def _get_model(n, fixed_noise=False, use_octf=False, **tkwargs):
train_x1, train_y1 = _get_random_data(batch_shape=torch.Size(),
m=1,
n=10,
**tkwargs)
train_x2, train_y2 = _get_random_data(batch_shape=torch.Size(),
m=1,
n=11,
**tkwargs)
octfs = [Standardize(m=1), Standardize(m=1)] if use_octf else [None, None]
if fixed_noise:
train_y1_var = 0.1 + 0.1 * torch.rand_like(train_y1, **tkwargs)
train_y2_var = 0.1 + 0.1 * torch.rand_like(train_y2, **tkwargs)
model1 = FixedNoiseGP(
train_X=train_x1,
train_Y=train_y1,
train_Yvar=train_y1_var,
outcome_transform=octfs[0],
)
model2 = FixedNoiseGP(
train_X=train_x2,
train_Y=train_y2,
train_Yvar=train_y2_var,
outcome_transform=octfs[1],
)
else:
model1 = SingleTaskGP(train_X=train_x1,
train_Y=train_y1,
outcome_transform=octfs[0])
model2 = SingleTaskGP(train_X=train_x2,
train_Y=train_y2,
outcome_transform=octfs[1])
model = ModelListGP(model1, model2)
return model.to(**tkwargs)
def _get_model_and_data(self, batch_shape, num_outputs, **tkwargs):
train_X, train_Y = _get_random_data(batch_shape=batch_shape,
num_outputs=num_outputs,
**tkwargs)
model_kwargs = {"train_X": train_X, "train_Y": train_Y}
model = SingleTaskGP(**model_kwargs)
return model, model_kwargs
def _get_model(n, fixed_noise=False, **tkwargs):
train_x1, train_x2, train_y1, train_y2 = _get_random_data(n=n, **tkwargs)
if fixed_noise:
train_y1_var = 0.1 + 0.1 * torch.rand_like(train_y1, **tkwargs)
train_y2_var = 0.1 + 0.1 * torch.rand_like(train_y2, **tkwargs)
model1 = FixedNoiseGP(train_X=train_x1,
train_Y=train_y1,
train_Yvar=train_y1_var)
model2 = FixedNoiseGP(train_X=train_x2,
train_Y=train_y2,
train_Yvar=train_y2_var)
else:
model1 = SingleTaskGP(train_X=train_x1, train_Y=train_y1)
model2 = SingleTaskGP(train_X=train_x2, train_Y=train_y2)
model = ModelListGP(model1, model2)
return model.to(**tkwargs)
def initialize_model(train_x, train_obj):
# define models for objective and constraint
model = SingleTaskGP(train_x,
train_obj,
outcome_transform=Standardize(m=train_obj.shape[-1]))
mll = ExactMarginalLogLikelihood(model.likelihood, model)
return mll, model
def _get_model(
X: Tensor,
Y: Tensor,
Yvar: Tensor,
task_feature: Optional[int] = None,
fidelity_features: Optional[List[int]] = None,
**kwargs: Any,
) -> GPyTorchModel:
"""Instantiate a model of type depending on the input data.
Args:
X: A `n x d` tensor of input features.
Y: A `n x m` tensor of input observations.
Yvar: A `n x m` tensor of input variances (NaN if unobserved).
task_feature: The index of the column pertaining to the task feature
(if present).
fidelity_features: List of columns of X that are fidelity parameters.
Returns:
A GPyTorchModel (unfitted).
"""
Yvar = Yvar.clamp_min_(MIN_OBSERVED_NOISE_LEVEL)
is_nan = torch.isnan(Yvar)
any_nan_Yvar = torch.any(is_nan)
all_nan_Yvar = torch.all(is_nan)
if any_nan_Yvar and not all_nan_Yvar:
raise ValueError(
"Mix of known and unknown variances indicates valuation function "
"errors. Variances should all be specified, or none should be."
