botorch.acquisition¶

Acquisition Function APIs¶

Abstract Acquisition Function APIs¶

Abstract base module for all botorch acquisition functions.

class botorch.acquisition.acquisition.AcquisitionFunction(model)[source]¶

Bases: torch.nn.modules.module.Module, abc.ABC

Abstract base class for acquisition functions.

Constructor for the AcquisitionFunction base class.

Parameters: model (Model) – A fitted model.

set_X_pending(X_pending=None)[source]¶

Informs the acquisition function about pending design points.

Parameters: X_pending (Optional[Tensor]) – n x d Tensor with n d-dim design points that have been submitted for evaluation but have not yet been evaluated.
Return type: None

abstract forward(X)[source]¶

Evaluate the acquisition function on the candidate set X.

Parameters: X (Tensor) – A (b) x q x d-dim Tensor of (b) t-batches with q d-dim design points each.
Return type: Tensor
Returns: A (b)-dim Tensor of acquisition function values at the given design points X.

training: bool¶

class botorch.acquisition.acquisition.OneShotAcquisitionFunction(model)[source]¶

Bases: botorch.acquisition.acquisition.AcquisitionFunction, abc.ABC

Abstract base class for acquisition functions using one-shot optimization

Constructor for the AcquisitionFunction base class.

Parameters: model (Model) – A fitted model.

abstract get_augmented_q_batch_size(q)[source]¶

Get augmented q batch size for one-shot optimziation.

Parameters: q (int) – The number of candidates to consider jointly.
Return type: int
Returns: The augmented size for one-shot optimization (including variables parameterizing the fantasy solutions).

abstract extract_candidates(X_full)[source]¶

Extract the candidates from a full “one-shot” parameterization.

Parameters: X_full (Tensor) – A b x q_aug x d-dim Tensor with b t-batches of q_aug design points each.
Return type: Tensor
Returns: A b x q x d-dim Tensor with b t-batches of q design points each.

training: bool¶

Analytic Acquisition Function API¶

class botorch.acquisition.analytic.AnalyticAcquisitionFunction(model, objective=None)[source]¶

Bases: botorch.acquisition.acquisition.AcquisitionFunction, abc.ABC

Base class for analytic acquisition functions.

Base constructor for analytic acquisition functions.

Parameters

model (Model) – A fitted single-outcome model.
objective (Optional[ScalarizedObjective]) – A ScalarizedObjective (optional).

set_X_pending(X_pending=None)[source]¶

Informs the acquisition function about pending design points.

Parameters: X_pending (Optional[Tensor]) – n x d Tensor with n d-dim design points that have been submitted for evaluation but have not yet been evaluated.
Return type: None

training: bool¶

Monte-Carlo Acquisition Function API¶

class botorch.acquisition.monte_carlo.MCAcquisitionFunction(model, sampler=None, objective=None, X_pending=None)[source]¶

Bases: botorch.acquisition.acquisition.AcquisitionFunction, abc.ABC

Abstract base class for Monte-Carlo based batch acquisition functions.

Constructor for the MCAcquisitionFunction base class.

Parameters

model (Model) – A fitted model.
sampler (Optional[MCSampler]) – The sampler used to draw base samples. Defaults to SobolQMCNormalSampler(num_samples=512, collapse_batch_dims=True).
objective (Optional[MCAcquisitionObjective]) – The MCAcquisitionObjective under which the samples are evaluated. Defaults to IdentityMCObjective().
X_pending (Optional[Tensor]) – A batch_shape, m x d-dim Tensor of m design points that have points that have been submitted for function evaluation but have not yet been evaluated.

abstract forward(X)[source]¶

Takes in a batch_shape x q x d X Tensor of t-batches with q d-dim design points each, and returns a Tensor with shape batch_shape’, where batch_shape’ is the broadcasted batch shape of model and input X. Should utilize the result of set_X_pending as needed to account for pending function evaluations.

Return type: Tensor

training: bool¶

Multi-Objective Analytic Acquisition Function API¶

class botorch.acquisition.multi_objective.analytic.MultiObjectiveAnalyticAcquisitionFunction(model, objective=None)[source]¶

Bases: botorch.acquisition.acquisition.AcquisitionFunction

Abstract base class for Multi-Objective batch acquisition functions.

Constructor for the MultiObjectiveAnalyticAcquisitionFunction base class.

Parameters

model (Model) – A fitted model.
objective (Optional[AnalyticMultiOutputObjective]) – An AnalyticMultiOutputObjective (optional).

abstract forward(X)[source]¶

Takes in a batch_shape x 1 x d X Tensor of t-batches with 1 d-dim design point each, and returns a Tensor with shape batch_shape’, where batch_shape’ is the broadcasted batch shape of model and input X.

Return type: Tensor

set_X_pending(X_pending=None)[source]¶

Informs the acquisition function about pending design points.

Parameters: X_pending (Optional[Tensor]) – n x d Tensor with n d-dim design points that have been submitted for evaluation but have not yet been evaluated.
Return type: None

training: bool¶

Multi-Objective Monte-Carlo Acquisition Function API¶

class botorch.acquisition.multi_objective.monte_carlo.MultiObjectiveMCAcquisitionFunction(model, sampler=None, objective=None, X_pending=None)[source]¶

Bases: botorch.acquisition.acquisition.AcquisitionFunction

Abstract base class for Multi-Objective batch acquisition functions.

Constructor for the MCAcquisitionFunction base class.

Parameters

model (Model) – A fitted model.
sampler (Optional[MCSampler]) – The sampler used to draw base samples. Defaults to SobolQMCNormalSampler(num_samples=512, collapse_batch_dims=True).
objective (Optional[MCMultiOutputObjective]) – The MCMultiOutputObjective under which the samples are evaluated. Defaults to IdentityMultiOutputObjective().
X_pending (Optional[Tensor]) – A m x d-dim Tensor of m design points that have points that have been submitted for function evaluation but have not yet been evaluated.

abstract forward(X)[source]¶

Takes in a batch_shape x q x d X Tensor of t-batches with q d-dim design points each, and returns a Tensor with shape batch_shape’, where batch_shape’ is the broadcasted batch shape of model and input X. Should utilize the result of set_X_pending as needed to account for pending function evaluations.

