds_kernel.active_dims = torch.tensor(active_dimsS2)
kernel = rbf_kernel * exp_kernel * ds_kernel
elif train_iteration_fidelity or train_data_fidelity:
active_dimsS = [train_X.shape[-1] - 1]
if train_iteration_fidelity:
exp_kernel.active_dims = torch.tensor(active_dimsS)
kernel = rbf_kernel * exp_kernel
else:
ds_kernel.active_dims = torch.tensor(active_dimsS)
kernel = rbf_kernel * ds_kernel
else:
raise UnsupportedError(
"You should have at least one fidelity parameter.")
covar_module = ScaleKernel(
kernel,
batch_shape=self._aug_batch_shape,
outputscale_prior=GammaPrior(2.0, 0.15),
)
super().__init__(train_X=train_X,
train_Y=train_Y,
covar_module=covar_module)
self.to(train_X)
def __init__(
self,
train_X: Tensor,
train_Y: Tensor,
task_feature: int,
context_cat_feature: Optional[Tensor] = None,
context_emb_feature: Optional[Tensor] = None,
embs_dim_list: Optional[List[int]] = None,
output_tasks: Optional[List[int]] = None,
input_transform: Optional[InputTransform] = None,
outcome_transform: Optional[OutcomeTransform] = None,
) -> None:
super().__init__(
train_X=train_X,
train_Y=train_Y,
task_feature=task_feature,
output_tasks=output_tasks,
input_transform=input_transform,
outcome_transform=outcome_transform,
)
self.device = train_X.device
# context indices
all_tasks = train_X[:, task_feature].unique()
self.all_tasks = all_tasks.to(dtype=torch.long).tolist()
self.all_tasks.sort() # unique in python does automatic sort; add for safety
if context_cat_feature is None:
context_cat_feature = all_tasks.unsqueeze(-1).to(device=self.device)
self.context_cat_feature = context_cat_feature # row indices = context indices
self.context_emb_feature = context_emb_feature
# construct emb_dims based on categorical features
if embs_dim_list is None:
# set embedding_dim = 1 for each categorical variable
embs_dim_list = [1 for _i in range(context_cat_feature.size(1))]
n_embs = sum(embs_dim_list)
self.emb_dims = [
(len(context_cat_feature[:, i].unique()), embs_dim_list[i])
for i in range(context_cat_feature.size(1))
]
# contruct embedding layer: need to handle multiple categorical features
self.emb_layers = ModuleList(
[
torch.nn.Embedding(num_embeddings=x, embedding_dim=y, max_norm=1.0)
for x, y in self.emb_dims
]
)
self.task_covar_module = RBFKernel(
ard_num_dims=n_embs,
lengthscale_constraint=Interval(
0.0, 2.0, transform=None, initial_value=1.0
),
)
self.to(train_X)
def test_set_parameters(self):
for dtype in (torch.float, torch.double):
# get a test module
train_x = torch.tensor([[1.0, 2.0, 3.0]],
device=self.device,
dtype=dtype)
train_y = torch.tensor([4.0], device=self.device, dtype=dtype)
likelihood = GaussianLikelihood()
model = ExactGP(train_x, train_y, likelihood)
model.covar_module = RBFKernel(ard_num_dims=3)
model.mean_module = ConstantMean()
model.to(device=self.device, dtype=dtype)
mll = ExactMarginalLogLikelihood(likelihood, model)
# get parameters
x, pdict, bounds = module_to_array(module=mll)
# Set parameters
mll = set_params_with_array(mll,
np.array([1.0, 2.0, 3.0, 4.0,
5.0]), pdict)
z = dict(mll.named_parameters())
self.assertTrue(
torch.equal(
z["likelihood.noise_covar.raw_noise"],
torch.tensor([1.0], device=self.device, dtype=dtype),
))