)
if fidelity_features is None:
fidelity_features = []
if len(fidelity_features) == 0:
# only pass linear_truncated arg if there are fidelities
kwargs = {k: v for k, v in kwargs.items() if k != "linear_truncated"}
if len(fidelity_features) > 0:
if task_feature:
raise NotImplementedError(
"multi-task multi-fidelity models not yet available"
)
# at this point we can assume that there is only a single fidelity parameter
gp = SingleTaskMultiFidelityGP(
train_X=X, train_Y=Y, data_fidelity=fidelity_features[0], **kwargs
)
elif task_feature is None and all_nan_Yvar:
gp = SingleTaskGP(train_X=X, train_Y=Y, **kwargs)
elif task_feature is None:
gp = FixedNoiseGP(train_X=X, train_Y=Y, train_Yvar=Yvar, **kwargs)
elif all_nan_Yvar:
gp = MultiTaskGP(train_X=X, train_Y=Y, task_feature=task_feature, **kwargs)
else:
gp = FixedNoiseMultiTaskGP(
train_X=X,
train_Y=Y.view(-1),
train_Yvar=Yvar.view(-1),
task_feature=task_feature,
**kwargs,
)
return gp
def _get_model(self, batch_shape, num_outputs, likelihood=None, **tkwargs):
train_x, train_y = _get_random_data(batch_shape=batch_shape,
num_outputs=num_outputs,
**tkwargs)
model = SingleTaskGP(train_X=train_x,
train_Y=train_y,
likelihood=likelihood)
mll = ExactMarginalLogLikelihood(model.likelihood, model).to(**tkwargs)
fit_gpytorch_model(mll, options={"maxiter": 1})
return model
def __init__(self, stem, init_x, init_y, lr, **kwargs):
super().__init__()
self.stem = stem.to(init_x.device)
if init_y.t().shape[0] != 1:
_batch_shape = init_y.t().shape[:-1]
else:
_batch_shape = torch.Size()
features = self.stem(init_x)
self.gp = SingleTaskGP(features,
init_y,
covar_module=ScaleKernel(
RBFKernel(batch_shape=_batch_shape,
ard_num_dims=stem.output_dim),
batch_shape=_batch_shape))
self.mll = ExactMarginalLogLikelihood(self.gp.likelihood, self.gp)
self.optimizer = torch.optim.Adam(self.parameters(), lr=lr)
self._raw_inputs = [init_x]
self._target_batch_shape = _batch_shape
self.target_dim = init_y.size(-1)
def test_ModelListGP_single(self):
tkwargs = {"device": self.device, "dtype": torch.float}
train_x1, train_x2, train_y1, train_y2 = _get_random_data(n=10, **tkwargs)
model1 = SingleTaskGP(train_X=train_x1, train_Y=train_y1)
model = ModelListGP(model1)
model.to(**tkwargs)
test_x = torch.tensor([[0.25], [0.75]], **tkwargs)
posterior = model.posterior(test_x)
self.assertIsInstance(posterior, GPyTorchPosterior)
self.assertIsInstance(posterior.mvn, MultivariateNormal)
def test_set_transformed_inputs(self):
# This intended to catch https://github.com/pytorch/botorch/issues/1078.
# More general testing of _set_transformed_inputs is done under ModelListGP.
X = torch.rand(5, 2)
Y = X**2
for tf_class in [Normalize, InputStandardize]:
intf = tf_class(d=2)
model = SingleTaskGP(X, Y, input_transform=intf)
mll = ExactMarginalLogLikelihood(model.likelihood, model)
fit_gpytorch_model(mll, options={"maxiter": 2})
tf_X = intf(X)
self.assertEqual(X.shape, tf_X.shape)
def _get_model_and_data(
self, batch_shape, m, outcome_transform=None, input_transform=None, **tkwargs
):
train_X, train_Y = _get_random_data(batch_shape=batch_shape, m=m, **tkwargs)
model_kwargs = {
"train_X": train_X,
"train_Y": train_Y,
"outcome_transform": outcome_transform,
"input_transform": input_transform,
}
model = SingleTaskGP(**model_kwargs)
return model, model_kwargs
def _get_model_and_data(self,
batch_shape,
m,
outcome_transform=None,
**tkwargs):
train_X, train_Y = _get_random_data(batch_shape=batch_shape,
num_outputs=m,
**tkwargs)
model_kwargs = {"train_X": train_X, "train_Y": train_Y}
if outcome_transform is not None:
model_kwargs["outcome_transform"] = outcome_transform
model = SingleTaskGP(**model_kwargs)
return model, model_kwargs
def test_ModelListGPSingle(self, cuda=False):
tkwargs = {
"device": torch.device("cuda") if cuda else torch.device("cpu"),
"dtype": torch.float,
}
train_x1, train_x2, train_y1, train_y2 = _get_random_data(n=10, **tkwargs)
model1 = SingleTaskGP(train_X=train_x1, train_Y=train_y1)
model = ModelListGP(gp_models=[model1])
model.to(**tkwargs)
test_x = (torch.tensor([0.25, 0.75]).type_as(model.train_targets[0]),)
posterior = model.posterior(test_x)
self.assertIsInstance(posterior, GPyTorchPosterior)
self.assertIsInstance(posterior.mvn, MultivariateNormal)
def _get_model(
X: Tensor,
Y: Tensor,
Yvar: Tensor,
task_feature: Optional[int],
fidelity_features: Optional[List[int]] = None,
fidelity_model_id: Optional[int] = None,
) -> GPyTorchModel:
"""Instantiate a model of type depending on the input data."""
