Source code for botorch.generation.gen

#!/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"""
Candidate generation utilities.
"""

from __future__ import annotations

from typing import Any, Callable, Dict, List, Optional, Tuple, Type, Union

import numpy as np
import torch
from botorch.optim.parameter_constraints import (
    _arrayify,
    make_scipy_bounds,
    make_scipy_linear_constraints,
)
from botorch.optim.stopping import ExpMAStoppingCriterion
from botorch.optim.utils import _filter_kwargs, columnwise_clamp, fix_features
from scipy.optimize import minimize
from torch import Tensor
from torch.nn import Module
from torch.optim import Optimizer


[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): if np.isnan(x).any(): raise RuntimeError( f"{np.isnan(x).sum()} elements of the {x.size} element array " f"`x` are NaN." ) 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)) if np.isnan(gradf).any(): msg = ( f"{np.isnan(gradf).sum()} elements of the {x.size} element " "gradient array `gradf` are NaN. This often indicates numerical issues." ) if initial_conditions.dtype != torch.double: msg += " Consider using `dtype=torch.double`." raise RuntimeError(msg) 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 ) with torch.no_grad(): 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 stop = False stopping_criterion = ExpMAStoppingCriterion( **_filter_kwargs(ExpMAStoppingCriterion, **options) ) while not stop: 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.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) stop = stopping_criterion.evaluate(fvals=loss.detach()) clamped_candidates = columnwise_clamp( X=candidates, lower=lower_bounds, upper=upper_bounds, raise_on_violation=True ) with torch.no_grad(): 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.argmax(batch_values.view(-1), dim=0) return batch_candidates[best]