def suggest_sample(self, number_of_samples=1):
"""
Returns a suggested next point to evaluate.
"""
# Get current evaluations
X_evaluated, Y_evaluated = self.model.get_XY()
self.X_aux = X_evaluated
self.Y_aux = Y_evaluated
# Auxiliary Bayesian optimization model to run ParEGO
weight = np.random.dirichlet(
np.ones(len(self.Y_aux))
) # self._sample_posterior_weight_for_chebyshev_scalarization()
self.Y_aux = np.reshape(self.Y_aux,
(len(self.Y_aux), self.Y_aux[0].shape[0]))
scalarized_fX = chebyshev_scalarization(self.Y_aux, weight)
scalarized_fX = np.reshape(scalarized_fX, (len(scalarized_fX), 1))
aux_model = MultiOutputGP(output_dim=1,
exact_feval=[True],
fixed_hyps=False)
def aux_utility_func(y, parameter):
return np.dot(parameter, y)
def aux_utility_gradient(y, parameter):
return parameter
aux_utility_parameter_support = np.ones((1, 1))
aux_utility_parameter_prob_distribution = np.ones((1, ))
aux_utility_param_distribution = UtilityDistribution(
support=aux_utility_parameter_support,
prob_dist=aux_utility_parameter_prob_distribution,
utility_func=aux_utility_func)
aux_utility = Utility(
func=aux_utility_func,
gradient=aux_utility_gradient,
parameter_distribution=aux_utility_param_distribution,
affine=True)
aux_acquisition_optimizer = AcquisitionOptimizer(
space=self.space,
model=aux_model,
utility=aux_utility,
optimizer=self.optimizer,
include_baseline_points=True)
aux_acquisition = uEI_affine(aux_model,
self.space,
optimizer=aux_acquisition_optimizer,
utility=aux_utility)
aux_evaluator = GPyOpt.core.evaluators.Sequential(aux_acquisition)
aux_sampling_policy = AcquisitionFunction(aux_model, self.space,
aux_acquisition,
aux_evaluator)
bopl = BOPL(aux_model,
self.space,
sampling_policy=aux_sampling_policy,
utility=aux_utility,
X_init=self.X_aux,
Y_init=[scalarized_fX],
dynamic_utility_parameter_distribution=False)
suggested_sample = bopl.suggest_next_points_to_evaluate()
return suggested_sample
def utility_func(y, parameter):
return np.dot(parameter, y)
def utility_gradient(y, parameter):
return parameter
def prior_sample_generator(n_samples=1, seed=None):
if seed is None:
samples = np.random.dirichlet(np.ones((m, )), n_samples)
else:
random_state = np.random.RandomState(seed)
samples = random_state.dirichlet(np.ones((m, )), n_samples)
return samples
utility_param_distribution = UtilityDistribution(
prior_sample_generator=prior_sample_generator,
utility_func=utility_func,
elicitation_strategy=random_preference_elicitation)
utility = Utility(func=utility_func,
gradient=utility_gradient,
parameter_distribution=utility_param_distribution,
affine=True)
# --- Sampling policy
sampling_policy_name = 'uEI'
learn_preferences = False
if sampling_policy_name is 'uEI':
model = MultiOutputGP(output_dim=m,
exact_feval=[True] * m,
fixed_hyps=False) # Model (Multi-output GP)
acquisition_optimizer = AcquisitionOptimizer(
space=space,
m = 1
model = MultiOutputGP(output_dim=m, fixed_hyps=False)
# Utility function
def utility_func(y, parameter):
return np.squeeze(y)
def utility_gradient(y, parameter):
return parameter
utility_parameter_support = np.ones((1, 1))
utility_parameter_prob_distribution = np.ones((1,))
utility_param_distribution = UtilityDistribution(support=utility_parameter_support,
prob_dist=utility_parameter_prob_distribution,
utility_func=utility_func)
dynamic_utility_parameter_distribution = False
utility = Utility(func=utility_func, gradient=utility_gradient,
parameter_distribution=utility_param_distribution, affine=True)
# --- Sampling policy
sampling_policy_name = 'Random'
if sampling_policy_name is 'uTS':
sampling_policy = uTS(model, space, optimizer='CMA', utility=utility)
elif sampling_policy_name is 'Random':
sampling_policy = Random(model, space)
# Attributes
def f(X):
X = np.atleast_2d(X)
best_val_found = np.inf
for x0 in starting_points:
res = scipy.optimize.fmin_l_bfgs_b(marginal_func,
x0,
approx_grad=True,
bounds=bounds)
if best_val_found > res[1]:
best_val_found = res[1]
marginal_opt = res[0]
X[j + m, :] = marginal_opt
utility_parameter_support = f(X).T
utility_parameter_prob_distribution = np.ones((2 * m, )) / (2 * m)
utility_param_distribution = UtilityDistribution(
support=utility_parameter_support,
prob_dist=utility_parameter_prob_distribution,
utility_func=utility_func,
elicitation_strategy=random_preference_elicitation)
# Expectation of utility
def expectation_utility_func(mu, var, parameter):
aux = (mu.transpose() - parameter).transpose()
val = -np.sum(np.square(aux), axis=0) - np.sum(var, axis=0)
return val
def expectation_utility_gradient(mu, var, parameter):
mu_aux = np.squeeze(mu)
var_aux = np.squeeze(var)
gradient = -np.concatenate(
(2 * (mu_aux - parameter), np.ones((len(var_aux), ))))
return gradient
attributes = Attributes([f1, f2, f3], as_list=True, output_dim=m)
# Utility function
def utility_func(y, parameter):
return np.dot(parameter, y)
def utility_gradient(y, parameter):
return parameter
# Parameter distribution
L = 3
support = np.eye(L)
prob_dist = np.ones((L,)) / L
utility_parameter_distribution = UtilityDistribution(support=support, prob_dist=prob_dist, utility_func=utility_func, elicitation_strategy=None)
utility = Utility(func=utility_func, gradient=utility_gradient, parameter_distribution=utility_parameter_distribution, affine=True)
# --- Sampling policy
sampling_policy_name = 'uTS'
if sampling_policy_name is 'uEI':
model = MultiOutputGP(output_dim=m, exact_feval=[True] * m, fixed_hyps=False) # Model (Multi-output GP)
acquisition_optimizer = AcquisitionOptimizer(space=space, model=model, utility=utility, optimizer='lbfgs', include_baseline_points=True)
acquisition = uEI_affine(model, space, optimizer=acquisition_optimizer, utility=utility)
evaluator = GPyOpt.core.evaluators.Sequential(acquisition)
sampling_policy = AcquisitionFunction(model, space, acquisition, evaluator)
elif sampling_policy_name is 'uTS':
model = MultiOutputGP(output_dim=m, exact_feval=[True] * m, fixed_hyps=False) # Model (Multi-output GP)
sampling_policy = uTS(model, space, optimizer='CMA', utility=utility)
elif sampling_policy_name is 'Random':
model = BasicModel(output_dim=m)