Return type: Tensor

training: bool¶

Acquisition Functions¶

Analytic Acquisition Functions¶

Analytic Acquisition Functions that evaluate the posterior without performing Monte-Carlo sampling.

class botorch.acquisition.analytic.ExpectedImprovement(model, best_f, objective=None, maximize=True)[source]¶

Bases: botorch.acquisition.analytic.AnalyticAcquisitionFunction

Single-outcome Expected Improvement (analytic).

Computes classic Expected Improvement over the current best observed value, using the analytic formula for a Normal posterior distribution. Unlike the MC-based acquisition functions, this relies on the posterior at single test point being Gaussian (and require the posterior to implement mean and variance properties). Only supports the case of q=1. The model must be single-outcome.

EI(x) = E(max(y - best_f, 0)), y ~ f(x)

Example

>>> model = SingleTaskGP(train_X, train_Y)
>>> EI = ExpectedImprovement(model, best_f=0.2)
>>> ei = EI(test_X)

Single-outcome Expected Improvement (analytic).

Parameters

model (Model) – A fitted single-outcome model.
best_f (Union[float, Tensor]) – Either a scalar or a b-dim Tensor (batch mode) representing the best function value observed so far (assumed noiseless).
objective (Optional[ScalarizedObjective]) – A ScalarizedObjective (optional).
maximize (bool) – If True, consider the problem a maximization problem.

forward(X)[source]¶

Evaluate Expected Improvement on the candidate set X.

Parameters: X (Tensor) – A b1 x … bk x 1 x d-dim batched tensor of d-dim design points. Expected Improvement is computed for each point individually, i.e., what is considered are the marginal posteriors, not the joint.
Return type: Tensor
Returns: A b1 x … bk-dim tensor of Expected Improvement values at the given design points X.

training: bool¶

class botorch.acquisition.analytic.PosteriorMean(model, objective=None)[source]¶

Bases: botorch.acquisition.analytic.AnalyticAcquisitionFunction

Single-outcome Posterior Mean.

Only supports the case of q=1. Requires the model’s posterior to have a mean property. The model must be single-outcome.

Example

>>> model = SingleTaskGP(train_X, train_Y)
>>> PM = PosteriorMean(model)
>>> pm = PM(test_X)

Base constructor for analytic acquisition functions.

Parameters

model (Model) – A fitted single-outcome model.
objective (Optional[ScalarizedObjective]) – A ScalarizedObjective (optional).

forward(X)[source]¶

Evaluate the posterior mean on the candidate set X.

Parameters: X (Tensor) – A (b) x 1 x d-dim Tensor of (b) t-batches of d-dim design points each.
Return type: Tensor
Returns: A (b)-dim Tensor of Posterior Mean values at the given design points X.

training: bool¶

class botorch.acquisition.analytic.ProbabilityOfImprovement(model, best_f, objective=None, maximize=True)[source]¶

Bases: botorch.acquisition.analytic.AnalyticAcquisitionFunction

Single-outcome Probability of Improvement.

Probability of improvment over the current best observed value, computed using the analytic formula under a Normal posterior distribution. Only supports the case of q=1. Requires the posterior to be Gaussian. The model must be single-outcome.

PI(x) = P(y >= best_f), y ~ f(x)

Example

>>> model = SingleTaskGP(train_X, train_Y)
>>> PI = ProbabilityOfImprovement(model, best_f=0.2)
>>> pi = PI(test_X)

Single-outcome analytic Probability of Improvement.

Parameters

model (Model) – A fitted single-outcome model.
best_f (Union[float, Tensor]) – Either a scalar or a b-dim Tensor (batch mode) representing the best function value observed so far (assumed noiseless).
objective (Optional[ScalarizedObjective]) – A ScalarizedObjective (optional).
maximize (bool) – If True, consider the problem a maximization problem.

forward(X)[source]¶

Evaluate the Probability of Improvement on the candidate set X.

Parameters: X (Tensor) – A (b) x 1 x d-dim Tensor of (b) t-batches of d-dim design points each.
Return type: Tensor
Returns: A (b)-dim tensor of Probability of Improvement values at the given design points X.

training: bool¶

class botorch.acquisition.analytic.UpperConfidenceBound(model, beta, objective=None, maximize=True)[source]¶

Bases: botorch.acquisition.analytic.AnalyticAcquisitionFunction

Single-outcome Upper Confidence Bound (UCB).

Analytic upper confidence bound that comprises of the posterior mean plus an additional term: the posterior standard deviation weighted by a trade-off parameter, beta. Only supports the case of q=1 (i.e. greedy, non-batch selection of design points). The model must be single-outcome.

UCB(x) = mu(x) + sqrt(beta) * sigma(x), where mu and sigma are the posterior mean and standard deviation, respectively.

Example

>>> model = SingleTaskGP(train_X, train_Y)
>>> UCB = UpperConfidenceBound(model, beta=0.2)
>>> ucb = UCB(test_X)

Single-outcome Upper Confidence Bound.

Parameters

model (Model) – A fitted single-outcome GP model (must be in batch mode if candidate sets X will be)
beta (Union[float, Tensor]) – Either a scalar or a one-dim tensor with b elements (batch mode) representing the trade-off parameter between mean and covariance
objective (Optional[ScalarizedObjective]) – A ScalarizedObjective (optional).
maximize (bool) – If True, consider the problem a maximization problem.

forward(X)[source]¶

Evaluate the Upper Confidence Bound on the candidate set X.

