#! /usr/bin/env python3
# Copyright (c) Facebook, Inc. and its affiliates. All Rights Reserved
r"""
Abstract model class for all GPyTorch-based botorch models.
To implement your own, simply inherit from both the provided classes and a
GPyTorch Model class such as an ExactGP.
"""
from abc import ABC, abstractproperty
from contextlib import ExitStack
from typing import Any, List, Optional, Tuple
import torch
from gpytorch import settings
from gpytorch.distributions import MultitaskMultivariateNormal, MultivariateNormal
from gpytorch.lazy import lazify
from torch import Tensor
from ..posteriors.gpytorch import GPyTorchPosterior
from .model import Model
from .utils import _make_X_full, add_output_dim, multioutput_to_batch_mode_transform
[docs]class GPyTorchModel(Model, ABC):
r"""Abstract base class for models based on GPyTorch models.
The easiest way to use this is to subclass a model from a GPyTorch model
class (e.g. an `ExactGP`) and this `GPyTorchModel`. See e.g. `SingleTaskGP`.
"""
[docs] def posterior(
self, X: Tensor, observation_noise: bool = False, **kwargs: Any
) -> GPyTorchPosterior:
r"""Computes the posterior over model outputs at the provided points.
Args:
X: A `(batch_shape) x q x d`-dim Tensor, where `d` is the dimension of the
feature space and `q` is the number of points considered jointly.
observation_noise: If True, add observation noise to the posterior.
propagate_grads: If True, do not detach GPyTorch's test caches when
computing the posterior. Required for being able to compute
derivatives with respect to training inputs at test time (used
e.g. by qNoisyExpectedImprovement). Defaults to `False`.
Returns:
A `GPyTorchPosterior` object, representing a batch of `b` joint
distributions over `q` points. Includes observation noise if
`observation_noise=True`.
"""
self.eval() # make sure model is in eval mode
detach_test_caches = not kwargs.get("propagate_grads", False)
with ExitStack() as es:
es.enter_context(settings.debug(False))
es.enter_context(settings.fast_pred_var())
es.enter_context(settings.detach_test_caches(detach_test_caches))
mvn = self(X)
if observation_noise:
# TODO: Allow passing in observation noise via kwarg
mvn = self.likelihood(mvn, X)
return GPyTorchPosterior(mvn=mvn)
[docs] def condition_on_observations(self, X: Tensor, Y: Tensor, **kwargs: Any) -> "Model":
r"""Condition the model on new observations.
Args:
X: A `batch_shape x n x d`-dim Tensor, where `d` is the dimension of
the feature space, `n` is the number of points per batch, and
`batch_shape` is the batch shape (must be compatible with the
batch shape of the model).
Y: A `batch_shape' x n x (o)`-dim Tensor, where `o` is the number of
model outputs, `n` is the number of points per batch, and
`batch_shape'` is the batch shape of the observations.
`batch_shape'` must be broadcastable to `batch_shape` using
standard broadcasting semantics. If `Y` has fewer batch dimensions
than `X`, its is assumed that the missing batch dimensions are
the same for all `Y`.
Returns:
A `Model` object of the same type, representing the original model
conditioned on the new observations `(X, Y)` (and possibly noise
observations passed in via kwargs).
Example:
>>> train_X = torch.rand(20, 2)
>>> train_Y = torch.sin(train_X[:, 0]) + torch.cos(train_X[:, 1])
>>> model = SingleTaskGP(train_X, train_Y)
>>> new_X = torch.rand(5, 2)
>>> new_Y = torch.sin(new_X[:, 0]) + torch.cos(new_X[:, 1])
>>> model = model.condition_on_observations(X=new_X, Y=new_Y)
"""
return self.get_fantasy_model(inputs=X, targets=Y.squeeze(dim=-1), **kwargs)
[docs]class BatchedMultiOutputGPyTorchModel(GPyTorchModel):
r"""Base class for batched multi-output GPyTorch models with independent outputs.