Yvar = Yvar.clamp_min_(MIN_OBSERVED_NOISE_LEVEL) # pyre-ignore: [16]
is_nan = torch.isnan(Yvar)
any_nan_Yvar = torch.any(is_nan)
all_nan_Yvar = torch.all(is_nan)
if any_nan_Yvar and not all_nan_Yvar:
raise ValueError(
"Mix of known and unknown variances indicates "
"valuation function errors. Variances should all be specified, or "
"none should be.")
if fidelity_features is None:
fidelity_features = []
if fidelity_model_id is None or len(fidelity_features) == 0:
if task_feature is None and all_nan_Yvar:
gp = SingleTaskGP(train_X=X, train_Y=Y)
elif task_feature is None:
gp = FixedNoiseGP(train_X=X, train_Y=Y, train_Yvar=Yvar)
elif all_nan_Yvar:
gp = MultiTaskGP(train_X=X, train_Y=Y, task_feature=task_feature)
else:
gp = FixedNoiseMultiTaskGP(
train_X=X,
train_Y=Y.view(-1),
train_Yvar=Yvar.view(-1),
task_feature=task_feature,
)
else:
gp_model = model_list[fidelity_model_id]
# pyre-ignore [29]
gp = gp_model(train_X=X, train_Y=Y, train_data_fidelity=False)
return gp
def singletask_gp_model_constructor(
Xs: List[Tensor],
Ys: List[Tensor],
Yvars: List[Tensor],
task_features: List[int],
fidelity_features: List[int],
metric_names: List[str],
state_dict: Optional[Dict[str, Tensor]] = None,
refit_model: bool = True,
**kwargs: Any,
) -> Model:
gp = SingleTaskGP(train_X=Xs[0], train_Y=Ys[0], **kwargs)
gp.to(Xs[0])
if state_dict is not None:
gp.load_state_dict(state_dict)
if state_dict is None or refit_model:
fit_gpytorch_model(ExactMarginalLogLikelihood(gp.likelihood, gp))
return gp
def test_sample_cached_cholesky(self):
torch.manual_seed(0)
tkwargs = {"device": self.device}
for dtype in (torch.float, torch.double):
tkwargs["dtype"] = dtype
train_X = torch.rand(10, 2, **tkwargs)
train_Y = torch.randn(10, 2, **tkwargs)
for m in (1, 2):
model_list_values = (True, False) if m == 2 else (False, )
for use_model_list in model_list_values:
if use_model_list:
model = ModelListGP(
SingleTaskGP(
train_X,
train_Y[..., :1],
),
SingleTaskGP(
train_X,
train_Y[..., 1:],
),
)
else:
model = SingleTaskGP(
train_X,
train_Y[:, :m],
)
sampler = IIDNormalSampler(3)
base_sampler = IIDNormalSampler(3)
for q in (1, 3, 9):
# test batched baseline_L
for train_batch_shape in (
torch.Size([]),
torch.Size([3]),
torch.Size([3, 2]),
):
# test batched test points
for test_batch_shape in (
torch.Size([]),
torch.Size([4]),
torch.Size([4, 2]),
):
if len(train_batch_shape) > 0:
train_X_ex = train_X.unsqueeze(0).expand(
train_batch_shape + train_X.shape)
else:
train_X_ex = train_X
if len(test_batch_shape) > 0:
test_X = train_X_ex.unsqueeze(0).expand(
test_batch_shape + train_X_ex.shape)
else:
test_X = train_X_ex
with torch.no_grad():
base_posterior = model.posterior(
train_X_ex[..., :-q, :])
mvn = base_posterior.mvn
lazy_covar = mvn.lazy_covariance_matrix
if m == 2:
lazy_covar = lazy_covar.base_lazy_tensor
baseline_L = lazy_covar.root_decomposition(
)
baseline_L = baseline_L.root.evaluate()
test_X = test_X.clone().requires_grad_(True)
new_posterior = model.posterior(test_X)
samples = sampler(new_posterior)
samples[..., -q:, :].sum().backward()
test_X2 = test_X.detach().clone(
).requires_grad_(True)
new_posterior2 = model.posterior(test_X2)
q_samples = sample_cached_cholesky(
posterior=new_posterior2,
baseline_L=baseline_L,
q=q,
base_samples=sampler.base_samples.detach().
