class LogEITestCase1(unittest.TestCase): def setUp(self): self.x = np.array([[0.62971589], [0.63273273], [0.17867868], [0.17447447], [1.88558559]]) self.y = np.array([[-3.69925653], [-3.66221988], [-3.65560591], [-3.58907791], [-8.06925984]]) self.kernel = GPy.kern.RBF(input_dim=1, variance=30.1646253727, lengthscale=0.435343653946) self.noise = 1e-20 self.model = GPyModel(self.kernel, noise_variance=self.noise, optimize=False) self.model.train(self.x, self.y) def test(self): X_upper = np.array([2.1]) X_lower = np.array([-2.1]) x_test = np.array([[1.7], [2.0]]) log_ei_estimator = LogEI(self.model, X_lower, X_upper, compute_incumbent=compute_incumbent) assert log_ei_estimator(x_test[0, np.newaxis])[0] > -np.Infinity assert log_ei_estimator(x_test[1, np.newaxis])[0] > -np.Infinity assert (log_ei_estimator(self.x[-1, np.newaxis])[0]) == -np.Infinity
class PITestCase1(unittest.TestCase): def setUp(self): self.x = np.array([[0.62971589], [0.63273273], [0.17867868], [0.17447447], [1.88558559]]) self.y = np.array([[-3.69925653], [-3.66221988], [-3.65560591], [-3.58907791], [-8.06925984]]) self.kernel = GPy.kern.RBF(input_dim=1, variance=30.1646253727, lengthscale=0.435343653946) self.noise = 1e-20 self.model = GPyModel(self.kernel, noise_variance=self.noise, optimize=False) self.model.train(self.x, self.y) def test(self): X_upper = np.array([2.1]) X_lower = np.array([-2.1]) x_test = np.array([[1.7], [2.0]]) pi_estimator = PI(self.model, X_lower, X_upper) assert pi_estimator(x_test[0, np.newaxis], incumbent=np.array([1.88558559]))[0] > 0.0 assert pi_estimator(x_test[1, np.newaxis], incumbent=np.array([1.88558559]))[0] > 0.0 self.assertAlmostEqual(pi_estimator(self.x[-1, np.newaxis], incumbent=np.array([1.88558559 ]))[0], 0.0, delta=10E-5)
class EITestCase1(unittest.TestCase): def setUp(self): self.x = np.array([[0.62971589], [0.63273273], [0.17867868], [0.17447447], [1.88558559]]) self.y = np.array([[-3.69925653], [-3.66221988], [-3.65560591], [-3.58907791], [-8.06925984]]) self.kernel = GPy.kern.RBF(input_dim=1, variance=30.1646253727, lengthscale=0.435343653946) self.noise = 1e-20 self.model = GPyModel(self.kernel, noise_variance=self.noise, optimize=False) self.model.train(self.x, self.y) def test(self): X_upper = np.array([2.1]) X_lower = np.array([-2.1]) best = np.argmin(self.y) incumbent = self.x[best] ei_par = EI(self.model, X_upper=X_upper, X_lower=X_lower, compute_incumbent=compute_incumbent, par=0.0) out0 = ei_par(incumbent[:, np.newaxis], derivative=True) value0 = out0[0] derivative0 = out0[1] assert(value0[0] <= 1e-5) x_value = incumbent + np.random.random_integers(1, 10) / 1000. out1 = ei_par(x_value[:, np.newaxis], derivative=True) value1 = out1[0] derivative1 = out1[1] assert(np.all(value0 < value1)) assert(np.all(np.abs(derivative0) < np.abs(derivative1)))
def run(): # Defining the bounds and dimensions of the input space X_lower = np.array([0]) X_upper = np.array([6]) dims = 1 # Set the method that we will use to optimize the acquisition function maximizer = stochastic_local_search # Defining the method to model the objective function kernel = GPy.kern.Matern52(input_dim=dims) model = GPyModel(kernel, optimize=True, noise_variance=1e-4, num_restarts=10) # The acquisition function that we optimize in order to pick a new x acquisition_func = EI( model, X_upper=X_upper, X_lower=X_lower, compute_incumbent=compute_incumbent, par=0.1 ) # par is the minimum improvement that a point has to obtain # Draw one random point and evaluate it to initialize BO X = np.array([np.random.uniform(X_lower, X_upper, dims)]) Y = objective_function(X) # Fit the model on the data we observed so far model.train(X, Y) # Update the acquisition function model with the retrained model acquisition_func.update(model) # Optimize the acquisition function to obtain a new point new_x = maximizer(acquisition_func, X_lower, X_upper) # Evaluate the point and add the new observation to our set of previous seen points new_y = objective_function(np.array(new_x)) X = np.append(X, new_x, axis=0) Y = np.append(Y, new_y, axis=0) # Visualize the objective function, model and the acquisition function fig = plt.figure() # Sub plot for the model and the objective function ax1 = fig.add_subplot(2, 1, 1) # Sub plot for the acquisition function ax2 = fig.add_subplot(2, 1, 2) resolution = 0.1 # Call plot_model function ax1 = plotting.plot_model(model, X_lower, X_upper, ax1, resolution, "b", "blue", "Prosterior Mean", 3, True) # Call plot_objective_function ax1 = plotting.plot_objective_function( objective_function, X_lower, X_upper, X, Y, ax1, resolution, "black", "ObjectiveFunction", True ) ax1.set_title("Model + Objective Function") # Call plot_acquisition_function ax2 = plotting.plot_acquisition_function( acquisition_func, X_lower, X_upper, X, ax2, resolution, "AcquisitionFunction", True ) plt.savefig("test2.png") os.system("eog test2.png&")