Parameters: X (Tensor) – A (b) x 1 x d-dim Tensor of (b) t-batches of d-dim design points each.
Return type: Tensor
Returns: A (b)-dim Tensor of Upper Confidence Bound values at the given design points X.

training: bool¶

class botorch.acquisition.analytic.ConstrainedExpectedImprovement(model, best_f, objective_index, constraints, maximize=True)[source]¶

Bases: botorch.acquisition.analytic.AnalyticAcquisitionFunction

Constrained Expected Improvement (feasibility-weighted).

Computes the analytic expected improvement for a Normal posterior distribution, weighted by a probability of feasibility. The objective and constraints are assumed to be independent and have Gaussian posterior distributions. Only supports the case q=1. The model should be multi-outcome, with the index of the objective and constraints passed to the constructor.

Constrained_EI(x) = EI(x) * Product_i P(y_i in [lower_i, upper_i]), where y_i ~ constraint_i(x) and lower_i, upper_i are the lower and upper bounds for the i-th constraint, respectively.

Example

>>> # example where 0th output has a non-negativity constraint and
... # 1st output is the objective
>>> model = SingleTaskGP(train_X, train_Y)
>>> constraints = {0: (0.0, None)}
>>> cEI = ConstrainedExpectedImprovement(model, 0.2, 1, constraints)
>>> cei = cEI(test_X)

Analytic Constrained Expected Improvement.

Parameters

model (Model) – A fitted single-outcome model.
best_f (Union[float, Tensor]) – Either a scalar or a b-dim Tensor (batch mode) representing the best function value observed so far (assumed noiseless).
objective_index (int) – The index of the objective.
constraints (Dict[int, Tuple[Optional[float], Optional[float]]]) – A dictionary of the form {i: [lower, upper]}, where i is the output index, and lower and upper are lower and upper bounds on that output (resp. interpreted as -Inf / Inf if None)
maximize (bool) – If True, consider the problem a maximization problem.

forward(X)[source]¶

Evaluate Constrained Expected Improvement on the candidate set X.

Parameters: X (Tensor) – A (b) x 1 x d-dim Tensor of (b) t-batches of d-dim design points each.
Return type: Tensor
Returns: A (b)-dim Tensor of Expected Improvement values at the given design points X.

training: bool¶

class botorch.acquisition.analytic.NoisyExpectedImprovement(model, X_observed, num_fantasies=20, maximize=True)[source]¶

Bases: botorch.acquisition.analytic.ExpectedImprovement

Single-outcome Noisy Expected Improvement (via fantasies).

This computes Noisy Expected Improvement by averaging over the Expected Improvemnt values of a number of fantasy models. Only supports the case q=1. Assumes that the posterior distribution of the model is Gaussian. The model must be single-outcome.

NEI(x) = E(max(y - max Y_baseline), 0)), (y, Y_baseline) ~ f((x, X_baseline)), where X_baseline are previously observed points.

Note: This acquisition function currently relies on using a FixedNoiseGP (required for noiseless fantasies).

Example

>>> model = FixedNoiseGP(train_X, train_Y, train_Yvar=train_Yvar)
>>> NEI = NoisyExpectedImprovement(model, train_X)
>>> nei = NEI(test_X)

Single-outcome Noisy Expected Improvement (via fantasies).

Parameters

model (GPyTorchModel) – A fitted single-outcome model.
X_observed (Tensor) – A n x d Tensor of observed points that are likely to be the best observed points so far.
num_fantasies (int) – The number of fantasies to generate. The higher this number the more accurate the model (at the expense of model complexity and performance).
maximize (bool) – If True, consider the problem a maximization problem.

forward(X)[source]¶

Evaluate Expected Improvement on the candidate set X.

Parameters: X (Tensor) – A b1 x … bk x 1 x d-dim batched tensor of d-dim design points.
Return type: Tensor
Returns: A b1 x … bk-dim tensor of Noisy Expected Improvement values at the given design points X.

training: bool¶

class botorch.acquisition.analytic.ScalarizedPosteriorMean(model, weights, objective=None)[source]¶

Bases: botorch.acquisition.analytic.AnalyticAcquisitionFunction

Scalarized Posterior Mean.

This acquisition function returns a scalarized (across the q-batch) posterior mean given a vector of weights.

Scalarized Posterior Mean.

Parameters

model (Model) – A fitted single-outcome model.
weights (Tensor) – A tensor of shape q for scalarization.
objective (Optional[ScalarizedObjective]) – A ScalarizedObjective. Required for multi-output models.

forward(X)[source]¶

Evaluate the scalarized posterior mean on the candidate set X.

Parameters: X (Tensor) – A (b) x q x d-dim Tensor of (b) t-batches of d-dim design points each.
Return type: Tensor
Returns: A (b)-dim Tensor of Posterior Mean values at the given design points X.

training: bool¶

Monte-Carlo Acquisition Functions¶

Batch acquisition functions using the reparameterization trick in combination with (quasi) Monte-Carlo sampling. See [Rezende2014reparam], [Wilson2017reparam] and [Balandat2020botorch].

Rezende2014reparam: D. J. Rezende, S. Mohamed, and D. Wierstra. Stochastic backpropagation and approximate inference in deep generative models. ICML 2014.
Wilson2017reparam: J. T. Wilson, R. Moriconi, F. Hutter, and M. P. Deisenroth. The reparameterization trick for acquisition functions. ArXiv 2017.

class botorch.acquisition.monte_carlo.qExpectedImprovement(model, best_f, sampler=None, objective=None, X_pending=None, **kwargs)[source]¶

Bases: botorch.acquisition.monte_carlo.MCAcquisitionFunction

MC-based batch Expected Improvement.

This computes qEI by (1) sampling the joint posterior over q points (2) evaluating the improvement over the current best for each sample (3) maximizing over q (4) averaging over the samples

qEI(X) = E(max(max Y - best_f, 0)), Y ~ f(X), where X = (x_1,…,x_q)

Example

>>> model = SingleTaskGP(train_X, train_Y)
>>> best_f = train_Y.max()[0]
>>> sampler = SobolQMCNormalSampler(1000)
>>> qEI = qExpectedImprovement(model, best_f, sampler)
>>> qei = qEI(test_X)

q-Expected Improvement.