self.assertTrue(
torch.equal(
z["model.covar_module.raw_lengthscale"],
torch.tensor([[2.0, 3.0, 4.0]],
device=self.device,
dtype=dtype),
))
self.assertTrue(
torch.equal(
z["model.mean_module.constant"],
torch.tensor([5.0], device=self.device, dtype=dtype),
))
# Extract again
x2, pdict2, bounds2 = module_to_array(module=mll)
self.assertTrue(
np.array_equal(x2, np.array([1.0, 2.0, 3.0, 4.0, 5.0])))
def __init__(self, train_X: Tensor, train_Y: Tensor,
train_Yvar: Tensor) -> None:
self._validate_tensor_args(X=train_X, Y=train_Y, Yvar=train_Yvar)
self._set_dimensions(train_X=train_X, train_Y=train_Y)
train_X, train_Y, train_Yvar = self._transform_tensor_args(
X=train_X, Y=train_Y, Yvar=train_Yvar)
likelihood = FixedNoiseGaussianLikelihood(
noise=train_Yvar, batch_shape=self._aug_batch_shape)
ExactGP.__init__(self,
train_inputs=train_X,
train_targets=train_Y,
likelihood=likelihood)
self.mean_module = ConstantMean(batch_shape=self._aug_batch_shape)
self.covar_module = ScaleKernel(
base_kernel=RBFKernel(
ard_num_dims=train_X.shape[-1],
batch_shape=self._aug_batch_shape,
),
batch_shape=self._aug_batch_shape,
)
self.to(train_X)
def __init__(
self,
datapoints: Tensor,
comparisons: Tensor,
covar_module: Optional[Module] = None,
noise_module: Optional[HomoskedasticNoise] = None,
**kwargs,
) -> None:
super().__init__()
r"""A probit-likelihood GP with Laplace approximation model.
A probit-likelihood GP with Laplace approximation model that learns via
pairwise comparison data. By default it uses a scaled-RBF kernel.
Args:
datapoints: A `batch_shape x n x d` tensor of training features.
comparisons: A `batch_shape x m x 2` training comparisons;
comparisons[i] is a noisy indicator suggesting the utility value
of comparisons[i, 0]-th is greater than comparisons[i, 1]-th.
covar_module: Covariance module
noise_module: Noise module
"""
# Compatibility variables with fit_gpytorch_*: Dummy likelihood
# Likelihood is tightly tied with this model and
# it doesn't make much sense to keep it separate
self.likelihood = None
# TODO: remove these variables from `state_dict()` so that when calling
# `load_state_dict()`, only the hyperparameters are copied over
self.register_buffer("datapoints", None)
self.register_buffer("comparisons", None)
self.register_buffer("utility", None)
self.register_buffer("covar_chol", None)
self.register_buffer("likelihood_hess", None)
self.register_buffer("hlcov_eye", None)
self.register_buffer("covar", None)
self.register_buffer("covar_inv", None)
self.train_inputs = []
self.train_targets = None
self.pred_cov_fac_need_update = True
self._input_batch_shape = torch.Size()
self.dim = None
# will be set to match datapoints' dtype and device
# since scipy.optimize.fsolve only works on cpu, it'd be the
# fastest to fit the model on cpu and take samples on gpu to avoid
# overhead of moving data back and forth during fitting time
self.tkwargs = {}
# See set_train_data for additional compatibility variables
self.set_train_data(datapoints, comparisons, update_model=False)
# Set optional parameters
# jitter to add for numerical stability
self._jitter = kwargs.get("jitter", 1e-6)
# Clamping z lim for better numerical stability. See self._calc_z for detail
# norm_cdf(z=3) ~= 0.999, top 0.1% percent
self._zlim = kwargs.get("zlim", 3)
