#!/usr/bin/env python3
# Copyright (c) Facebook, Inc. and its affiliates. All Rights Reserved
r"""
Candidate generation utilities.
"""
from typing import Any, Callable, Dict, List, Optional, Tuple, Type, Union
import torch
from scipy.optimize import minimize
from torch import Tensor
from torch.nn import Module
from torch.optim import Optimizer
from .optim.parameter_constraints import (
_arrayify,
make_scipy_bounds,
make_scipy_linear_constraints,
)
from .optim.utils import check_convergence, columnwise_clamp, fix_features
[docs]def gen_candidates_scipy(
initial_conditions: Tensor,
acquisition_function: Module,
lower_bounds: Optional[Union[float, Tensor]] = None,
upper_bounds: Optional[Union[float, Tensor]] = None,
inequality_constraints: Optional[List[Tuple[Tensor, Tensor, float]]] = None,
equality_constraints: Optional[List[Tuple[Tensor, Tensor, float]]] = None,
options: Optional[Dict[str, Any]] = None,
fixed_features: Optional[Dict[int, Optional[float]]] = None,
) -> Tuple[Tensor, Tensor]:
r"""Generate a set of candidates using `scipy.optimize.minimize`.
Optimizes an acquisition function starting from a set of initial candidates
using `scipy.optimize.minimize` via a numpy converter.
Args:
initial_conditions: Starting points for optimization.
acquisition_function: Acquisition function to be used.
lower_bounds: Minimum values for each column of initial_conditions.
upper_bounds: Maximum values for each column of initial_conditions.
inequality constraints: A list of tuples (indices, coefficients, rhs),
with each tuple encoding an inequality constraint of the form
`\sum_i (X[indices[i]] * coefficients[i]) >= rhs`.
equality constraints: A list of tuples (indices, coefficients, rhs),
with each tuple encoding an inequality constraint of the form
`\sum_i (X[indices[i]] * coefficients[i]) = rhs`.
options: Options used to control the optimization including "method"
and "maxiter". Select method for `scipy.minimize` using the
method" key. By default uses L-BFGS-B for box-constrained problems
and SLSQP if inequality or equality constraints are present.
fixed_features: This is a dictionary of feature indices to values, where
all generated candidates will have features fixed to these values.
If the dictionary value is None, then that feature will just be
fixed to the clamped value and not optimized. Assumes values to be
compatible with lower_bounds and upper_bounds!
Returns:
2-element tuple containing
- The set of generated candidates.
- The acquisition value for each t-batch.
Example:
>>> qEI = qExpectedImprovement(model, best_f=0.2)
>>> bounds = torch.tensor([[0., 0.], [1., 2.]])
>>> Xinit = gen_batch_initial_conditions(
>>> qEI, bounds, q=3, num_restarts=25, raw_samples=500
>>> )
>>> batch_candidates, batch_acq_values = gen_candidates_scipy(
initial_conditions=Xinit,
acquisition_function=qEI,
lower_bounds=bounds[0],
upper_bounds=bounds[1],
)
"""
options = options or {}
clamped_candidates = columnwise_clamp(
X=initial_conditions, lower=lower_bounds, upper=upper_bounds
).requires_grad_(True)
shapeX = clamped_candidates.shape
x0 = _arrayify(clamped_candidates.view(-1))
bounds = make_scipy_bounds(
X=initial_conditions, lower_bounds=lower_bounds, upper_bounds=upper_bounds
)
constraints = make_scipy_linear_constraints(
shapeX=clamped_candidates.shape,
inequality_constraints=inequality_constraints,
equality_constraints=equality_constraints,
)
def f(x):
X = (
torch.from_numpy(x)
.to(initial_conditions)
.view(shapeX)
.contiguous()
.requires_grad_(True)
)
X_fix = fix_features(X=X, fixed_features=fixed_features)
loss = -acquisition_function(X_fix).sum()
# compute gradient w.r.t. the inputs (does not accumulate in leaves)
gradf = _arrayify(torch.autograd.grad(loss, X)[0].contiguous().view(-1))
fval = loss.item()
return fval, gradf
res = minimize(
f,
x0,
method=options.get("method", "SLSQP" if constraints else "L-BFGS-B"),
jac=True,
bounds=bounds,
constraints=constraints,
options={k: v for k, v in options.items() if k != "method"},
)
candidates = fix_features(
X=torch.from_numpy(res.x).to(initial_conditions).view(shapeX).contiguous(),
fixed_features=fixed_features,
)
clamped_candidates = columnwise_clamp(
X=candidates, lower=lower_bounds, upper=upper_bounds, raise_on_violation=True
)
batch_acquisition = acquisition_function(clamped_candidates)
return clamped_candidates, batch_acquisition
[docs]def gen_candidates_torch(
initial_conditions: Tensor,
acquisition_function: Callable,
lower_bounds: Optional[Union[float, Tensor]] = None,
upper_bounds: Optional[Union[float, Tensor]] = None,
optimizer: Type[Optimizer] = torch.optim.Adam,
options: Optional[Dict[str, Union[float, str]]] = None,
verbose: bool = True,
fixed_features: Optional[Dict[int, Optional[float]]] = None,
) -> Tuple[Tensor, Tensor]:
r"""Generate a set of candidates using a `torch.optim` optimizer.
