Source code for botorch.models.kernels.contextual_lcea

#!/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.

from typing import Any, Dict, List, Optional

import torch
from gpytorch.constraints import Positive
from gpytorch.kernels.kernel import Kernel
from gpytorch.kernels.matern_kernel import MaternKernel
from gpytorch.lazy.sum_lazy_tensor import SumLazyTensor
from gpytorch.priors.torch_priors import GammaPrior
from torch import Tensor
from torch.nn import ModuleList

[docs]class LCEAKernel(Kernel): r"""The Latent Context Embedding Additive (LCE-A) Kernel. This kernel is similar to the SACKernel, and is used when context breakdowns are unbserverable. It assumes the same additive structure and a spatial kernel shared across contexts. Rather than assuming independence, LCEAKernel models the correlation in the latent functions for each context through learning context embeddings. Args: decomposition: Keys index context names. Values are the indexes of parameters belong to the context. The parameter indexes are in the same order across contexts. batch_shape: Batch shape as usual for gpytorch kernels. Model does not support batch training. When batch_shape is non-empty, it is used for loading hyper-parameter values generated from MCMC sampling. train_embedding: A boolean indictor of whether to learn context embeddings cat_feature_dict: Keys are context names and values are list of categorical features i.e. {"context_name" : [cat_0, ..., cat_k]}. k equals to number of categorical variables. If None, we use context names in the decomposition as the only categorical feature i.e. k = 1 embs_feature_dict: Pre-trained continuous embedding features of each context. embs_dim_list: Embedding dimension for each categorical variable. The length equals to num of categorical features k. If None, emb dim is set to 1 for each categorical variable. context_weight_dict: Known population Weights of each context. """ def __init__( self, decomposition: Dict[str, List[int]], batch_shape: torch.Size, train_embedding: bool = True, cat_feature_dict: Optional[Dict] = None, embs_feature_dict: Optional[Dict] = None, embs_dim_list: Optional[List[int]] = None, context_weight_dict: Optional[Dict] = None, device: Optional[torch.device] = None, ) -> None: super().__init__(batch_shape=batch_shape) self.decomposition = decomposition self.batch_shape = batch_shape self.train_embedding = train_embedding self.device = device num_param = len(next(iter(decomposition.values()))) self.context_list = list(decomposition.keys()) self.num_contexts = len(self.context_list) # get parameter space decomposition for active_parameters in decomposition.values(): # check number of parameters are same in each decomp if len(active_parameters) != num_param: raise ValueError( "num of parameters needs to be same across all contexts" ) self._indexers = { context: torch.tensor(active_params, device=self.device) for context, active_params in self.decomposition.items() } # get context features and set emb dim self.context_cat_feature = None self.context_emb_feature = None self.n_embs = 0 self.emb_weight_matrix_list = None self.emb_dims = None self._set_context_features( cat_feature_dict=cat_feature_dict, embs_feature_dict=embs_feature_dict, embs_dim_list=embs_dim_list, ) # contruct embedding layer if train_embedding: self._set_emb_layers() # task covariance matrix self.task_covar_module = MaternKernel( nu=2.5, ard_num_dims=self.n_embs, batch_shape=batch_shape, lengthscale_prior=GammaPrior(3.0, 6.0), ) # base kernel self.base_kernel = MaternKernel( nu=2.5, ard_num_dims=num_param, batch_shape=batch_shape, lengthscale_prior=GammaPrior(3.0, 6.0), ) # outputscales for each context (note this is like sqrt of outputscale) self.context_weight = None if context_weight_dict is None: outputscale_list = torch.zeros( *batch_shape, self.num_contexts, device=self.device ) else: outputscale_list = torch.zeros(*batch_shape, 1, device=self.device) self.context_weight = torch.tensor( [context_weight_dict[c] for c in self.context_list], device=self.device ) self.register_parameter( name="raw_outputscale_list", parameter=torch.nn.Parameter(outputscale_list) ) self.register_prior( "outputscale_list_prior", GammaPrior(2.0, 15.0), lambda m: m.outputscale_list, lambda m, v: m._set_outputscale_list(v), ) self.register_constraint("raw_outputscale_list", Positive()) @property def outputscale_list(self) -> Tensor: return self.raw_outputscale_list_constraint.transform(self.raw_outputscale_list) @outputscale_list.setter def outputscale_list(self, value: Tensor) -> None: self._set_outputscale_list(value) def _set_outputscale_list(self, value: Tensor) -> None: if not torch.is_tensor(value): value = torch.as_tensor(value).to(self.raw_outputscale_list) self.initialize( raw_outputscale_list=self.raw_outputscale_list_constraint.inverse_transform( value ) ) def _set_context_features( self, cat_feature_dict: Optional[Dict] = None, embs_feature_dict: Optional[Dict] = None, embs_dim_list: Optional[List[int]] = None, ) -> None: """Set context categorical features and continuous embedding features. If cat_feature_dict is None, context indices will be used; If embs_dim_list is None, we use 1-d embedding for each categorical features. """ # get context