class PITestCase1(unittest.TestCase): def setUp(self): self.x = np.array([[0.62971589], [0.63273273], [0.17867868], [0.17447447], [1.88558559]]) self.y = np.array([[-3.69925653], [-3.66221988], [-3.65560591], [-3.58907791], [-8.06925984]]) self.kernel = GPy.kern.RBF(input_dim=1, variance=30.1646253727, lengthscale=0.435343653946) self.noise = 1e-20 self.model = GPyModel(self.kernel, noise_variance=self.noise, optimize=False) self.model.train(self.x, self.y) def test(self): X_upper = np.array([2.1]) X_lower = np.array([-2.1]) x_test = np.array([[1.7], [2.0]]) pi_estimator = PI(self.model, X_lower, X_upper) assert pi_estimator(x_test[0, np.newaxis], incumbent=np.array([1.88558559]))[0] > 0.0 assert pi_estimator(x_test[1, np.newaxis], incumbent=np.array([1.88558559]))[0] > 0.0 self.assertAlmostEqual(pi_estimator(self.x[-1, np.newaxis], incumbent=np.array([1.88558559]))[0], 0.0, delta=10E-5)
class EITestCase1(unittest.TestCase): def setUp(self): self.x = np.array([[0.62971589], [0.63273273], [0.17867868], [0.17447447], [1.88558559]]) self.y = np.array([[-3.69925653], [-3.66221988], [-3.65560591], [-3.58907791], [-8.06925984]]) self.kernel = GPy.kern.RBF(input_dim=1, variance=30.1646253727, lengthscale=0.435343653946) self.noise = 1e-20 self.model = GPyModel(self.kernel, noise_variance=self.noise, optimize=False) self.model.train(self.x, self.y) def test(self): X_upper = np.array([2.1]) X_lower = np.array([-2.1]) best = np.argmin(self.y) incumbent = self.x[best] ei_par = EI(self.model, X_upper=X_upper, X_lower=X_lower, compute_incumbent=compute_incumbent, par=0.0) out0 = ei_par(incumbent[:, np.newaxis], derivative=True) value0 = out0[0] derivative0 = out0[1] assert (value0[0] <= 1e-5) x_value = incumbent + np.random.random_integers(1, 10) / 1000. out1 = ei_par(x_value[:, np.newaxis], derivative=True) value1 = out1[0] derivative1 = out1[1] assert (np.all(value0 < value1)) assert (np.all(np.abs(derivative0) < np.abs(derivative1)))
yv = np.array([[ mixexpert(X, Y, xv[0][0], xv[0][1], 2, 2, cvfolds=cvfolds, slowness=slowness, ploterr=True) ]]) print yv for i in xrange(500): # Fit the model on the data we observed so far model.train(xv, yv) if acqf == 'ucb': deltab = 0.5 acquisition_func.par = 1 * np.sqrt(2. * np.log( (i + 1)**(2) * 2 * np.pi**2 / (3 * deltab)) + 2. * dims * np.log( (i + 1)**(2) * dims * np.log(4 * dims / deltab)**0.5)) print 'par', acquisition_func.par # Update the acquisition function model with the retrained model acquisition_func.update(model) # Optimize the acquisition function to obtain a new point new_x = maximizer(acquisition_func, X_lower, X_upper) print new_x # Evaluate the point and add the new observation to our set of previous seen points
# Defining the method to model the objective function kernel = GPy.kern.Matern52(input_dim=dims) model = GPyModel(kernel, optimize=True, noise_variance=1e-4, num_restarts=10) # The acquisition function that we optimize in order to pick a new x acquisition_func = EI(model, X_upper=X_upper, X_lower=X_lower, compute_incumbent=compute_incumbent, par=0.1) # par is the minimum improvement that a point has to obtain # Draw one random point and evaluate it to initialize BO X = np.array([np.random.uniform(X_lower, X_upper, dims)]) Y = objective_function(X) # This is the main Bayesian optimization loop for i in xrange(10): # Fit the model on the data we observed so far model.train(X, Y) # Update the acquisition function model with the retrained model acquisition_func.update(model) # Optimize the acquisition function to obtain a new point new_x = maximizer(acquisition_func, X_lower, X_upper) # Evaluate the point and add the new observation to our set of previous seen points new_y = objective_function(np.array(new_x)) X = np.append(X, new_x, axis=0) Y = np.append(Y, new_y, axis=0) # Visualize the objective function, model and the acquisition function fig = plt.figure() ax1 = fig.add_subplot(1, 1, 1)
# The acquisition function that we optimize in order to pick a new x acquisition_func = EI( model, X_upper=X_upper, X_lower=X_lower, compute_incumbent=compute_incumbent, par=0.1) # par is the minimum improvement that a point has to obtain # Draw one random point and evaluate it to initialize BO X = np.array([np.random.uniform(X_lower, X_upper, dims)]) Y = objective_function(X) # This is the main Bayesian optimization loop for i in xrange(10): # Fit the model on the data we observed so far model.train(X, Y) # Update the acquisition function model with the retrained model acquisition_func.update(model) # Optimize the acquisition function to obtain a new point new_x = maximizer(acquisition_func, X_lower, X_upper) # Evaluate the point and add the new observation to our set of previous seen points new_y = objective_function(np.array(new_x)) X = np.append(X, new_x, axis=0) Y = np.append(Y, new_y, axis=0) # Visualize the objective function, model and the acquisition function fig = plt.figure() ax1 = fig.add_subplot(1, 1, 1)