Source code for botorch.models.gp_regression_fidelity

#! /usr/bin/env python3
# Copyright (c) Facebook, Inc. and its affiliates.
#
# This source code is licensed under the MIT license found in the
# LICENSE file in the root directory of this source tree.

r"""
Gaussian Process Regression models based on GPyTorch models.

.. [Wu2019mf]
    J. Wu, S. Toscano-Palmerin, P. I. Frazier, and A. G. Wilson. Practical
    multi-fidelity bayesian optimization for hyperparameter tuning. ArXiv 2019.
"""

from __future__ import annotations

from typing import Dict, Optional, Tuple

import torch
from gpytorch.kernels.kernel import ProductKernel
from gpytorch.kernels.rbf_kernel import RBFKernel
from gpytorch.kernels.scale_kernel import ScaleKernel
from gpytorch.likelihoods.likelihood import Likelihood
from gpytorch.priors.torch_priors import GammaPrior
from torch import Tensor

from ..exceptions.errors import UnsupportedError
from .gp_regression import FixedNoiseGP, SingleTaskGP
from .kernels.downsampling import DownsamplingKernel
from .kernels.exponential_decay import ExponentialDecayKernel
from .kernels.linear_truncated_fidelity import LinearTruncatedFidelityKernel
from .transforms.outcome import OutcomeTransform