# Stopping creteria in scipy.optimize.fsolve used to find f_map in _update()
# If None, set to 1e-6 by default in _update
self._xtol = kwargs.get("xtol")
# The maximum number of calls to the function in scipy.optimize.fsolve
# If None, set to 100 by default in _update
# If zero, then 100*(N+1) is used by default by fsolve;
self._maxfev = kwargs.get("maxfev")
# Set hyperparameters
# Do not set the batch_shape explicitly so mean_module can operate in both mode
# once fsolve used in _update can run in batch mode, we should explicitly set
# the bacth shape here
self.mean_module = ConstantMean()
# Do not optimize constant mean prior
for param in self.mean_module.parameters():
param.requires_grad = False
# set covariance module
if noise_module is None:
noise_module = HomoskedasticNoise(
noise_prior=SmoothedBoxPrior(-5, 5, 0.5, transform=torch.log),
noise_constraint=GreaterThan(1e-4), # if None, 1e-4 by default
batch_shape=self._input_batch_shape,
)
self.noise_module = noise_module
# set covariance module
if covar_module is None:
ls_prior = GammaPrior(1.2, 0.5)
ls_prior_mode = (ls_prior.concentration - 1) / ls_prior.rate
covar_module = RBFKernel(
batch_shape=self._input_batch_shape,
ard_num_dims=self.dim,
lengthscale_prior=ls_prior,
lengthscale_constraint=Positive(transform=None,
initial_value=ls_prior_mode),
)
self.covar_module = covar_module
self._x0 = None # will store temporary results for warm-starting
if self.datapoints is not None and self.comparisons is not None:
self.to(dtype=self.datapoints.dtype, device=self.datapoints.device)
self._update() # Find f_map for initial parameters
self.to(self.datapoints)
def _setup_multifidelity_covar_module(
dim: int,
aug_batch_shape: torch.Size,
iteration_fidelity: Optional[int],
data_fidelity: Optional[int],
linear_truncated: bool,
nu: float,
) -> Tuple[ScaleKernel, Dict]:
"""Helper function to get the covariance module and associated subset_batch_dict
for the multifidelity setting.
Args:
dim: The dimensionality of the training data.
aug_batch_shape: The output-augmented batch shape as defined in
`BatchedMultiOutputGPyTorchModel`.
iteration_fidelity: The column index for the training iteration fidelity
parameter (optional).
data_fidelity: The column index for the downsampling fidelity parameter
(optional).
linear_truncated: If True, use a `LinearTruncatedFidelityKernel` instead
of the default kernel.
nu: The smoothness parameter for the Matern kernel: either 1/2, 3/2, or
5/2. Only used when `linear_truncated=True`.
Returns:
The covariance module and subset_batch_dict.
"""
if iteration_fidelity is not None and iteration_fidelity < 0:
iteration_fidelity = dim + iteration_fidelity
if data_fidelity is not None and data_fidelity < 0:
data_fidelity = dim + data_fidelity
if linear_truncated:
fidelity_dims = [
i for i in (iteration_fidelity, data_fidelity) if i is not None
]
kernel = LinearTruncatedFidelityKernel(
fidelity_dims=fidelity_dims,
dimension=dim,
nu=nu,
batch_shape=aug_batch_shape,
power_prior=GammaPrior(3.0, 3.0),
)
else:
active_dimsX = [
i for i in range(dim)
if i not in {iteration_fidelity, data_fidelity}
]
kernel = RBFKernel(