clone(),
sample_shape=sampler.sample_shape,
)
q_samples.sum().backward()
all_close_kwargs = ({
"atol": 1e-4,
"rtol": 1e-2,
} if dtype == torch.float else {})
self.assertTrue(
torch.allclose(
q_samples.detach(),
samples[..., -q:, :].detach(),
**all_close_kwargs,
))
self.assertTrue(
torch.allclose(
test_X2.grad[..., -q:, :],
test_X.grad[..., -q:, :],
**all_close_kwargs,
))
# Test that adding a new point and base_sample
# did not change posterior samples for previous points.
# This tests that we properly account for not
# interleaving.
base_sampler.base_samples = (
sampler.base_samples[
..., :-q, :].detach().clone())
baseline_samples = base_sampler(base_posterior)
new_batch_shape = samples.shape[
1:-baseline_samples.ndim + 1]
expanded_baseline_samples = baseline_samples.view(
baseline_samples.shape[0],
*[1] * len(new_batch_shape),
*baseline_samples.shape[1:],
).expand(
baseline_samples.shape[0],
*new_batch_shape,
*baseline_samples.shape[1:],
)
self.assertTrue(
torch.allclose(
expanded_baseline_samples,
samples[..., :-q, :],
**all_close_kwargs,
))
# test nans
with torch.no_grad():
test_posterior = model.posterior(test_X2)
test_posterior.mvn.loc = torch.full_like(
test_posterior.mvn.loc, float("nan"))
with self.assertRaises(NanError):
sample_cached_cholesky(
posterior=test_posterior,
baseline_L=baseline_L,
q=q,
base_samples=sampler.base_samples.detach().
clone(),
sample_shape=sampler.sample_shape,
)
# test infs
test_posterior.mvn.loc = torch.full_like(
test_posterior.mvn.loc, float("inf"))
with self.assertRaises(NanError):
sample_cached_cholesky(
posterior=test_posterior,
baseline_L=baseline_L,
q=q,
base_samples=sampler.base_samples.detach().