[docs]class SingleTaskMultiFidelityGP(SingleTaskGP): r"""A single task multi-fidelity GP model. A SingleTaskGP model using a DownsamplingKernel for the data fidelity parameter (if present) and an ExponentialDecayKernel for the iteration fidelity parameter (if present). This kernel is described in [Wu2019mf]_. Args: train_X: A `batch_shape x n x (d + s)` tensor of training features, where `s` is the dimension of the fidelity parameters (either one or two). train_Y: A `batch_shape x n x m` tensor of training observations. iteration_fidelity: The column index for the training iteration fidelity parameter (optional). data_fidelity: The column index for the downsampling fidelity parameter (optional). linear_truncated: If True, use a `LinearTruncatedFidelityKernel` instead of the default kernel. nu: The smoothness parameter for the Matern kernel: either 1/2, 3/2, or 5/2. Only used when `linear_truncated=True`. likelihood: A likelihood. If omitted, use a standard GaussianLikelihood with inferred noise level. outcome_transform: An outcome transform that is applied to the training data during instantiation and to the posterior during inference (that is, the `Posterior` obtained by calling `.posterior` on the model will be on the original scale). Example: >>> train_X = torch.rand(20, 4) >>> train_Y = train_X.pow(2).sum(dim=-1, keepdim=True) >>> model = SingleTaskMultiFidelityGP(train_X, train_Y, data_fidelity=3) """ def __init__( self, train_X: Tensor, train_Y: Tensor, iteration_fidelity: Optional[int] = None, data_fidelity: Optional[int] = None, linear_truncated: bool = True, nu: float = 2.5, likelihood: Optional[Likelihood] = None, outcome_transform: Optional[OutcomeTransform] = None, ) -> None: self._init_args = { "iteration_fidelity": iteration_fidelity, "data_fidelity": data_fidelity, "linear_truncated": linear_truncated, "nu": nu, "outcome_transform": outcome_transform, } if iteration_fidelity is None and data_fidelity is None: raise UnsupportedError( "SingleTaskMultiFidelityGP requires at least one fidelity parameter." ) self._set_dimensions(train_X=train_X, train_Y=train_Y) covar_module, subset_batch_dict = _setup_multifidelity_covar_module( dim=train_X.size(-1), aug_batch_shape=self._aug_batch_shape, iteration_fidelity=iteration_fidelity, data_fidelity=data_fidelity, linear_truncated=linear_truncated, nu=nu, ) super().__init__( train_X=train_X, train_Y=train_Y, likelihood=likelihood, covar_module=covar_module, outcome_transform=outcome_transform, ) self._subset_batch_dict = { "likelihood.noise_covar.raw_noise": -2, "mean_module.constant": -2, "covar_module.raw_outputscale": -1, **subset_batch_dict, } self.to(train_X)
[docs]class FixedNoiseMultiFidelityGP(FixedNoiseGP): r"""A single task multi-fidelity GP model using fixed noise levels. A FixedNoiseGP model analogue to SingleTaskMultiFidelityGP, using a DownsamplingKernel for the data fidelity parameter (if present) and an ExponentialDecayKernel for the iteration fidelity parameter (if present). This kernel is described in [Wu2019mf]_. Args: train_X: A `batch_shape x n x (d + s)` tensor of training features, where `s` is the dimension of the fidelity parameters (either one or two). train_Y: A `batch_shape x n x m` tensor of training observations. train_Yvar: A `batch_shape x n x m` tensor of observed measurement noise. iteration_fidelity: The column index for the training iteration fidelity parameter (optional). data_fidelity: The column index for the downsampling fidelity parameter (optional). linear_truncated: If True, use a `LinearTruncatedFidelityKernel` instead of the default kernel. nu: The smoothness parameter for the Matern kernel: either 1/2, 3/2, or 5/2. Only used when `linear_truncated=True`. outcome_transform: An outcome transform that is applied to the training data during instantiation and to the posterior during inference (that is, the `Posterior` obtained by calling `.posterior` on the model will be on the original scale). Example: >>> train_X = torch.rand(20, 4) >>> train_Y = train_X.pow(2).sum(dim=-1, keepdim=True) >>> train_Yvar = torch.full_like(train_Y) * 0.01 >>> model = FixedNoiseMultiFidelityGP( >>> train_X, >>> train_Y, >>> train_Yvar, >>> data_fidelity=3, >>> ) """ def __init__( self, train_X: Tensor, train_Y: Tensor, train_Yvar: Tensor, iteration_fidelity: Optional[int] = None, data_fidelity: Optional[int] = None, linear_truncated: bool = True, nu: float = 2.5, outcome_transform: Optional[OutcomeTransform] = None, ) -> None: if iteration_fidelity is None and data_fidelity is None: raise UnsupportedError( "FixedNoiseMultiFidelityGP requires at least one fidelity parameter." ) self._set_dimensions(train_X=train_X, train_Y=train_Y) covar_module, subset_batch_dict = _setup_multifidelity_covar_module( dim=train_X.size(-1), aug_batch_shape=self._aug_batch_shape, iteration_fidelity=iteration_fidelity, data_fidelity=data_fidelity, linear_truncated=linear_truncated, nu=nu, ) super().__init__( train_X=train_X, train_Y=train_Y, train_Yvar=train_Yvar, covar_module=covar_module, outcome_transform=outcome_transform, ) self._subset_batch_dict = { "likelihood.noise_covar.raw_noise": -2, "mean_module.constant": -2, "covar_module.raw_outputscale": -1, **subset_batch_dict, } self.to(train_X)
def _setup_multifidelity_covar_module( dim: int, aug_batch_shape: torch.Size, iteration_fidelity: Optional[int], data_fidelity: Optional[int], linear_truncated: bool, nu: float, ) -> Tuple[ScaleKernel, Dict]: """Helper function to get the covariance module and associated subset_batch_dict for the multifidelity setting. Args: dim: The dimensionality of the training data. aug_batch_shape: The output-augmented batch shape as defined in `BatchedMultiOutputGPyTorchModel`. iteration_fidelity: The column index for the training iteration fidelity parameter (optional). data_fidelity: The column index for the downsampling fidelity parameter (optional). linear_truncated: If True, use a `LinearTruncatedFidelityKernel` instead of the default kernel. nu: The smoothness parameter for the Matern kernel: either 1/2, 3/2, or 5/2. Only used when `linear_truncated=True`. Returns: The covariance module and subset_batch_dict. """ if iteration_fidelity is not None and iteration_fidelity < 0: iteration_fidelity = dim + iteration_fidelity if data_fidelity is not None and data_fidelity < 0: data_fidelity = dim + data_fidelity if linear_truncated: fidelity_dims = [ i for i in (iteration_fidelity, data_fidelity) if i is not None ] kernel = LinearTruncatedFidelityKernel( fidelity_dims=fidelity_dims, dimension=dim, nu=nu, batch_shape=aug_batch_shape, power_prior=GammaPrior(3.0, 3.0), ) else: active_dimsX = [ i for i in range(dim) if i not in {iteration_fidelity, data_fidelity} ] kernel = RBFKernel( ard_num_dims=len(active_dimsX), batch_shape=aug_batch_shape, lengthscale_prior=GammaPrior(3.0, 6.0), active_dims=active_dimsX, ) additional_kernels = [] if iteration_fidelity is not None: exp_kernel = ExponentialDecayKernel( batch_shape=aug_batch_shape, lengthscale_prior=GammaPrior(3.0, 6.0), offset_prior=GammaPrior(3.0, 6.0), power_prior=GammaPrior(3.0, 6.0), active_dims=[iteration_fidelity], ) additional_kernels.append(exp_kernel) if data_fidelity is not None: ds_kernel = DownsamplingKernel( batch_shape=aug_batch_shape, offset_prior=GammaPrior(3.0, 6.0), power_prior=GammaPrior(3.0, 6.0), active_dims=[data_fidelity], ) additional_kernels.append(ds_kernel) kernel = ProductKernel(kernel, *additional_kernels) covar_module = ScaleKernel( kernel, batch_shape=aug_batch_shape, outputscale_prior=GammaPrior(2.0, 0.15) ) if linear_truncated: subset_batch_dict = { "covar_module.base_kernel.raw_power": -2, "covar_module.base_kernel.covar_module_unbiased.raw_lengthscale": -3, "covar_module.base_kernel.covar_module_biased.raw_lengthscale": -3, } else: subset_batch_dict = { "covar_module.base_kernel.kernels.0.raw_lengthscale": -3, "covar_module.base_kernel.kernels.1.raw_power": -2, "covar_module.base_kernel.kernels.1.raw_offset": -2, } if iteration_fidelity is not None: subset_batch_dict = { "covar_module.base_kernel.kernels.1.raw_lengthscale": -3, **subset_batch_dict, } if data_fidelity is not None: subset_batch_dict = { "covar_module.base_kernel.kernels.2.raw_power": -2, "covar_module.base_kernel.kernels.2.raw_offset": -2, **subset_batch_dict, } return covar_module, subset_batch_dict