Parameters

model (Model) – A fitted model.
best_f (Union[float, Tensor]) – The best objective value observed so far (assumed noiseless). Can be a batch_shape-shaped tensor, which in case of a batched model specifies potentially different values for each element of the batch.
sampler (Optional[MCSampler]) – The sampler used to draw base samples. Defaults to SobolQMCNormalSampler(num_samples=500, collapse_batch_dims=True)
objective (Optional[MCAcquisitionObjective]) – The MCAcquisitionObjective under which the samples are evalauted. Defaults to IdentityMCObjective().
X_pending (Optional[Tensor]) – A m x d-dim Tensor of m design points that have been submitted for function evaluation but have not yet been evaluated. Concatenated into X upon forward call. Copied and set to have no gradient.

forward(X)[source]¶

Evaluate qExpectedImprovement on the candidate set X.

Parameters: X (Tensor) – A batch_shape x q x d-dim Tensor of t-batches with q d-dim design points each.
Return type: Tensor
Returns: A batch_shape’-dim Tensor of Expected Improvement values at the given design points X, where batch_shape’ is the broadcasted batch shape of model and input X.

training: bool¶

class botorch.acquisition.monte_carlo.qNoisyExpectedImprovement(model, X_baseline, sampler=None, objective=None, X_pending=None, prune_baseline=False, **kwargs)[source]¶

Bases: botorch.acquisition.monte_carlo.MCAcquisitionFunction

MC-based batch Noisy Expected Improvement.

This function does not assume a best_f is known (which would require noiseless observations). Instead, it uses samples from the joint posterior over the q test points and previously observed points. The improvement over previously observed points is computed for each sample and averaged.

qNEI(X) = E(max(max Y - max Y_baseline, 0)), where (Y, Y_baseline) ~ f((X, X_baseline)), X = (x_1,…,x_q)

Example

>>> model = SingleTaskGP(train_X, train_Y)
>>> sampler = SobolQMCNormalSampler(1000)
>>> qNEI = qNoisyExpectedImprovement(model, train_X, sampler)
>>> qnei = qNEI(test_X)

q-Noisy Expected Improvement.

Parameters

model (Model) – A fitted model.
X_baseline (Tensor) – A batch_shape x r x d-dim Tensor of r design points that have already been observed. These points are considered as the potential best design point.
sampler (Optional[MCSampler]) – The sampler used to draw base samples. Defaults to SobolQMCNormalSampler(num_samples=500, collapse_batch_dims=True).
objective (Optional[MCAcquisitionObjective]) – The MCAcquisitionObjective under which the samples are evaluated. Defaults to IdentityMCObjective().
X_pending (Optional[Tensor]) – A batch_shape x m x d-dim Tensor of m design points that have points that have been submitted for function evaluation but have not yet been evaluated. Concatenated into X upon forward call. Copied and set to have no gradient.
prune_baseline (bool) – If True, remove points in X_baseline that are highly unlikely to be the best point. This can significantly improve performance and is generally recommended. In order to customize pruning parameters, instead manually call botorch.acquisition.utils.prune_inferior_points on X_baseline before instantiating the acquisition function.

forward(X)[source]¶

Evaluate qNoisyExpectedImprovement on the candidate set X.

Parameters: X (Tensor) – A batch_shape x q x d-dim Tensor of t-batches with q d-dim design points each.
Return type: Tensor
Returns: A batch_shape’-dim Tensor of Noisy Expected Improvement values at the given design points X, where batch_shape’ is the broadcasted batch shape of model and input X.

training: bool¶

class botorch.acquisition.monte_carlo.qProbabilityOfImprovement(model, best_f, sampler=None, objective=None, X_pending=None, tau=0.001)[source]¶

Bases: botorch.acquisition.monte_carlo.MCAcquisitionFunction

MC-based batch Probability of Improvement.

Estimates the probability of improvement over the current best observed value by sampling from the joint posterior distribution of the q-batch. MC-based estimates of a probability involves taking expectation of an indicator function; to support auto-differntiation, the indicator is replaced with a sigmoid function with temperature parameter tau.

qPI(X) = P(max Y >= best_f), Y ~ f(X), X = (x_1,…,x_q)

Example

>>> model = SingleTaskGP(train_X, train_Y)
>>> best_f = train_Y.max()[0]
>>> sampler = SobolQMCNormalSampler(1000)
>>> qPI = qProbabilityOfImprovement(model, best_f, sampler)
>>> qpi = qPI(test_X)

q-Probability of Improvement.

Parameters

model (Model) – A fitted model.
best_f (Union[float, Tensor]) – The best objective value observed so far (assumed noiseless). Can be a batch_shape-shaped tensor, which in case of a batched model specifies potentially different values for each element of the batch.
sampler (Optional[MCSampler]) – The sampler used to draw base samples. Defaults to SobolQMCNormalSampler(num_samples=500, collapse_batch_dims=True)
objective (Optional[MCAcquisitionObjective]) – The MCAcquisitionObjective under which the samples are evaluated. Defaults to IdentityMCObjective().
X_pending (Optional[Tensor]) – A m x d-dim Tensor of m design points that have points that have been submitted for function evaluation but have not yet been evaluated. Concatenated into X upon forward call. Copied and set to have no gradient.
tau (float) – The temperature parameter used in the sigmoid approximation of the step function. Smaller values yield more accurate approximations of the function, but result in gradients estimates with higher variance.

forward(X)[source]¶

Evaluate qProbabilityOfImprovement on the candidate set X.

Parameters: X (Tensor) – A batch_shape x q x d-dim Tensor of t-batches with q d-dim design points each.
Return type: Tensor
Returns: A batch_shape’-dim Tensor of Probability of Improvement values at the given design points X, where batch_shape’ is the broadcasted batch shape of model and input X.

training: bool¶

class botorch.acquisition.monte_carlo.qSimpleRegret(model, sampler=None, objective=None, X_pending=None)[source]¶

Bases: botorch.acquisition.monte_carlo.MCAcquisitionFunction

MC-based batch Simple Regret.