Optimizes an acquisition function starting from a set of initial candidates
using an optimizer from `torch.optim`.
Args:
initial_conditions: Starting points for optimization.
acquisition_function: Acquisition function to be used.
lower_bounds: Minimum values for each column of initial_conditions.
upper_bounds: Maximum values for each column of initial_conditions.
optimizer (Optimizer): The pytorch optimizer to use to perform
candidate search.
options: Options used to control the optimization. Includes
maxiter: Maximum number of iterations
verbose: If True, provide verbose output.
fixed_features: This is a dictionary of feature indices to values, where
all generated candidates will have features fixed to these values.
If the dictionary value is None, then that feature will just be
fixed to the clamped value and not optimized. Assumes values to be
compatible with lower_bounds and upper_bounds!
Returns:
2-element tuple containing
- The set of generated candidates.
- The acquisition value for each t-batch.
Example:
>>> qEI = qExpectedImprovement(model, best_f=0.2)
>>> bounds = torch.tensor([[0., 0.], [1., 2.]])
>>> Xinit = gen_batch_initial_conditions(
>>> qEI, bounds, q=3, num_restarts=25, raw_samples=500
>>> )
>>> batch_candidates, batch_acq_values = gen_candidates_torch(
initial_conditions=Xinit,
acquisition_function=qEI,
lower_bounds=bounds[0],
upper_bounds=bounds[1],
)
"""
options = options or {}
clamped_candidates = columnwise_clamp(
X=initial_conditions, lower=lower_bounds, upper=upper_bounds
).requires_grad_(True)
candidates = fix_features(clamped_candidates, fixed_features)
bayes_optimizer = optimizer(
params=[clamped_candidates], lr=options.get("lr", 0.025)
)
param_trajectory: Dict[str, List[Tensor]] = {"candidates": []}
loss_trajectory: List[float] = []
i = 0
converged = False
while not converged:
i += 1
loss = -acquisition_function(candidates).sum()
if verbose:
print("Iter: {} - Value: {:.3f}".format(i, -loss.item()))
loss_trajectory.append(loss.item())
param_trajectory["candidates"].append(candidates.clone())
def closure():
bayes_optimizer.zero_grad()
loss = -acquisition_function(candidates).sum()
loss.backward()
return loss
bayes_optimizer.step(closure)
clamped_candidates.data = columnwise_clamp(
clamped_candidates, lower_bounds, upper_bounds
)
candidates = fix_features(clamped_candidates, fixed_features)
converged = check_convergence(
loss_trajectory=loss_trajectory,
param_trajectory=param_trajectory,
options=options,
)
clamped_candidates = columnwise_clamp(
X=candidates, lower=lower_bounds, upper=upper_bounds, raise_on_violation=True
)
batch_acquisition = acquisition_function(candidates)
return candidates, batch_acquisition
[docs]def get_best_candidates(batch_candidates: Tensor, batch_values: Tensor) -> Tensor:
r"""Extract best (q-batch) candidate from batch of candidates
Args:
batch_candidates: A `b x q x d` tensor of `b` q-batch candidates, or a
`b x d` tensor of `b` single-point candidates.
batch_values: A tensor with `b` elements containing the value of the
respective candidate (higher is better).
Returns:
A tensor of size `q x d` (if q-batch mode) or `d` from batch_candidates
with the highest associated value.
Example:
>>> qEI = qExpectedImprovement(model, best_f=0.2)
>>> bounds = torch.tensor([[0., 0.], [1., 2.]])
>>> Xinit = gen_batch_initial_conditions(
>>> qEI, bounds, q=3, num_restarts=25, raw_samples=500
>>> )
>>> batch_candidates, batch_acq_values = gen_candidates_scipy(
initial_conditions=Xinit,
acquisition_function=qEI,
lower_bounds=bounds[0],
upper_bounds=bounds[1],
)
>>> best_candidates = get_best_candidates(batch_candidates, batch_acq_values)
"""
best = torch.max(batch_values.view(-1), dim=0)[1].item()
return batch_candidates[best]