This model should be used when the same training data is used for all outputs.
Outputs are modeled independently by using a different batch for each output.
"""
_num_outputs: int
_input_batch_shape: torch.Size
_aug_batch_shape: torch.Size
def _set_dimensions(
self, train_X: Tensor, train_Y: Tensor, train_Yvar: Optional[Tensor] = None
) -> Tuple[Tensor, Tensor, Optional[Tensor]]:
r"""Store the number of outputs and the batch shape.
For single output targets, this also squeezes the output dimension.
Args:
train_X: A `n x d` or `batch_shape x n x d` (batch mode) tensor of training
features.
train_Y: A `n x (o)` or `batch_shape x n x (o)` (batch mode) tensor of
training observations.
train_Yvar: A `n x (o)` or `batch_shape x n x (o)` (batch mode) tensor of
observed measurement noise. Note: this will be None when using a model
that infers the noise level (e.g. a `SingleTaskGP`).
Returns:
3-element tuple containing
- A `input_batch_shape x (o) x n x d` tensor of training features.
- A `target_batch_shape x (o) x n` tensor of training observations.
- A `target_batch_shape x (o) x n` tensor observed measurement noise
(or None).
"""
self._num_outputs = train_Y.shape[-1] if train_Y.dim() == train_X.dim() else 1
self._input_batch_shape = train_X.shape[:-2]
if self._num_outputs > 1:
self._aug_batch_shape = self._input_batch_shape + torch.Size(
[self._num_outputs]
)
else:
self._aug_batch_shape = self._input_batch_shape
# squeeze last dim if single output
if train_Y.dim() == train_X.dim():
train_Y = train_Y.squeeze(-1)
if train_Yvar is not None and train_Yvar.dim() == train_X.dim():
train_Yvar = train_Yvar.squeeze(-1)
return train_X, train_Y, train_Yvar
[docs] def posterior(
self,
X: Tensor,
output_indices: Optional[List[int]] = None,
observation_noise: bool = False,
**kwargs: Any,
) -> GPyTorchPosterior:
r"""Computes the posterior over model outputs at the provided points.
Args:
X: A `(batch_shape) x q x d`-dim Tensor, where `d` is the dimension of the
feature space and `q` is the number of points considered jointly.
output_indices: A list of indices, corresponding to the outputs over
which to compute the posterior (if the model is multi-output).
Can be used to speed up computation if only a subset of the
model's outputs are required for optimization. If omitted,
computes the posterior over all model outputs.
observation_noise: If True, add observation noise to the posterior.
propagate_grads: If True, do not detach GPyTorch's test caches when
computing of the posterior. Required for being able to compute
derivatives with respect to training inputs at test time (used
e.g. by qNoisyExpectedImprovement). Defaults to `False`.
Returns:
A `GPyTorchPosterior` object, representing `batch_shape` joint
distributions over `q` points and the outputs selected by
`output_indices` each. Includes observation noise if
`observation_noise=True`.
"""
self.eval() # make sure model is in eval mode
detach_test_caches = not kwargs.get("propagate_grads", False)
with ExitStack() as es:
es.enter_context(settings.debug(False))
es.enter_context(settings.fast_pred_var())
es.enter_context(settings.detach_test_caches(detach_test_caches))
# insert a dimension for the output dimension
if self._num_outputs > 1:
X, output_dim_idx = add_output_dim(
X=X, original_batch_shape=self._input_batch_shape
)
mvn = self(X)
if observation_noise:
mvn = self.likelihood(mvn, X)
if self._num_outputs > 1:
mean_x = mvn.mean
covar_x = mvn.covariance_matrix
output_indices = output_indices or range(self._num_outputs)
mvns = [
MultivariateNormal(
mean_x.select(dim=output_dim_idx, index=t),
lazify(covar_x.select(dim=output_dim_idx, index=t)),
)
for t in output_indices
]
mvn = MultitaskMultivariateNormal.from_independent_mvns(mvns=mvns)
return GPyTorchPosterior(mvn=mvn)
[docs] def condition_on_observations(
self, X: Tensor, Y: Tensor, **kwargs: Any
) -> "BatchedMultiOutputGPyTorchModel":
r"""Condition the model on new observations.