ard_num_dims=len(active_dimsX),
batch_shape=aug_batch_shape,
lengthscale_prior=GammaPrior(3.0, 6.0),
active_dims=active_dimsX,
)
additional_kernels = []
if iteration_fidelity is not None:
exp_kernel = ExponentialDecayKernel(
batch_shape=aug_batch_shape,
lengthscale_prior=GammaPrior(3.0, 6.0),
offset_prior=GammaPrior(3.0, 6.0),
power_prior=GammaPrior(3.0, 6.0),
active_dims=[iteration_fidelity],
)
additional_kernels.append(exp_kernel)
if data_fidelity is not None:
ds_kernel = DownsamplingKernel(
batch_shape=aug_batch_shape,
offset_prior=GammaPrior(3.0, 6.0),
power_prior=GammaPrior(3.0, 6.0),
active_dims=[data_fidelity],
)
additional_kernels.append(ds_kernel)
kernel = ProductKernel(kernel, *additional_kernels)
covar_module = ScaleKernel(kernel,
batch_shape=aug_batch_shape,
outputscale_prior=GammaPrior(2.0, 0.15))
if linear_truncated:
subset_batch_dict = {
"covar_module.base_kernel.raw_power": -2,
"covar_module.base_kernel.covar_module_unbiased.raw_lengthscale":
-3,
"covar_module.base_kernel.covar_module_biased.raw_lengthscale": -3,
}
else:
subset_batch_dict = {
"covar_module.base_kernel.kernels.0.raw_lengthscale": -3,
"covar_module.base_kernel.kernels.1.raw_power": -2,
"covar_module.base_kernel.kernels.1.raw_offset": -2,
}
if iteration_fidelity is not None:
subset_batch_dict = {
"covar_module.base_kernel.kernels.1.raw_lengthscale": -3,
**subset_batch_dict,
}
if data_fidelity is not None:
subset_batch_dict = {
"covar_module.base_kernel.kernels.2.raw_power": -2,
"covar_module.base_kernel.kernels.2.raw_offset": -2,
**subset_batch_dict,
}
return covar_module, subset_batch_dict
def __init__(
self,
datapoints: Tensor,
comparisons: Tensor,
covar_module: Optional[Module] = None,
input_transform: Optional[InputTransform] = None,
**kwargs,
) -> None:
r"""A probit-likelihood GP with Laplace approximation model that learns via
pairwise comparison data. By default it uses a scaled RBF kernel.
Args:
datapoints: A `batch_shape x n x d` tensor of training features.
comparisons: A `batch_shape x m x 2` training comparisons;
comparisons[i] is a noisy indicator suggesting the utility value
of comparisons[i, 0]-th is greater than comparisons[i, 1]-th.
covar_module: Covariance module.
input_transform: An input transform that is applied in the model's
forward pass.
"""
super().__init__()
if input_transform is not None:
input_transform.to(datapoints)
# input transformation is applied in set_train_data
self.input_transform = input_transform
# Compatibility variables with fit_gpytorch_*: Dummy likelihood
# Likelihood is tightly tied with this model and
# it doesn't make much sense to keep it separate
self.likelihood = None
# TODO: remove these variables from `state_dict()` so that when calling
# `load_state_dict()`, only the hyperparameters are copied over
self.register_buffer("datapoints", None)
self.register_buffer("comparisons", None)
self.register_buffer("D", None)
self.register_buffer("DT", None)
self.register_buffer("utility", None)
self.register_buffer("covar_chol", None)
self.register_buffer("likelihood_hess", None)
self.register_buffer("hlcov_eye", None)
self.register_buffer("covar", None)
self.register_buffer("covar_inv", None)
self.train_inputs = []
