def test_affine_acquisition_objective(self):
for batch_shape, m, dtype in itertools.product(
([], [3]), (1, 2), (torch.float, torch.double)
):
offset = torch.rand(1).item()
weights = torch.randn(m, device=self.device, dtype=dtype)
obj = ScalarizedObjective(weights=weights, offset=offset)
posterior = _get_test_posterior(
batch_shape, m=m, device=self.device, dtype=dtype
)
mean, covar = posterior.mvn.mean, posterior.mvn.covariance_matrix
new_posterior = obj(posterior)
exp_size = torch.Size(batch_shape + [1, 1])
self.assertEqual(new_posterior.mean.shape, exp_size)
new_mean_exp = offset + mean @ weights
self.assertTrue(torch.allclose(new_posterior.mean[..., -1], new_mean_exp))
self.assertEqual(new_posterior.variance.shape, exp_size)
new_covar_exp = ((covar @ weights) @ weights).unsqueeze(-1)
self.assertTrue(
torch.allclose(new_posterior.variance[..., -1], new_covar_exp)
)
# test error
with self.assertRaises(ValueError):
ScalarizedObjective(weights=torch.rand(2, m))
# test evaluate
Y = torch.rand(2, m, device=self.device, dtype=dtype)
val = obj.evaluate(Y)
val_expected = offset + Y @ weights
self.assertTrue(torch.equal(val, val_expected))
def test_scalarize_posterior(self):
for batch_shape, m, lazy, dtype in itertools.product(
([], [3]), (1, 2), (False, True), (torch.float, torch.double)):
tkwargs = {"device": self.device, "dtype": dtype}
offset = torch.rand(1).item()
weights = torch.randn(m, **tkwargs)
# test q=1
posterior = _get_test_posterior(batch_shape,
m=m,
lazy=lazy,
**tkwargs)
mean, covar = posterior.mvn.mean, posterior.mvn.covariance_matrix
new_posterior = scalarize_posterior(posterior, weights, offset)
exp_size = torch.Size(batch_shape + [1, 1])
self.assertEqual(new_posterior.mean.shape, exp_size)
new_mean_exp = offset + (mean @ weights).unsqueeze(-1)
self.assertTrue(torch.allclose(new_posterior.mean, new_mean_exp))
self.assertEqual(new_posterior.variance.shape, exp_size)
new_covar_exp = ((covar @ weights) @ weights).unsqueeze(-1)
self.assertTrue(
torch.allclose(new_posterior.variance[..., -1], new_covar_exp))
# test q=2, interleaved
q = 2
posterior = _get_test_posterior(batch_shape,
q=q,
m=m,
lazy=lazy,
interleaved=True,
**tkwargs)
mean, covar = posterior.mvn.mean, posterior.mvn.covariance_matrix
new_posterior = scalarize_posterior(posterior, weights, offset)
exp_size = torch.Size(batch_shape + [q, 1])
self.assertEqual(new_posterior.mean.shape, exp_size)
new_mean_exp = offset + (mean @ weights).unsqueeze(-1)
self.assertTrue(torch.allclose(new_posterior.mean, new_mean_exp))
self.assertEqual(new_posterior.variance.shape, exp_size)
new_covar = new_posterior.mvn.covariance_matrix
if m == 1:
self.assertTrue(torch.allclose(new_covar, weights**2 * covar))
else:
w = weights.unsqueeze(0)
covar00_exp = (w * covar[..., :m, :m] * w.t()).sum(-1).sum(-1)
self.assertTrue(
torch.allclose(new_covar[..., 0, 0], covar00_exp))
covarnn_exp = (w * covar[..., -m:, -m:] *
w.t()).sum(-1).sum(-1)
self.assertTrue(
torch.allclose(new_covar[..., -1, -1], covarnn_exp))
# test q=2, non-interleaved
# test independent special case as well
for independent in (False, True) if m > 1 else (False, ):
posterior = _get_test_posterior(batch_shape,
q=q,
m=m,
lazy=lazy,
interleaved=False,
independent=independent,
**tkwargs)
mean, covar = posterior.mvn.mean, posterior.mvn.covariance_matrix
new_posterior = scalarize_posterior(posterior, weights, offset)
exp_size = torch.Size(batch_shape + [q, 1])
self.assertEqual(new_posterior.mean.shape, exp_size)
new_mean_exp = offset + (mean @ weights).unsqueeze(-1)
self.assertTrue(
torch.allclose(new_posterior.mean, new_mean_exp))
self.assertEqual(new_posterior.variance.shape, exp_size)
new_covar = new_posterior.mvn.covariance_matrix
if m == 1:
self.assertTrue(
torch.allclose(new_covar, weights**2 * covar))
else:
# construct the indices manually
cs = list(
itertools.combinations_with_replacement(range(m), 2))
idx_nlzd = torch.tensor(
list(set(cs + [tuple(i[::-1]) for i in cs])),
dtype=torch.long,
device=self.device,
)
w = weights[idx_nlzd[:, 0]] * weights[idx_nlzd[:, 1]]
idx = q * idx_nlzd
covar00_exp = (covar[..., idx[:, 0], idx[:, 1]] *
w).sum(-1)
self.assertTrue(
torch.allclose(new_covar[..., 0, 0], covar00_exp))
idx_ = q - 1 + idx
covarnn_exp = (covar[..., idx_[:, 0], idx_[:, 1]] *
w).sum(-1)
self.assertTrue(
torch.allclose(new_covar[..., -1, -1], covarnn_exp))
# test errors
with self.assertRaises(RuntimeError):
scalarize_posterior(posterior, weights[:-1], offset)
with self.assertRaises(BotorchTensorDimensionError):
scalarize_posterior(posterior, weights.unsqueeze(0), offset)