categorical features if cat_feature_dict is None: self.context_cat_feature = torch.arange( self.num_contexts, device=self.device ).unsqueeze(-1) else: self.context_cat_feature = torch.tensor( [cat_feature_dict[c] for c in self.context_list] ) # construct emb_dims based on categorical features if embs_dim_list is None: # set embedding_dim = 1 for each categorical variable embs_dim_list = [1 for _i in range(self.context_cat_feature.size(1))] self.emb_dims = [ (len(self.context_cat_feature[:, i].unique()), embs_dim_list[i]) for i in range(self.context_cat_feature.size(1)) ] if self.train_embedding: self.n_embs = sum(embs_dim_list) # total num of emb features # get context embedding features if embs_feature_dict is not None: self.context_emb_feature = torch.tensor( [embs_feature_dict[c] for c in self.context_list], device=self.device ) self.n_embs += self.context_emb_feature.size(1) def _set_emb_layers(self) -> None: """Construct embedding layers. If model is non-batch, we use nn.Embedding to learn emb weights. If model is batched (sef.batch_shape is non-empty), we load emb weights posterior samples and construct a parameter list that each parameter is the emb weight of each layer. The shape of weight matrices are ns x num_contexts x emb_dim. """ self.emb_layers = ModuleList( [ torch.nn.Embedding(num_embeddings=x, embedding_dim=y, max_norm=1.0) for x, y in self.emb_dims ] ) # use posterior of emb weights if len(self.batch_shape) > 0: self.emb_weight_matrix_list = torch.nn.ParameterList( [ torch.nn.Parameter( torch.zeros( self.batch_shape + emb_layer.weight.shape, device=self.device, ) ) for emb_layer in self.emb_layers ] ) def _eval_context_covar(self) -> Tensor: """Compute context covariance matrix. Returns: A (ns) x num_contexts x num_contexts tensor. """ if len(self.batch_shape) > 0: # broadcast - (ns x num_contexts x k) all_embs = self._task_embeddings_batch() else: all_embs = self._task_embeddings() # no broadcast - (num_contexts x k) context_covar = self.task_covar_module(all_embs).evaluate() if self.context_weight is None: context_outputscales = self.outputscale_list else: context_outputscales = self.outputscale_list * self.context_weight context_covar = ( (context_outputscales.unsqueeze(-2)) # (ns) x 1 x num_contexts .mul(context_covar) .mul(context_outputscales.unsqueeze(-1)) # (ns) x num_contexts x 1 ) return context_covar def _task_embeddings(self) -> Tensor: """Generate embedding features of contexts when model is non-batch. Returns: a (num_contexts x n_embs) tensor. n_embs is the sum of embedding dimensions i.e. sum(embs_dim_list) """ if self.train_embedding is False: return self.context_emb_feature # use pre-trained embedding only context_features = torch.stack( [self.context_cat_feature[i, :] for i in range(self.num_contexts)], dim=0 ) embeddings = [ emb_layer(context_features[:, i].to(device=self.device, dtype=torch.long)) for i, emb_layer in enumerate(self.emb_layers) ] embeddings =, dim=1) # add given embeddings if any if self.context_emb_feature is not None: embeddings =[embeddings, self.context_emb_feature], dim=1) return embeddings def _task_embeddings_batch(self) -> Tensor: """Generate embedding features of contexts when model has multiple batches. Returns: a (ns) x num_contexts x n_embs tensor. ns is the batch size i.e num of posterior samples; n_embs is the sum of embedding dimensions i.e. sum(embs_dim_list). """ context_features = [ self.context_cat_feature[i, :].unsqueeze(0) for i in range(self.num_contexts) ] ) embeddings = [] for b in range(self.batch_shape.numel()): # pyre-ignore for i in range(len(self.emb_weight_matrix_list)): # loop over emb layer and concat embs from each layer embeddings.append( [ torch.nn.functional.embedding( context_features[:, 0].to( dtype=torch.long, device=self.device ), self.emb_weight_matrix_list[i][b, :], ).unsqueeze(0) ], dim=1, ) ) embeddings =, dim=0) # add given embeddings if any if self.context_emb_feature is not None: embeddings = [ embeddings, self.context_emb_feature.expand( *self.batch_shape + self.context_emb_feature.shape ), ], dim=-1, ) return embeddings def forward( self, x1: Tensor, x2: Tensor, diag: bool = False, last_dim_is_batch: bool = False, **params: Any, ) -> Tensor: """Iterate across each partition of parameter space and sum the covariance matrices together """ # context covar matrix context_covar = self._eval_context_covar() # check input batch size if b x ns x n x d: expand context_covar to # b x ns x num_context x num_context if x1.dim() > context_covar.dim(): context_covar = context_covar.expand(*x1.shape[:1] + context_covar.shape) covars = [] # TODO: speed computation of covariance matrix for i in range(self.num_contexts): for j in range(self.num_contexts): context1 = self.context_list[i] context2 = self.context_list[j] active_params1 = self._indexers[context1] active_params2 = self._indexers[context2] covars.append( ( context_covar.index_select( # pyre-ignore -1, torch.tensor([j], device=self.device) ).index_select( -2, torch.tensor([i], device=self.device) ) # b x ns x 1 x 1 ) * self.base_kernel( x1=x1.index_select(-1, active_params1), x2=x2.index_select(-1, active_params2), diag=diag, ) ) if diag: res = sum(covars) else: res = SumLazyTensor(*covars) return res