clone(),
sample_shape=sampler.sample_shape,
)
# test triangular solve raising RuntimeError
test_posterior.mvn.loc = torch.full_like(
test_posterior.mvn.loc, 0.0)
base_samples = sampler.base_samples.detach().clone(
)
with mock.patch(
"botorch.utils.low_rank.torch.triangular_solve",
side_effect=RuntimeError("singular"),
):
with self.assertRaises(NotPSDError):
sample_cached_cholesky(
posterior=test_posterior,
baseline_L=baseline_L,
q=q,
base_samples=base_samples,
sample_shape=sampler.sample_shape,
)
with mock.patch(
"botorch.utils.low_rank.torch.triangular_solve",
side_effect=RuntimeError(""),
):
with self.assertRaises(RuntimeError):
sample_cached_cholesky(
posterior=test_posterior,
baseline_L=baseline_L,
q=q,
base_samples=base_samples,
sample_shape=sampler.sample_shape,
)
class OnlineExactRegression(torch.nn.Module):
def __init__(self, stem, init_x, init_y, lr, **kwargs):
super().__init__()
self.stem = stem.to(init_x.device)
if init_y.t().shape[0] != 1:
_batch_shape = init_y.t().shape[:-1]
else:
_batch_shape = torch.Size()
features = self.stem(init_x)
self.gp = SingleTaskGP(features,
init_y,
covar_module=ScaleKernel(
RBFKernel(batch_shape=_batch_shape,
ard_num_dims=stem.output_dim),
batch_shape=_batch_shape))
self.mll = ExactMarginalLogLikelihood(self.gp.likelihood, self.gp)
self.optimizer = torch.optim.Adam(self.parameters(), lr=lr)
self._raw_inputs = [init_x]
self._target_batch_shape = _batch_shape
self.target_dim = init_y.size(-1)
def update(self, inputs, targets, update_stem=True, update_gp=True):
inputs = inputs.view(-1, self.stem.input_dim)
targets = targets.view(-1, self.target_dim)
# add observation
self.train()
self._raw_inputs = [torch.cat([*self._raw_inputs, inputs])]
self.gp.train_targets = torch.cat(
[self.gp.train_targets,
self._reshape_targets(targets)], dim=-1)
if update_stem:
self._refresh_features(*self._raw_inputs, strict=False)
else:
with torch.no_grad():
self._refresh_features(*self._raw_inputs, strict=False)
self.mll = ExactMarginalLogLikelihood(self.gp.likelihood, self.gp)
# update stem and GP
if update_gp:
self.optimizer.zero_grad()
with gpytorch.settings.skip_logdet_forward(True):
train_dist = self.gp(*self.gp.train_inputs)
loss = -self.mll(train_dist, self.gp.train_targets).sum()
loss.backward()
self.optimizer.step()
self.gp.zero_grad()
# update GP training data again
if update_stem:
with torch.no_grad():
self._refresh_features(*self._raw_inputs)
self.eval()
stem_loss = gp_loss = loss.item() if update_gp else 0.
return stem_loss, gp_loss
def fit(self, inputs, targets, num_epochs, test_dataset=None):
records = []
self.gp.train_targets = self._reshape_targets(targets)
lr_scheduler = torch.optim.lr_scheduler.CosineAnnealingLR(
self.optimizer, num_epochs, 1e-4)
for epoch in range(num_epochs):
self.train()
self.mll.train()
self.optimizer.zero_grad()
self._refresh_features(inputs)
train_dist = self.gp(*self.gp.train_inputs)
with gpytorch.settings.skip_logdet_forward(False):
loss = -self.mll(train_dist, self.gp.train_targets).sum()
loss.backward()
self.optimizer.step()
lr_scheduler.step()
self.gp.zero_grad()
rmse = nll = float('NaN')
if test_dataset is not None:
test_x, test_y = test_dataset[:]
rmse, nll = self.evaluate(test_x, test_y)
records.append({
'train_loss': loss.item(),
'test_rmse': rmse,
'test_nll': nll,
'noise': self.gp.likelihood.noise.mean().item(),
'epoch': epoch + 1
})
with torch.no_grad():
self._refresh_features(inputs)
self.eval()
return records
def forward(self, inputs):
inputs = inputs.view(-1, self.stem.input_dim)
features = self.stem(inputs)
return self.gp(features)
def predict(self, inputs):
self.eval()
pred_dist = self(inputs)