Samples from the joint posterior over the q-batch and computes the simple regret.

qSR(X) = E(max Y), Y ~ f(X), X = (x_1,…,x_q)

Example

>>> model = SingleTaskGP(train_X, train_Y)
>>> sampler = SobolQMCNormalSampler(1000)
>>> qSR = qSimpleRegret(model, sampler)
>>> qsr = qSR(test_X)

Constructor for the MCAcquisitionFunction base class.

Parameters

model (Model) – A fitted model.
sampler (Optional[MCSampler]) – The sampler used to draw base samples. Defaults to SobolQMCNormalSampler(num_samples=512, collapse_batch_dims=True).
objective (Optional[MCAcquisitionObjective]) – The MCAcquisitionObjective under which the samples are evaluated. Defaults to IdentityMCObjective().
X_pending (Optional[Tensor]) – A batch_shape, m x d-dim Tensor of m design points that have points that have been submitted for function evaluation but have not yet been evaluated.

forward(X)[source]¶

Evaluate qSimpleRegret on the candidate set X.

Parameters: X (Tensor) – A batch_shape x q x d-dim Tensor of t-batches with q d-dim design points each.
Return type: Tensor
Returns: A batch_shape’-dim Tensor of Simple Regret values at the given design points X, where batch_shape’ is the broadcasted batch shape of model and input X.

training: bool¶

class botorch.acquisition.monte_carlo.qUpperConfidenceBound(model, beta, sampler=None, objective=None, X_pending=None)[source]¶

Bases: botorch.acquisition.monte_carlo.MCAcquisitionFunction

MC-based batch Upper Confidence Bound.

Uses a reparameterization to extend UCB to qUCB for q > 1 (See Appendix A of [Wilson2017reparam].)

qUCB = E(max(mu + |Y_tilde - mu|)), where Y_tilde ~ N(mu, beta pi/2 Sigma) and f(X) has distribution N(mu, Sigma).

Example

>>> model = SingleTaskGP(train_X, train_Y)
>>> sampler = SobolQMCNormalSampler(1000)
>>> qUCB = qUpperConfidenceBound(model, 0.1, sampler)
>>> qucb = qUCB(test_X)

q-Upper Confidence Bound.

Parameters

model (Model) – A fitted model.
beta (float) – Controls tradeoff between mean and standard deviation in UCB.
sampler (Optional[MCSampler]) – The sampler used to draw base samples. Defaults to SobolQMCNormalSampler(num_samples=500, collapse_batch_dims=True)
objective (Optional[MCAcquisitionObjective]) – The MCAcquisitionObjective under which the samples are evaluated. Defaults to IdentityMCObjective().
X_pending (Optional[Tensor]) – A batch_shape x m x d-dim Tensor of m design points that have points that have been submitted for function evaluation but have not yet been evaluated. Concatenated into X upon forward call. Copied and set to have no gradient.

forward(X)[source]¶

Evaluate qUpperConfidenceBound on the candidate set X.

Parameters: X (Tensor) – A batch_sahpe x q x d-dim Tensor of t-batches with q d-dim design points each.
Return type: Tensor
Returns: A batch_shape’-dim Tensor of Upper Confidence Bound values at the given design points X, where batch_shape’ is the broadcasted batch shape of model and input X.

training: bool¶

Multi-Objective Analytic Acquisition Functions¶

Analytic Acquisition Functions for Multi-objective Bayesian optimization.

References

Yang2019(1,2,3,4,5): Yang, K., Emmerich, M., Deutz, A. et al. Efficient computation of expected hypervolume improvement using box decomposition algorithms. J Glob Optim 75, 3–34 (2019)

class botorch.acquisition.multi_objective.analytic.ExpectedHypervolumeImprovement(model, ref_point, partitioning, objective=None)[source]¶

Bases: botorch.acquisition.multi_objective.analytic.MultiObjectiveAnalyticAcquisitionFunction

Expected Hypervolume Improvement supporting m>=2 outcomes.

This implements the computes EHVI using the algorithm from [Yang2019], but additionally computes gradients via auto-differentiation as proposed by [Daulton2020qehvi].

Note: this is currently inefficient in two ways due to the binary partitioning algorithm that we use for the box decomposition:

We have more boxes in our decomposition

If we used a box decomposition that used inf as the upper bound for
the last dimension in all hypercells, then we could reduce the number of terms we need to compute from 2^m to 2^(m-1). [Yang2019] do this by using DKLV17 and LKF17 for the box decomposition.

TODO: Use DKLV17 and LKF17 for the box decomposition as in [Yang2019] for greater efficiency.

TODO: Add support for outcome constraints.

Example

>>> model = SingleTaskGP(train_X, train_Y)
>>> ref_point = [0.0, 0.0]
>>> EHVI = ExpectedHypervolumeImprovement(model, ref_point, partitioning)
>>> ehvi = EHVI(test_X)

Parameters

model (Model) – A fitted model.
ref_point (List[float]) – A list with m elements representing the reference point (in the outcome space) w.r.t. to which compute the hypervolume. This is a reference point for the objective values (i.e. after applying objective to the samples).
partitioning (NondominatedPartitioning) – A NondominatedPartitioning module that provides the non- dominated front and a partitioning of the non-dominated space in hyper- rectangles.
objective (Optional[AnalyticMultiOutputObjective]) – An AnalyticMultiOutputObjective.

psi(lower, upper, mu, sigma)[source]¶

Compute Psi function.

For each cell i and outcome k:

Psi(lower_{i,k}, upper_{i,k}, mu_k, sigma_k) = ( sigma_k * PDF((upper_{i,k} - mu_k) / sigma_k) + ( mu_k - lower_{i,k} ) * (1 - CDF(upper_{i,k} - mu_k) / sigma_k) )

See Equation 19 in [Yang2019] for more details.