Args:
X: A `batch_shape x m x d`-dim Tensor, where `d` is the dimension of
the feature space, `m` is the number of points per batch, and
`batch_shape` is the batch shape (must be compatible with the
batch shape of the model).
Y: A `batch_shape' x m x (o)`-dim Tensor, where `o` is the number of
model outputs, `m` is the number of points per batch, and
`batch_shape'` is the batch shape of the observations.
`batch_shape'` must be broadcastable to `batch_shape` using
standard broadcasting semantics. If `Y` has fewer batch dimensions
than `X`, its is assumed that the missing batch dimensions are
the same for all `Y`.
Returns:
A `BatchedMultiOutputGPyTorchModel` object of the same type with
`n + m` training examples, representing the original model
conditioned on the new observations `(X, Y)` (and possibly noise
observations passed in via kwargs).
Example:
>>> train_X = torch.rand(20, 2)
>>> train_Y = torch.cat(
>>> [torch.sin(train_X[:, 0]), torch.cos(train_X[:, 1])], -1
>>> )
>>> model = SingleTaskGP(train_X, train_Y)
>>> new_X = torch.rand(5, 2)
>>> new_Y = torch.cat([torch.sin(new_X[:, 0]), torch.cos(new_X[:, 1])], -1)
>>> model = model.condition_on_observations(X=new_X, Y=new_Y)
"""
inputs, targets, noise = multioutput_to_batch_mode_transform(
train_X=X,
train_Y=Y,
num_outputs=self._num_outputs,
train_Yvar=kwargs.get("noise", None),
)
fant_kwargs = {k: v for k, v in kwargs.items() if k != "propagate_grads"}
if noise is not None:
fant_kwargs.update({"noise": noise})
fantasy_model = super().condition_on_observations(
X=inputs, Y=targets, **fant_kwargs
)
fantasy_model._input_batch_shape = fantasy_model.train_targets.shape[
: (-1 if self._num_outputs == 1 else -2)
]
fantasy_model._aug_batch_shape = fantasy_model.train_targets.shape[:-1]
return fantasy_model
[docs]class ModelListGPyTorchModel(GPyTorchModel, ABC):
r"""Abstract base class for models based on multi-output GPyTorch models.
This is meant to be used with a gpytorch ModelList wrapper for independent
evaluation of submodels.
"""
@abstractproperty
def num_outputs(self) -> int:
r"""The number of outputs of the model."""
pass # pragma: no cover
[docs] def posterior(
self,
X: Tensor,
output_indices: Optional[List[int]] = None,
observation_noise: bool = False,
**kwargs: Any,
) -> GPyTorchPosterior:
r"""Computes the posterior over model outputs at the provided points.
Args:
X: A `b x q x d`-dim Tensor, where `d` is the dimension of the
feature space, `q` is the number of points considered jointly,
and `b` is the batch dimension.
output_indices: A list of indices, corresponding to the outputs over
which to compute the posterior (if the model is multi-output).
Can be used to speed up computation if only a subset of the
model's outputs are required for optimization. If omitted,
computes the posterior over all model outputs.
observation_noise: If True, add observation noise to the posterior.
propagate_grads: If True, do not detach GPyTorch's test caches when
computing of the posterior. Required for being able to compute
derivatives with respect to training inputs at test time (used
e.g. by qNoisyExpectedImprovement). Defaults to `False`.
Returns:
A `GPyTorchPosterior` object, representing `batch_shape` joint
distributions over `q` points and the outputs selected by
`output_indices` each. Includes measurement noise if
`observation_noise=True`.