pred_dist = self.gp.likelihood(pred_dist)
return pred_dist.mean, pred_dist.variance
def evaluate(self, inputs, targets):
inputs = inputs.view(-1, self.stem.input_dim)
targets = targets.view(-1, self.target_dim)
with torch.no_grad():
return regression.evaluate(self, inputs, targets)
def set_train_data(self, inputs, targets, strict):
inputs = inputs.expand(*self._target_batch_shape, -1, -1)
if self.target_dim == 1:
targets = targets.squeeze(0)
self.gp.set_train_data(inputs, targets, strict)
def _reshape_targets(self, targets):
targets = targets.view(-1, self.target_dim)
if targets.size(-1) == 1:
targets = targets.squeeze(-1)
else:
targets = targets.t()
return targets
def _refresh_features(self, inputs, strict=True):
features = self.stem(inputs)
self.set_train_data(features, self.gp.train_targets, strict)
return features
def set_lr(self, gp_lr, stem_lr=None, bn_mom=None):
stem_lr = gp_lr if stem_lr is None else stem_lr
self.optimizer = torch.optim.Adam([
dict(params=self.gp.parameters(), lr=gp_lr),
dict(params=self.stem.parameters(), lr=stem_lr)
])
if bn_mom is not None:
for m in self.stem.modules():
if isinstance(m, torch.nn.BatchNorm1d):
m.momentum = bn_mom
@property
def noise(self):
return self.gp.likelihood.noise
def test_multi_objective_max_value_entropy(self):
for dtype, m in product((torch.float, torch.double), (2, 3)):
torch.manual_seed(7)
# test batched model
train_X = torch.rand(1, 1, 2, dtype=dtype, device=self.device)
train_Y = torch.rand(1, 1, m, dtype=dtype, device=self.device)
model = SingleTaskGP(train_X, train_Y)
with self.assertRaises(NotImplementedError):
qMultiObjectiveMaxValueEntropy(model,
dummy_sample_pareto_frontiers)
# test initialization
train_X = torch.rand(4, 2, dtype=dtype, device=self.device)
train_Y = torch.rand(4, m, dtype=dtype, device=self.device)
# test batched MO model
model = SingleTaskGP(train_X, train_Y)
mesmo = qMultiObjectiveMaxValueEntropy(
model, dummy_sample_pareto_frontiers)
self.assertEqual(mesmo.num_fantasies, 16)
self.assertIsInstance(mesmo.sampler, SobolQMCNormalSampler)
self.assertEqual(mesmo.sampler.sample_shape, torch.Size([512]))
self.assertIsInstance(mesmo.fantasies_sampler,
SobolQMCNormalSampler)
self.assertEqual(mesmo.posterior_max_values.shape,
torch.Size([3, 1, m]))
# test conversion to single-output model
self.assertIs(mesmo.mo_model, model)
self.assertEqual(mesmo.mo_model.num_outputs, m)
self.assertIsInstance(mesmo.model, SingleTaskGP)
self.assertEqual(mesmo.model.num_outputs, 1)
self.assertEqual(mesmo.model._aug_batch_shape,
mesmo.model._input_batch_shape)
# test ModelListGP
model = ModelListGP(
*
[SingleTaskGP(train_X, train_Y[:, i:i + 1]) for i in range(m)])
mock_sample_pfs = mock.Mock()
mock_sample_pfs.return_value = dummy_sample_pareto_frontiers(
model=model)
mesmo = qMultiObjectiveMaxValueEntropy(model, mock_sample_pfs)
self.assertEqual(mesmo.num_fantasies, 16)
self.assertIsInstance(mesmo.sampler, SobolQMCNormalSampler)
self.assertEqual(mesmo.sampler.sample_shape, torch.Size([512]))
self.assertIsInstance(mesmo.fantasies_sampler,
SobolQMCNormalSampler)
self.assertEqual(mesmo.posterior_max_values.shape,
torch.Size([3, 1, m]))
# test conversion to batched MO model
self.assertIsInstance(mesmo.mo_model, SingleTaskGP)
self.assertEqual(mesmo.mo_model.num_outputs, m)
self.assertIs(mesmo.mo_model, mesmo._init_model)
# test conversion to single-output model
self.assertIsInstance(mesmo.model, SingleTaskGP)
self.assertEqual(mesmo.model.num_outputs, 1)
self.assertEqual(mesmo.model._aug_batch_shape,
mesmo.model._input_batch_shape)
# test that we call sample_pareto_frontiers with the multi-output model
mock_sample_pfs.assert_called_once_with(mesmo.mo_model)