Parameters

lower (Tensor) – A num_cells x m-dim tensor of lower cell bounds
upper (Tensor) – A num_cells x m-dim tensor of upper cell bounds
mu (Tensor) – A batch_shape x 1 x m-dim tensor of means
sigma (Tensor) – A batch_shape x 1 x m-dim tensor of standard deviations (clamped).

Return type

None

Returns

A batch_shape x num_cells x m-dim tensor of values.

nu(lower, upper, mu, sigma)[source]¶

Compute Nu function.

For each cell i and outcome k:

nu(lower_{i,k}, upper_{i,k}, mu_k, sigma_k) = ( upper_{i,k} - lower_{i,k} ) * (1 - CDF((upper_{i,k} - mu_k) / sigma_k))

See Equation 25 in [Yang2019] for more details.

Parameters

lower (Tensor) – A num_cells x m-dim tensor of lower cell bounds
upper (Tensor) – A num_cells x m-dim tensor of upper cell bounds
mu (Tensor) – A batch_shape x 1 x m-dim tensor of means
sigma (Tensor) – A batch_shape x 1 x m-dim tensor of standard deviations (clamped).

Return type

None

Returns

A batch_shape x num_cells x m-dim tensor of values.

forward(X)[source]¶

Takes in a batch_shape x 1 x d X Tensor of t-batches with 1 d-dim design point each, and returns a Tensor with shape batch_shape’, where batch_shape’ is the broadcasted batch shape of model and input X.

Return type: Tensor

training: bool¶

Multi-Objective Monte-Carlo Acquisition Functions¶

Monte-Carlo Acquisition Functions for Multi-objective Bayesian optimization.

References

Daulton2020qehvi(1,2): S. Daulton, M. Balandat, and E. Bakshy. Differentiable Expected Hypervolume Improvement for Parallel Multi-Objective Bayesian Optimization. Advances in Neural Information Processing Systems 33, 2020.

class botorch.acquisition.multi_objective.monte_carlo.qExpectedHypervolumeImprovement(model, ref_point, partitioning, sampler=None, objective=None, constraints=None, X_pending=None, eta=0.001)[source]¶

Bases: botorch.acquisition.multi_objective.monte_carlo.MultiObjectiveMCAcquisitionFunction

q-Expected Hypervolume Improvement supporting m>=2 outcomes.

See [Daulton2020qehvi] for details.

Example

>>> model = SingleTaskGP(train_X, train_Y)
>>> ref_point = [0.0, 0.0]
>>> qEHVI = qExpectedHypervolumeImprovement(model, ref_point, partitioning)
>>> qehvi = qEHVI(test_X)

Parameters

model (Model) – A fitted model.
ref_point (List[float]) – A list with m elements representing the reference point (in the outcome space) w.r.t. to which compute the hypervolume. This is a reference point for the objective values (i.e. after applying objective to the samples).
partitioning (NondominatedPartitioning) – A NondominatedPartitioning module that provides the non- dominated front and a partitioning of the non-dominated space in hyper- rectangles. If constraints are present, this partitioning must only include feasible points.
sampler (Optional[MCSampler]) – The sampler used to draw base samples. Defaults to SobolQMCNormalSampler(num_samples=512, collapse_batch_dims=True).
objective (Optional[MCMultiOutputObjective]) – The MCMultiOutputObjective under which the samples are evaluated. Defaults to IdentityMultiOutputObjective().
constraints (Optional[List[Callable[[Tensor], Tensor]]]) – A list of callables, each mapping a Tensor of dimension sample_shape x batch-shape x q x m to a Tensor of dimension sample_shape x batch-shape x q, where negative values imply feasibility. The acqusition function will compute expected feasible hypervolume.
X_pending (Optional[Tensor]) – A batch_shape x m x d-dim Tensor of m design points that have points that have been submitted for function evaluation but have not yet been evaluated. Concatenated into X upon forward call. Copied and set to have no gradient.
eta (float) – The temperature parameter for the sigmoid function used for the differentiable approximation of the constraints.

forward(X)[source]¶

Takes in a batch_shape x q x d X Tensor of t-batches with q d-dim design points each, and returns a Tensor with shape batch_shape’, where batch_shape’ is the broadcasted batch shape of model and input X. Should utilize the result of set_X_pending as needed to account for pending function evaluations.

Return type: Tensor

training: bool¶

The One-Shot Knowledge Gradient¶

Batch Knowledge Gradient (KG) via one-shot optimization as introduced in [Balandat2020botorch]. For broader discussion of KG see also [Frazier2008knowledge] and [Wu2016parallelkg].

Balandat2020botorch(1,2): M. Balandat, B. Karrer, D. R. Jiang, S. Daulton, B. Letham, A. G. Wilson, and E. Bakshy. BoTorch: A Framework for Efficient Monte-Carlo Bayesian Optimization. Advances in Neural Information Processing Systems 33, 2020.
Frazier2008knowledge: P. Frazier, W. Powell, and S. Dayanik. A Knowledge-Gradient policy for sequential information collection. SIAM Journal on Control and Optimization, 2008.
Wu2016parallelkg: J. Wu and P. Frazier. The parallel knowledge gradient method for batch bayesian optimization. NIPS 2016.

class botorch.acquisition.knowledge_gradient.qKnowledgeGradient(model, num_fantasies=64, sampler=None, objective=None, inner_sampler=None, X_pending=None, current_value=None, **kwargs)[source]¶

Bases: botorch.acquisition.monte_carlo.MCAcquisitionFunction, botorch.acquisition.acquisition.OneShotAcquisitionFunction

Batch Knowledge Gradient using one-shot optimization.

This computes the batch Knowledge Gradient using fantasies for the outer expectation and either the model posterior mean or MC-sampling for the inner expectation.

In addition to the design variables, the input X also includes variables for the optimal designs for each of the fantasy models. For a fixed number of fantasies, all parts of X can be optimized in a “one-shot” fashion.

q-Knowledge Gradient (one-shot optimization).

