# Source code for botorch.utils.multi_objective.scalarization

#!/usr/bin/env python3
# Copyright (c) Facebook, Inc. and its affiliates.
#
# LICENSE file in the root directory of this source tree.

r"""
Helper utilities for constructing scalarizations.

References

.. [Knowles2005]
J. Knowles, "ParEGO: a hybrid algorithm with on-line landscape approximation
for expensive multiobjective optimization problems," in IEEE Transactions
on Evolutionary Computation, vol. 10, no. 1, pp. 50-66, Feb. 2006.
"""
from __future__ import annotations

from typing import Callable, Optional

import torch
from botorch.exceptions.errors import BotorchTensorDimensionError
from botorch.utils.transforms import normalize
from torch import Tensor

[docs]def get_chebyshev_scalarization(
weights: Tensor, Y: Tensor, alpha: float = 0.05
) -> Callable[[Tensor, Optional[Tensor]], Tensor]:
r"""Construct an augmented Chebyshev scalarization.

Outcomes are first normalized to [0,1] and then an augmented
Chebyshev scalarization is applied.

Augmented Chebyshev scalarization:
objective(y) = min(w * y) + alpha * sum(w * y)

Note: this assumes maximization.

See [Knowles2005]_ for details.

This scalarization can be used with qExpectedImprovement to implement q-ParEGO
as proposed in [Daulton2020qehvi]_.

Args:
weights: A m-dim tensor of weights.
Y: A n x m-dim tensor of observed outcomes, which are used for
scaling the outcomes to [0,1].
alpha: Parameter governing the influence of the weighted sum term. The
default value comes from [Knowles2005]_.

Returns:
Transform function using the objective weights.

Example:
>>> weights = torch.tensor([0.75, 0.25])
>>> transform = get_aug_chebyshev_scalarization(weights, Y)
"""
if weights.shape != Y.shape[-1:]:
raise BotorchTensorDimensionError(
"weights must be an m-dim tensor where Y is ... x m."
f"Got shapes {weights.shape} and {Y.shape}."
)
elif Y.ndim > 2:
raise NotImplementedError("Batched Y is not currently supported.")
Y_bounds = torch.stack([Y.min(dim=-2).values, Y.max(dim=-2).values])

def obj(Y: Tensor, X: Optional[Tensor] = None) -> Tensor:
# scale to [0,1]
Y_normalized = normalize(Y, bounds=Y_bounds)
product = weights * Y_normalized
return product.min(dim=-1).values + alpha * product.sum(dim=-1)

return obj