# test basic evaluation
X = torch.rand(1, 2, device=self.device, dtype=dtype)
with torch.no_grad():
vals = mesmo(X)
igs = qMaxValueEntropy.forward(mesmo, X=X.view(1, 1, 1, 2))
self.assertEqual(vals.shape, torch.Size([1]))
self.assertTrue(torch.equal(vals, igs.sum(dim=-1)))
# test batched evaluation
X = torch.rand(4, 1, 2, device=self.device, dtype=dtype)
with torch.no_grad():
vals = mesmo(X)
igs = qMaxValueEntropy.forward(mesmo, X=X.view(4, 1, 1, 2))
self.assertEqual(vals.shape, torch.Size([4]))
self.assertTrue(torch.equal(vals, igs.sum(dim=-1)))
# test set X pending to None
mesmo.set_X_pending(None)
self.assertIs(mesmo.mo_model, mesmo._init_model)
fant_X = torch.cat(
[
train_X.expand(16, 4, 2),
torch.rand(16, 1, 2),
],
dim=1,
)
fant_Y = torch.cat(
[
train_Y.expand(16, 4, m),
torch.rand(16, 1, m),
],
dim=1,
)
fantasy_model = SingleTaskGP(fant_X, fant_Y)
# test with X_pending is not None
with mock.patch.object(
SingleTaskGP, "fantasize",
return_value=fantasy_model) as mock_fantasize:
qMultiObjectiveMaxValueEntropy(
model,
dummy_sample_pareto_frontiers,
X_pending=torch.rand(1, 2, device=self.device,
dtype=dtype),
)
mock_fantasize.assert_called_once()
def _get_model(dtype, device, multi_output=False):
tkwargs = {"dtype": dtype, "device": device}
train_X = torch.tensor(
[
[-0.1000],
[0.4894],
[1.0788],
[1.6681],
[2.2575],
[2.8469],
[3.4363],
[4.0257],
[4.6150],
[5.2044],
[5.7938],
[6.3832],
],
**tkwargs,
)
train_Y = torch.tensor(
[
[-0.0274],
[0.2612],
[0.8114],
[1.1916],
[1.4870],
[0.8611],
[-0.9226],
[-0.5916],
[-1.3301],
[-1.8847],
[0.0647],
[1.0900],
],
**tkwargs,
)
state_dict = {
"likelihood.noise_covar.raw_noise":
torch.tensor([0.0214], **tkwargs),
"likelihood.noise_covar.noise_prior.concentration":
torch.tensor(1.1000, **tkwargs),
"likelihood.noise_covar.noise_prior.rate":
torch.tensor(0.0500, **tkwargs),
"mean_module.constant":
torch.tensor([0.1398], **tkwargs),
"covar_module.raw_outputscale":
torch.tensor(0.6933, **tkwargs),
"covar_module.base_kernel.raw_lengthscale":
torch.tensor([[-0.0444]], **tkwargs),
"covar_module.base_kernel.lengthscale_prior.concentration":
torch.tensor(3.0, **tkwargs),
"covar_module.base_kernel.lengthscale_prior.rate":
torch.tensor(6.0, **tkwargs),
"covar_module.outputscale_prior.concentration":
torch.tensor(2.0, **tkwargs),
"covar_module.outputscale_prior.rate":
torch.tensor(0.1500, **tkwargs),
}
if multi_output:
train_Y2 = torch.tensor(
[
[0.9723],
[1.0652],
[0.7667],
[-0.5542],
[-0.6266],
[-0.5350],
[-0.8854],
[-1.3024],
[1.0408],
[0.2485],
[1.4924],
[1.5393],
],
**tkwargs,
)
train_Y = torch.cat([train_Y, train_Y2], dim=-1)
state_dict["likelihood.noise_covar.raw_noise"] = torch.stack([
state_dict["likelihood.noise_covar.raw_noise"],
torch.tensor([0.0745], **tkwargs),
])
state_dict["mean_module.constant"] = torch.stack([
state_dict["mean_module.constant"],
torch.tensor([0.3276], **tkwargs)
])
state_dict["covar_module.raw_outputscale"] = torch.stack(
[
state_dict["covar_module.raw_outputscale"],
torch.tensor(0.4394, **tkwargs),
],
dim=-1,
)
state_dict["covar_module.base_kernel.raw_lengthscale"] = torch.stack([
state_dict["covar_module.base_kernel.raw_lengthscale"],
torch.tensor([[-0.4617]], **tkwargs),
])
model = SingleTaskGP(train_X, train_Y)
model.load_state_dict(state_dict)
return model, train_X, train_Y
def _get_model(
X: Tensor,
Y: Tensor,
Yvar: Tensor,
task_feature: Optional[int] = None,
fidelity_features: Optional[List[int]] = None,
use_input_warping: bool = False,
**kwargs: Any,
) -> GPyTorchModel:
"""Instantiate a model of type depending on the input data.