self.train_targets = None
self.pred_cov_fac_need_update = True
self.dim = None
# See set_train_data for additional compatibility variables.
# Not that the datapoints here are not transformed even if input_transform
# is not None to avoid double transformation during model fitting.
# self.transform_inputs is called in `forward`
self.set_train_data(datapoints, comparisons, update_model=False)
# Set optional parameters
# jitter to add for numerical stability
self._jitter = kwargs.get("jitter", 1e-6)
# Clamping z lim for better numerical stability. See self._calc_z for detail
# norm_cdf(z=3) ~= 0.999, top 0.1% percent
self._zlim = kwargs.get("zlim", 3)
# Stopping creteria in scipy.optimize.fsolve used to find f_map in _update()
# If None, set to 1e-6 by default in _update
self._xtol = kwargs.get("xtol")
# The maximum number of calls to the function in scipy.optimize.fsolve
# If None, set to 100 by default in _update
# If zero, then 100*(N+1) is used by default by fsolve;
self._maxfev = kwargs.get("maxfev")
# Set hyperparameters
# Do not set the batch_shape explicitly so mean_module can operate in both mode
# once fsolve used in _update can run in batch mode, we should explicitly set
# the bacth shape here
self.mean_module = ConstantMean()
# Do not optimize constant mean prior
for param in self.mean_module.parameters():
param.requires_grad = False
# set covariance module
# the default outputscale here is only a rule of thumb, meant to keep
# estimates away from scale value that would make Phi(f(x)) saturate
# at 0 or 1
if covar_module is None:
ls_prior = GammaPrior(1.2, 0.5)
ls_prior_mode = (ls_prior.concentration - 1) / ls_prior.rate
covar_module = ScaleKernel(
RBFKernel(
batch_shape=self.batch_shape,
ard_num_dims=self.dim,
lengthscale_prior=ls_prior,
lengthscale_constraint=Positive(
transform=None, initial_value=ls_prior_mode),
),
outputscale_prior=SmoothedBoxPrior(a=1, b=4),
)
self.covar_module = covar_module
self._x0 = None # will store temporary results for warm-starting
if self.datapoints is not None and self.comparisons is not None:
self.to(dtype=self.datapoints.dtype, device=self.datapoints.device)
# Find f_map for initial parameters with transformed datapoints
transformed_dp = self.transform_inputs(datapoints)
self._update(transformed_dp)
self.to(self.datapoints)
def __init__(
self,
train_X: Tensor,
train_Y: Tensor,
iteration_fidelity: Optional[int] = None,
data_fidelity: Optional[int] = None,
linear_truncated: bool = True,
nu: float = 2.5,
likelihood: Optional[Likelihood] = None,
outcome_transform: Optional[OutcomeTransform] = None,
) -> None:
self._init_args = {
"iteration_fidelity": iteration_fidelity,
"data_fidelity": data_fidelity,
"linear_truncated": linear_truncated,
"nu": nu,
"outcome_transform": outcome_transform,
}
if iteration_fidelity is None and data_fidelity is None:
raise UnsupportedError(
"SingleTaskMultiFidelityGP requires at least one fidelity parameter."
)
if iteration_fidelity is not None and iteration_fidelity < 0:
iteration_fidelity = train_X.size(-1) + iteration_fidelity
if data_fidelity is not None and data_fidelity < 0:
data_fidelity = train_X.size(-1) + data_fidelity
self._set_dimensions(train_X=train_X, train_Y=train_Y)
if linear_truncated:
fidelity_dims = [
i for i in (iteration_fidelity, data_fidelity) if i is not None
]
kernel = LinearTruncatedFidelityKernel(
fidelity_dims=fidelity_dims,
dimension=train_X.size(-1),
nu=nu,
batch_shape=self._aug_batch_shape,
power_prior=GammaPrior(3.0, 3.0),
)
else:
active_dimsX = [
i
for i in range(train_X.size(-1))
if i not in {iteration_fidelity, data_fidelity}
]
kernel = RBFKernel(
ard_num_dims=len(active_dimsX),
batch_shape=self._aug_batch_shape,
lengthscale_prior=GammaPrior(3.0, 6.0),
active_dims=active_dimsX,
)