"""
detach_test_caches = not kwargs.get("propagate_grads", False)
self.eval() # make sure model is in eval mode
with ExitStack() as es:
es.enter_context(settings.debug(False))
es.enter_context(settings.fast_pred_var())
es.enter_context(settings.detach_test_caches(detach_test_caches))
if output_indices is not None:
mvns = [self.forward_i(i, X) for i in output_indices]
if observation_noise:
mvns = [
self.likelihood_i(i, mvn, X)
for i, mvn in zip(output_indices, mvns)
]
else:
mvns = self(*[X for _ in range(self.num_outputs)])
if observation_noise:
# TODO: Allow passing in observation noise via kwarg
mvns = self.likelihood(*[(mvn, X) for mvn in mvns])
if len(mvns) == 1:
return GPyTorchPosterior(mvn=mvns[0])
else:
return GPyTorchPosterior(
mvn=MultitaskMultivariateNormal.from_independent_mvns(mvns=mvns)
)
[docs] def condition_on_observations(
self, X: Tensor, Y: Tensor, **kwargs: Any
) -> "ModelListGPyTorchModel":
raise NotImplementedError(
"`condition_on_observations` not implemented in "
"`ModelListGPyTorchModel` base class"
)
[docs]class MultiTaskGPyTorchModel(GPyTorchModel, ABC):
r"""Abstract base class for multi-task models baed on GPyTorch models.
This class provides the `posterior` method to models that implement a
"long-format" multi-task GP in the style of `MultiTaskGP`.
"""
[docs] def posterior(
self,
X: Tensor,
output_indices: Optional[List[int]] = None,
observation_noise: bool = False,
**kwargs: Any,
) -> GPyTorchPosterior:
r"""Computes the posterior over model outputs at the provided points.
Args:
X: A `q x d` or `batch_shape x q x d` (batch mode) tensor, where `d` is the
dimension of the feature space (not including task indices) and
`q` is the number of points considered jointly.
output_indices: A list of indices, corresponding to the outputs over
which to compute the posterior (if the model is multi-output).
Can be used to speed up computation if only a subset of the
model's outputs are required for optimization. If omitted,
computes the posterior over all model outputs.
observation_noise: If True, add observation noise to the posterior.
propagate_grads: If True, do not detach GPyTorch's test caches when
computing of the posterior. Required for being able to compute
derivatives with respect to training inputs at test time (used
e.g. by qNoisyExpectedImprovement). Defaults to `False`.
Returns:
A `GPyTorchPosterior` object, representing `batch_shape` joint
distributions over `q` points and the outputs selected by
`output_indices`. Includes measurement noise if
`observation_noise=True`.
"""
if output_indices is None:
output_indices = self._output_tasks
if any(i not in self._output_tasks for i in output_indices):
raise ValueError("Too many output indices")
# construct evaluation X
X_full = _make_X_full(X=X, output_indices=output_indices, tf=self._task_feature)
self.eval() # make sure model is in eval mode
detach_test_caches = not kwargs.get("propagate_grads", False)
with ExitStack() as es:
es.enter_context(settings.debug(False))
es.enter_context(settings.fast_pred_var())
es.enter_context(settings.detach_test_caches(detach_test_caches))
mvn = self(X_full)
if observation_noise:
# TODO: Allow passing in observation noise via kwarg
mvn = self.likelihood(mvn, X_full)
# If single-output, return the posterior of a single-output model
if len(output_indices) == 1:
return GPyTorchPosterior(mvn=mvn)
# Otherwise, make a MultitaskMultivariateNormal out of this
mtmvn = MultitaskMultivariateNormal(
mean=mvn.mean.view(*X.shape[:-1], len(output_indices)),
covariance_matrix=mvn.lazy_covariance_matrix,
interleaved=False,
)
return GPyTorchPosterior(mvn=mtmvn)