Parameters

model (Model) – A fitted model. Must support fantasizing.
num_fantasies (Optional[int]) – The number of fantasy points to use. More fantasy points result in a better approximation, at the expense of memory and wall time. Unused if sampler is specified.
sampler (Optional[MCSampler]) – The sampler used to sample fantasy observations. Optional if num_fantasies is specified.
objective (Optional[AcquisitionObjective]) – The objective under which the samples are evaluated. If None or a ScalarizedObjective, then the analytic posterior mean is used, otherwise the objective is MC-evaluated (using inner_sampler).
inner_sampler (Optional[MCSampler]) – The sampler used for inner sampling. Ignored if the objective is None or a ScalarizedObjective.
X_pending (Optional[Tensor]) – A m x d-dim Tensor of m design points that have points that have been submitted for function evaluation but have not yet been evaluated.
current_value (Optional[Tensor]) – The current value, i.e. the expected best objective given the observed points D. If omitted, forward will not return the actual KG value, but the expected best objective given the data set D u X.

forward(X)[source]¶

Evaluate qKnowledgeGradient on the candidate set X.

Parameters

X (Tensor) –

A b x (q + num_fantasies) x d Tensor with b t-batches of q + num_fantasies design points each. We split this X tensor into two parts in the q dimension (dim=-2). The first q are the q-batch of design points and the last num_fantasies are the current solutions of the inner optimization problem.

X_fantasies = X[…, -num_fantasies:, :] X_fantasies.shape = b x num_fantasies x d

X_actual = X[…, :-num_fantasies, :] X_actual.shape = b x q x d

Return type

Tensor

Returns

A Tensor of shape b. For t-batch b, the q-KG value of the design: X_actual[b] is averaged across the fantasy models, where X_fantasies[b, i] is chosen as the final selection for the i-th fantasy model. NOTE: If current_value is not provided, then this is not the true KG value of X_actual[b], and X_fantasies[b, : ] must be maximized at fixed X_actual[b].

evaluate(X, bounds, **kwargs)[source]¶

Evaluate qKnowledgeGradient on the candidate set X_actual by solving the inner optimization problem.

Parameters

X (Tensor) – A b x q x d Tensor with b t-batches of q design points each. Unlike forward(), this does not include solutions of the inner optimization problem.
bounds (Tensor) – A 2 x d tensor of lower and upper bounds for each column of the solutions to the inner problem.
kwargs (Any) – Additional keyword arguments. This includes the options for optimization of the inner problem, i.e. num_restarts, raw_samples, an options dictionary to be passed on to the optimization helpers, and a scipy_options dictionary to be passed to scipy.minimize.

Return type

Tensor

Returns

A Tensor of shape b. For t-batch b, the q-KG value of the design: X[b] is averaged across the fantasy models. NOTE: If current_value is not provided, then this is not the true KG value of X[b].

get_augmented_q_batch_size(q)[source]¶

Get augmented q batch size for one-shot optimization.

Parameters: q (int) – The number of candidates to consider jointly.
Return type: int
Returns: The augmented size for one-shot optimization (including variables parameterizing the fantasy solutions).

extract_candidates(X_full)[source]¶

We only return X as the set of candidates post-optimization.

Parameters: X_full (Tensor) – A b x (q + num_fantasies) x d-dim Tensor with b t-batches of q + num_fantasies design points each.
Return type: Tensor
Returns: A b x q x d-dim Tensor with b t-batches of q design points each.

training: bool¶

class botorch.acquisition.knowledge_gradient.qMultiFidelityKnowledgeGradient(model, num_fantasies=64, sampler=None, objective=None, inner_sampler=None, X_pending=None, current_value=None, cost_aware_utility=None, project=<function qMultiFidelityKnowledgeGradient.<lambda>>, expand=<function qMultiFidelityKnowledgeGradient.<lambda>>, valfunc_cls=None, valfunc_argfac=None, **kwargs)[source]¶

Bases: botorch.acquisition.knowledge_gradient.qKnowledgeGradient

Batch Knowledge Gradient for multi-fidelity optimization.

A version of qKnowledgeGradient that supports multi-fidelity optimization via a CostAwareUtility and the project and expand operators. If none of these are set, this acquisition function reduces to qKnowledgeGradient. Through valfunc_cls and valfunc_argfac, this can be changed into a custom multifidelity acquisition function (it is only KG if the terminal value is computed using a posterior mean).

Multi-Fidelity q-Knowledge Gradient (one-shot optimization).

Parameters

model – A fitted model. Must support fantasizing.
num_fantasies – The number of fantasy points to use. More fantasy points result in a better approximation, at the expense of memory and wall time. Unused if sampler is specified.
sampler – The sampler used to sample fantasy observations. Optional if num_fantasies is specified.
objective – The objective under which the samples are evaluated. If None or a ScalarizedObjective, then the analytic posterior mean is used, otherwise the objective is MC-evaluated (using inner_sampler).
inner_sampler – The sampler used for inner sampling. Ignored if the objective is None or a ScalarizedObjective.
X_pending – A m x d-dim Tensor of m design points that have points that have been submitted for function evaluation but have not yet been evaluated.
current_value – The current value, i.e. the expected best objective given the observed points D. If omitted, forward will not return the actual KG value, but the expected best objective given the data set D u X.
cost_aware_utility – A CostAwareUtility computing the cost-transformed utility from a candidate set and samples of increases in utility.
project – A callable mapping a batch_shape x q x d tensor of design points to a tensor with shape batch_shape x q_term x d projected to the desired target set (e.g. the target fidelities in case of multi-fidelity optimization). For the basic case, q_term = q.
expand – A callable mapping a batch_shape x q x d input tensor to a batch_shape x (q + q_e)’ x d-dim output tensor, where the q_e additional points in each q-batch correspond to additional (“trace”) observations.
valfunc_cls – An acquisition function class to be used as the terminal value function.
valfunc_argfac – An argument factory, i.e. callable that maps a Model to a dictionary of kwargs for the terminal value function (e.g. best_f for ExpectedImprovement).

property cost_sampler¶

forward(X)[source]¶

Evaluate qMultiFidelityKnowledgeGradient on the candidate set X.

