#!/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"""
Cost functions for cost-aware acquisition functions, e.g. multi-fidelity KG.
To be used in a context where there is an objective/cost tradeoff.
"""
from __future__ import annotations
import warnings
from abc import ABC, abstractmethod
from typing import Any, Callable, Optional
import torch
from botorch import settings
from botorch.acquisition.objective import IdentityMCObjective, MCAcquisitionObjective
from botorch.exceptions.warnings import CostAwareWarning
from botorch.models.model import Model
from botorch.sampling.samplers import MCSampler
from torch import Tensor
from torch.nn import Module
[docs]class CostAwareUtility(Module, ABC):
r"""Abstract base class for cost-aware utilities."""
[docs] @abstractmethod
def forward(self, X: Tensor, deltas: Tensor, **kwargs: Any) -> Tensor:
r"""Evaluate the cost-aware utility on the candidates and improvements.
Args:
X: A `batch_shape x q x d`-dim Tensor of with `q` `d`-dim design
points each for each t-batch.
deltas: A `num_fantasies x batch_shape`-dim Tensor of `num_fantasy`
samples from the marginal improvement in utility over the
current state at `X` for each t-batch.
Returns:
A `num_fantasies x batch_shape`-dim Tensor of cost-transformed utilities.
"""
pass # pragma: no cover
[docs]class GenericCostAwareUtility(CostAwareUtility):
r"""Generic cost-aware utility wrapping a callable."""
def __init__(self, cost: Callable[[Tensor, Tensor], Tensor]) -> None:
r"""Generic cost-aware utility wrapping a callable.
Args:
cost: A callable mapping a `batch_shape x q x d'`-dim candidate set
to a `batch_shape`-dim tensor of costs
"""
super().__init__()
self._cost_callable: Callable[[Tensor, Tensor], Tensor] = cost
[docs] def forward(self, X: Tensor, deltas: Tensor, **kwargs: Any) -> Tensor:
r"""Evaluate the cost function on the candidates and improvements.
Args:
X: A `batch_shape x q x d'`-dim Tensor of with `q` `d`-dim design
points for each t-batch.
deltas: A `num_fantasies x batch_shape`-dim Tensor of `num_fantasy`
samples from the marginal improvement in utility over the
current state at `X` for each t-batch.
Returns:
A `num_fantasies x batch_shape`-dim Tensor of cost-weighted utilities.
"""
return self._cost_callable(X, deltas)
[docs]class InverseCostWeightedUtility(CostAwareUtility):
r"""A cost-aware utility using inverse cost weighting based on a model.
Computes the cost-aware utility by inverse-weighting samples
`U = (u_1, ..., u_N)` of the increase in utility. If `use_mean=True`, this
uses the posterior mean `mean_cost` of the cost model, i.e.
`weighted utility = mean(U) / mean_cost`. If `use_mean=False`, it uses
samples `C = (c_1, ..., c_N)` from the posterior of the cost model and
performs the inverse weighting on the sample level:
`weighted utility = mean(u_1 / c_1, ..., u_N / c_N)`.
The cost is additive across multiple elements of a q-batch.
"""
def __init__(
self,
cost_model: Model,
use_mean: bool = True,
cost_objective: Optional[MCAcquisitionObjective] = None,
min_cost: float = 1e-2,
) -> None:
r"""Cost-aware utility that weights increase in utiltiy by inverse cost.
Args:
cost_model: A Model modeling the cost of evaluating a candidate
set `X`, where `X` are the same features as in the model for the
acquisition function this is to be used with. If no cost_objective
is specified, the outputs are required to be non-negative.
use_mean: If True, use the posterior mean, otherwise use posterior
samples from the cost model.
cost_objective: If specified, transform the posterior mean / the
posterior samples from the cost model. This can be used e.g. to
un-transform predictions/samples of a cost model fit on the
log-transformed cost (often done to ensure non-negativity).
min_cost: A value used to clamp the cost samples so that they are not
too close to zero, which may cause numerical issues.
Returns:
The inverse-cost-weighted utiltiy.
"""
super().__init__()
if cost_objective is None:
cost_objective = IdentityMCObjective()
self.cost_model = cost_model
self.cost_objective = cost_objective
self._use_mean = use_mean
self._min_cost = min_cost
[docs] def forward(
self,
X: Tensor,
deltas: Tensor,
sampler: Optional[MCSampler] = None,
**kwargs: Any,
) -> Tensor:
r"""Evaluate the cost function on the candidates and improvements.
Args:
X: A `batch_shape x q x d`-dim Tensor of with `q` `d`-dim design
points each for each t-batch.
deltas: A `num_fantasies x batch_shape`-dim Tensor of `num_fantasy`
samples from the marginal improvement in utility over the
current state at `X` for each t-batch.
sampler: A sampler used for sampling from the posterior of the cost
model (required if `use_mean=False`, ignored if `use_mean=True`).
Returns:
A `num_fantasies x batch_shape`-dim Tensor of cost-weighted utilities.
"""
if not self._use_mean and sampler is None:
raise RuntimeError("Must provide `sampler` if `use_mean=False`")
cost_posterior = self.cost_model.posterior(X)
if self._use_mean:
cost = cost_posterior.mean # batch_shape x q x m'
else:
# This will be of shape num_fantasies x batch_shape x q x m'
cost = sampler(cost_posterior)
# TODO: Make sure this doesn't change base samples in-place
cost = self.cost_objective(cost)
# Ensure non-negativity of the cost
if settings.debug.on():
if torch.any(cost < -1e-7):
warnings.warn(
"Encountered negative cost values in InverseCostWeightedUtility",
CostAwareWarning,
)
# clamp (away from zero) and sum cost across elements of the q-batch -
# this will be of shape `num_fantasies x batch_shape` or `batch_shape`
cost = cost.clamp_min(self._min_cost).sum(dim=-1)
# if we are doing inverse weighting on the sample level, clamp numerator.
if not self._use_mean:
deltas = deltas.clamp_min(0.0)
# compute and return the ratio on the sample level - If `use_mean=True`
# this operation involves broadcasting the cost across fantasies
return deltas / cost