Args:
X: A `n x d` tensor of input features.
Y: A `n x m` tensor of input observations.
Yvar: A `n x m` tensor of input variances (NaN if unobserved).
task_feature: The index of the column pertaining to the task feature
(if present).
fidelity_features: List of columns of X that are fidelity parameters.
Returns:
A GPyTorchModel (unfitted).
"""
Yvar = Yvar.clamp_min(MIN_OBSERVED_NOISE_LEVEL) # pyre-ignore[16]
is_nan = torch.isnan(Yvar)
any_nan_Yvar = torch.any(is_nan)
all_nan_Yvar = torch.all(is_nan)
if any_nan_Yvar and not all_nan_Yvar:
if task_feature:
# TODO (jej): Replace with inferred noise before making perf judgements.
Yvar[Yvar != Yvar] = MIN_OBSERVED_NOISE_LEVEL
else:
raise ValueError(
"Mix of known and unknown variances indicates valuation function "
"errors. Variances should all be specified, or none should be."
)
if use_input_warping:
warp_tf = get_warping_transform(
d=X.shape[-1],
task_feature=task_feature,
batch_shape=X.shape[:-2], # pyre-ignore [6]
)
else:
warp_tf = None
if fidelity_features is None:
fidelity_features = []
if len(fidelity_features) == 0:
# only pass linear_truncated arg if there are fidelities
kwargs = {k: v for k, v in kwargs.items() if k != "linear_truncated"}
if len(fidelity_features) > 0:
if task_feature:
raise NotImplementedError( # pragma: no cover
"multi-task multi-fidelity models not yet available"
)
# at this point we can assume that there is only a single fidelity parameter
gp = SingleTaskMultiFidelityGP(
train_X=X,
train_Y=Y,
data_fidelity=fidelity_features[0],
input_transform=warp_tf,
**kwargs,
)
elif task_feature is None and all_nan_Yvar:
gp = SingleTaskGP(train_X=X, train_Y=Y, input_transform=warp_tf, **kwargs)
elif task_feature is None:
gp = FixedNoiseGP(
train_X=X, train_Y=Y, train_Yvar=Yvar, input_transform=warp_tf, **kwargs
)
else:
# instantiate multitask GP
all_tasks, _, _ = MultiTaskGP.get_all_tasks(X, task_feature)
num_tasks = len(all_tasks)
prior_dict = kwargs.get("prior")
prior = None
if prior_dict is not None:
prior_type = prior_dict.get("type", None)
if issubclass(prior_type, LKJCovariancePrior):
sd_prior = prior_dict.get("sd_prior", GammaPrior(1.0, 0.15))
sd_prior._event_shape = torch.Size([num_tasks])
eta = prior_dict.get("eta", 0.5)
if not isinstance(eta, float) and not isinstance(eta, int):
raise ValueError(f"eta must be a real number, your eta was {eta}")
prior = LKJCovariancePrior(num_tasks, eta, sd_prior)
else:
raise NotImplementedError(
"Currently only LKJ prior is supported,"
f"your prior type was {prior_type}."
)
if all_nan_Yvar:
gp = MultiTaskGP(
train_X=X,
train_Y=Y,
task_feature=task_feature,
rank=kwargs.get("rank"),
task_covar_prior=prior,
input_transform=warp_tf,
)
else:
gp = FixedNoiseMultiTaskGP(
train_X=X,
train_Y=Y,
train_Yvar=Yvar,
task_feature=task_feature,
rank=kwargs.get("rank"),
task_covar_prior=prior,
input_transform=warp_tf,
)
return gp
def _get_model(n, **tkwargs):
train_x1, train_x2, train_y1, train_y2 = _get_random_data(n=n, **tkwargs)
model1 = SingleTaskGP(train_X=train_x1, train_Y=train_y1)
model2 = SingleTaskGP(train_X=train_x2, train_Y=train_y2)
model = ModelListGP(gp_models=[model1, model2])
return model.to(**tkwargs)