additional_kernels = []
if iteration_fidelity is not None:
exp_kernel = ExponentialDecayKernel(
batch_shape=self._aug_batch_shape,
lengthscale_prior=GammaPrior(3.0, 6.0),
offset_prior=GammaPrior(3.0, 6.0),
power_prior=GammaPrior(3.0, 6.0),
active_dims=[iteration_fidelity],
)
additional_kernels.append(exp_kernel)
if data_fidelity is not None:
ds_kernel = DownsamplingKernel(
batch_shape=self._aug_batch_shape,
offset_prior=GammaPrior(3.0, 6.0),
power_prior=GammaPrior(3.0, 6.0),
active_dims=[data_fidelity],
)
additional_kernels.append(ds_kernel)
kernel = ProductKernel(kernel, *additional_kernels)
covar_module = ScaleKernel(
kernel,
batch_shape=self._aug_batch_shape,
outputscale_prior=GammaPrior(2.0, 0.15),
)
super().__init__(
train_X=train_X,
train_Y=train_Y,
covar_module=covar_module,
outcome_transform=outcome_transform,
)
if linear_truncated:
subset_batch_dict = {
"covar_module.base_kernel.raw_power": -2,
"covar_module.base_kernel.covar_module_unbiased.raw_lengthscale": -3,
"covar_module.base_kernel.covar_module_biased.raw_lengthscale": -3,
}
else:
subset_batch_dict = {
"covar_module.base_kernel.kernels.0.raw_lengthscale": -3,
"covar_module.base_kernel.kernels.1.raw_power": -2,
"covar_module.base_kernel.kernels.1.raw_offset": -2,
}
if iteration_fidelity is not None:
subset_batch_dict = {
"covar_module.base_kernel.kernels.1.raw_lengthscale": -3,
**subset_batch_dict,
}
if data_fidelity is not None:
subset_batch_dict = {
"covar_module.base_kernel.kernels.2.raw_power": -2,
"covar_module.base_kernel.kernels.2.raw_offset": -2,
**subset_batch_dict,
}
self._subset_batch_dict = {
"likelihood.noise_covar.raw_noise": -2,
"mean_module.constant": -2,
"covar_module.raw_outputscale": -1,
**subset_batch_dict,
}
self.to(train_X)
def __init__(
self,
train_X: Tensor,
train_Y: Tensor,
iteration_fidelity: Optional[int] = None,
data_fidelity: Optional[int] = None,
linear_truncated: bool = True,
nu: float = 2.5,
likelihood: Optional[Likelihood] = None,
) -> None:
if iteration_fidelity is None and data_fidelity is None:
raise UnsupportedError(
"SingleTaskMultiFidelityGP requires at least one fidelity parameter."
)
if iteration_fidelity is not None and iteration_fidelity < 0:
iteration_fidelity = train_X.size(-1) + iteration_fidelity
if data_fidelity is not None and data_fidelity < 0:
data_fidelity = train_X.size(-1) + data_fidelity
self._set_dimensions(train_X=train_X, train_Y=train_Y)
if linear_truncated:
fidelity_dims = [
i for i in (iteration_fidelity, data_fidelity) if i is not None
]
kernel = LinearTruncatedFidelityKernel(
fidelity_dims=fidelity_dims,
dimension=train_X.size(-1),
nu=nu,
batch_shape=self._aug_batch_shape,
power_prior=GammaPrior(3.0, 3.0),
)
else:
active_dimsX = [
i for i in range(train_X.size(-1))
if i not in {iteration_fidelity, data_fidelity}
]
kernel = RBFKernel(
ard_num_dims=len(active_dimsX),
batch_shape=self._aug_batch_shape,
lengthscale_prior=GammaPrior(3.0, 6.0),
active_dims=active_dimsX,
)
additional_kernels = []
if iteration_fidelity is not None:
exp_kernel = ExponentialDecayKernel(
batch_shape=self._aug_batch_shape,
lengthscale_prior=GammaPrior(3.0, 6.0),
offset_prior=GammaPrior(3.0, 6.0),
power_prior=GammaPrior(3.0, 6.0),
active_dims=[iteration_fidelity],
)
additional_kernels.append(exp_kernel)
if data_fidelity is not None:
ds_kernel = DownsamplingKernel(
batch_shape=self._aug_batch_shape,
offset_prior=GammaPrior(3.0, 6.0),
power_prior=GammaPrior(3.0, 6.0),
active_dims=[data_fidelity],
)
additional_kernels.append(ds_kernel)
kernel = ProductKernel(kernel, *additional_kernels)
covar_module = ScaleKernel(
kernel,
batch_shape=self._aug_batch_shape,
outputscale_prior=GammaPrior(2.0, 0.15),
)
super().__init__(train_X=train_X,
train_Y=train_Y,
covar_module=covar_module)
self.to(train_X)
