Source code for botorch.utils.multi_objective.hypervolume

#!/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"""Hypervolume Utilities.


.. [Fonseca2006]
    C. M. Fonseca, L. Paquete, and M. Lopez-Ibanez. An improved dimension-sweep
    algorithm for the hypervolume indicator. In IEEE Congress on Evolutionary
    Computation, pages 1157-1163, Vancouver, Canada, July 2006.


from __future__ import annotations

from typing import List, Optional

import torch
from botorch.exceptions.errors import BotorchTensorDimensionError
from torch import Tensor

[docs]class Hypervolume: r"""Hypervolume computation dimension sweep algorithm from [Fonseca2006]_. Adapted from Simon Wessing's implementation of the algorithm (Variant 3, Version 1.2) in [Fonseca2006]_ in PyMOO: Maximization is assumed. TODO: write this in C++ for faster looping. """ def __init__(self, ref_point: Tensor) -> None: r"""Initialize hypervolume object. Args: ref_point: `m`-dim Tensor containing the reference point. """ self.ref_point = ref_point @property def ref_point(self) -> Tensor: r"""Get reference point (for maximization). Returns: A `m`-dim tensor containing the reference point. """ return -self._ref_point @ref_point.setter def ref_point(self, ref_point: Tensor) -> None: r"""Set the reference point for maximization Args: ref_point: A `m`-dim tensor containing the reference point. """ self._ref_point = -ref_point
[docs] def compute(self, pareto_Y: Tensor) -> float: r"""Compute hypervolume. Args: pareto_Y: A `n x m`-dim tensor of pareto optimal outcomes Returns: The hypervolume. """ if pareto_Y.shape[-1] != self._ref_point.shape[0]: raise BotorchTensorDimensionError( "pareto_Y must have the same number of objectives as ref_point. " f"Got {pareto_Y.shape[-1]}, expected {self._ref_point.shape[0]}." ) elif pareto_Y.ndim != 2: raise BotorchTensorDimensionError( f"pareto_Y must have exactly two dimensions, got {pareto_Y.ndim}." ) # This assumes maximization, but internally flips the sign of the pareto front # and the reference point and computes hypervolume for the minimization problem. pareto_Y = -pareto_Y better_than_ref = (pareto_Y <= self._ref_point).all(dim=-1) pareto_Y = pareto_Y[better_than_ref] # shift the pareto front so that reference point is all zeros pareto_Y = pareto_Y - self._ref_point self._initialize_multilist(pareto_Y) bounds = torch.full_like(self._ref_point, float("-inf")) return self._hv_recursive( i=self._ref_point.shape[0] - 1, n_pareto=pareto_Y.shape[0], bounds=bounds )
def _hv_recursive(self, i: int, n_pareto: int, bounds: Tensor) -> float: r"""Recursive method for hypervolume calculation. This assumes minimization (internally). In contrast to the paper, this code assumes that the reference point is the origin. This enables pruning a few operations. Args: i: objective index n_pareto: number of pareto points bounds: objective bounds Returns: The hypervolume. """ hvol = torch.tensor(0.0, dtype=bounds.dtype, device=bounds.device) sentinel = self.list.sentinel if n_pareto == 0: # base case: one dimension return hvol.item() elif i == 0: # base case: one dimension return[0].data[0].item() elif i == 1: # two dimensions, end recursion q =[1] h =[0] p =[1] while p is not sentinel: hvol += h * ([1] -[1]) if[0] < h: h =[0] q = p p =[1] hvol += h *[1] return hvol.item() else: p = sentinel q = p.prev[i] while is not None: if q.ignore < i: q.ignore = 0 q = q.prev[i] q = p.prev[i] while n_pareto > 1 and ([i] > bounds[i] or q.prev[i].data[i] >= bounds[i] ): p = q self.list.remove(p, i, bounds) q = p.prev[i] n_pareto -= 1 q_prev = q.prev[i] if n_pareto > 1: hvol = q_prev.volume[i] + q_prev.area[i] * ([i] -[i]) else: q.area[0] = 1 q.area[1 : i + 1] = q.area[:i] * -([:i]) q.volume[i] = hvol if q.ignore >= i: q.area[i] = q_prev.area[i] else: q.area[i] = self._hv_recursive(i - 1, n_pareto, bounds) if q.area[i] <= q_prev.area[i]: q.ignore = i while p is not sentinel: p_data =[i] hvol += q.area[i] * (p_data -[i]) bounds[i] = p_data self.list.reinsert(p, i, bounds) n_pareto += 1 q = p p =[i] q.volume[i] = hvol if q.ignore >= i: q.area[i] = q.prev[i].area[i] else: q.area[i] = self._hv_recursive(i - 1, n_pareto, bounds) if q.area[i] <= q.prev[i].area[i]: q.ignore = i hvol -= q.area[i] *[i] return hvol.item() def _initialize_multilist(self, pareto_Y: Tensor) -> None: r"""Sets up the multilist data structure needed for calculation. Note: this assumes minimization. Args: pareto_Y: A `n x m`-dim tensor of pareto optimal objectives. """ m = pareto_Y.shape[-1] nodes = [ Node(m=m, dtype=pareto_Y.dtype, device=pareto_Y.device, data=point) for point in pareto_Y ] self.list = MultiList(m=m, dtype=pareto_Y.dtype, device=pareto_Y.device) for i in range(m): sort_by_dimension(nodes, i) self.list.extend(nodes, i)
[docs]def sort_by_dimension(nodes: List[Node], i: int) -> None: r"""Sorts the list of nodes in-place by the specified objective. Args: nodes: A list of Nodes i: The index of the objective to sort by """ # build a list of tuples of (point[i], node) decorated = [([i], index, node) for index, node in enumerate(nodes)] # sort by this value decorated.sort() # write back to original list nodes[:] = [node for (_, _, node) in decorated]
[docs]class Node: r"""Node in the MultiList data structure.""" def __init__( self, m: int, dtype: torch.dtype, device: torch.device, data: Optional[Tensor] = None, ) -> None: r"""Initialize MultiList. Args: m: The number of objectives dtype: The dtype device: The device data: The tensor data to be stored in this Node. """ = data = [None] * m self.prev = [None] * m self.ignore = 0 self.area = torch.zeros(m, dtype=dtype, device=device) self.volume = torch.zeros_like(self.area)
[docs]class MultiList: r"""A special data structure used in hypervolume computation. It consists of several doubly linked lists that share common nodes. Every node has multiple predecessors and successors, one in every list. """ def __init__(self, m: int, dtype: torch.dtype, device: torch.device) -> None: r"""Initialize `m` doubly linked lists. Args: m: number of doubly linked lists dtype: the dtype device: the device """ self.m = m self.sentinel = Node(m=m, dtype=dtype, device=device) = [self.sentinel] * m self.sentinel.prev = [self.sentinel] * m
[docs] def append(self, node: Node, index: int) -> None: r"""Appends a node to the end of the list at the given index. Args: node: the new node index: the index where the node should be appended. """ last = self.sentinel.prev[index][index] = self.sentinel node.prev[index] = last # set the last element as the new one self.sentinel.prev[index] = node[index] = node
[docs] def extend(self, nodes: List[Node], index: int) -> None: r"""Extends the list at the given index with the nodes. Args: nodes: list of nodes to append at the given index. index: the index where the nodes should be appended. """ for node in nodes: self.append(node=node, index=index)
[docs] def remove(self, node: Node, index: int, bounds: Tensor) -> Node: r"""Removes and returns 'node' from all lists in [0, 'index']. Args: node: The node to remove index: The upper bound on the range of indices bounds: A `2 x m`-dim tensor bounds on the objectives """ for i in range(index): predecessor = node.prev[i] successor =[i][i] = successor successor.prev[i] = predecessor = torch.min(bounds, return node
[docs] def reinsert(self, node: Node, index: int, bounds: Tensor) -> None: r"""Re-inserts the node at its original position. Re-inserts the node at its original position in all lists in [0, 'index'] before it was removed. This method assumes that the next and previous nodes of the node that is reinserted are in the list. Args: node: The node index: The upper bound on the range of indices bounds: A `2 x m`-dim tensor bounds on the objectives """ for i in range(index): node.prev[i].next[i] = node[i].prev[i] = node = torch.min(bounds,