Parameters

X (Tensor) –

A b x (q + num_fantasies) x d Tensor with b t-batches of q + num_fantasies design points each. We split this X tensor into two parts in the q dimension (dim=-2). The first q are the q-batch of design points and the last num_fantasies are the current solutions of the inner optimization problem.

X_fantasies = X[…, -num_fantasies:, :] X_fantasies.shape = b x num_fantasies x d

X_actual = X[…, :-num_fantasies, :] X_actual.shape = b x q x d

In addition, X may be augmented with fidelity parameteres as part of thee d-dimension. Projecting fidelities to the target fidelity is handled by project.

Return type

Tensor

Returns

A Tensor of shape b. For t-batch b, the q-KG value of the design: X_actual[b] is averaged across the fantasy models, where X_fantasies[b, i] is chosen as the final selection for the i-th fantasy model. NOTE: If current_value is not provided, then this is not the true KG value of X_actual[b], and X_fantasies[b, : ] must be maximized at fixed X_actual[b].

training: bool¶

class botorch.acquisition.knowledge_gradient.ProjectedAcquisitionFunction(base_value_function, project)[source]¶

Bases: botorch.acquisition.acquisition.AcquisitionFunction

Defines a wrapper around an AcquisitionFunction that incorporates the project operator. Typically used to handle value functions in look-ahead methods.

Constructor for the AcquisitionFunction base class.

Parameters: model – A fitted model.

forward(X)[source]¶

Evaluate the acquisition function on the candidate set X.

Parameters: X (Tensor) – A (b) x q x d-dim Tensor of (b) t-batches with q d-dim design points each.
Return type: Tensor
Returns: A (b)-dim Tensor of acquisition function values at the given design points X.

training: bool¶

Multi-Step Lookahead Acquisition Functions¶

A general implementation of multi-step look-ahead acquistion function with configurable value functions. See [Jiang2020multistep].

Jiang2020multistep: S. Jiang, D. R. Jiang, M. Balandat, B. Karrer, J. Gardner, and R. Garnett. Efficient Nonmyopic Bayesian Optimization via One-Shot Multi-Step Trees. In Advances in Neural Information Processing Systems 33, 2020.

class botorch.acquisition.multi_step_lookahead.qMultiStepLookahead(model, batch_sizes, num_fantasies=None, samplers=None, valfunc_cls=None, valfunc_argfacs=None, objective=None, inner_mc_samples=None, X_pending=None, collapse_fantasy_base_samples=True)[source]¶

Bases: botorch.acquisition.monte_carlo.MCAcquisitionFunction, botorch.acquisition.acquisition.OneShotAcquisitionFunction

MC-based batch Multi-Step Look-Ahead (one-shot optimization).

q-Multi-Step Look-Ahead (one-shot optimization).

Performs a k-step lookahead by means of repeated fantasizing.

Allows to specify the stage value functions by passing the respective class objects via the valfunc_cls list. Optionally, valfunc_argfacs takes a list of callables that generate additional kwargs for these constructors. By default, valfunc_cls will be chosen as [None, …, None, PosteriorMean], which corresponds to the (parallel) multi-step KnowledgeGradient. If, in addition, k=1 and q_1 = 1, this reduces to the classic Knowledge Gradient.

WARNING: The complexity of evaluating this function is exponential in the number of lookahead steps!

Parameters

model (Model) – A fitted model.
batch_sizes (List[int]) – A list [q_1, …, q_k] containing the batch sizes for the k look-ahead steps.
num_fantasies (Optional[List[int]]) – A list [f_1, …, f_k] containing the number of fantasy points to use for the k look-ahead steps.
samplers (Optional[List[MCSampler]]) – A list of MCSampler objects to be used for sampling fantasies in each stage.
valfunc_cls (Optional[List[Optional[Type[AcquisitionFunction]]]]) – A list of k + 1 acquisition function classes to be used as the (stage + terminal) value functions. Each element (except for the last one) can be None, in which case a zero stage value is assumed for the respective stage. If None, this defaults to [None, …, None, PosteriorMean]
valfunc_argfacs (Optional[List[Optional[Callable[[Model, Tensor], Dict[str, Any]]]]]) – A list of k + 1 “argument factories”, i.e. callables that map a Model and input tensor X to a dictionary of kwargs for the respective stage value function constructor (e.g. best_f for ExpectedImprovement). If None, only the standard (model, sampler and objective) kwargs will be used.
objective (Optional[AcquisitionObjective]) – The objective under which the output is evaluated. If None, use the model output (requires a single-output model). If a ScalarizedObjective and value_function_cls is a subclass of AnalyticAcquisitonFunction, then the analytic posterior mean is used. Otherwise the objective is MC-evaluated (using inner_sampler).
inner_mc_samples (Optional[List[int]]) – A list [n_0, …, n_k] containing the number of MC samples to be used for evaluating the stage value function. Ignored if the objective is None or a ScalarizedObjective.
X_pending (Optional[Tensor]) – A m x d-dim Tensor of m design points that have points that have been submitted for function evaluation but have not yet been evaluated. Concatenated into X upon forward call. Copied and set to have no gradient.
collapse_fantasy_base_samples (bool) – If True, collapse_batch_dims of the Samplers will be applied on fantasy batch dimensions as well, meaning that base samples are the same in all subtrees starting from the same level.

forward(X)[source]¶

Evaluate qMultiStepLookahead on the candidate set X.

Parameters: X (Tensor) – A batch_shape x q’ x d-dim Tensor with q’ design points for each batch, where q’ = q_0 + f_1 q_1 + f_2 f_1 q_2 + …. Here q_i is the number of candidates jointly considered in look-ahead step i, and f_i is respective number of fantasies.
Return type: Tensor
Returns: The acquisition value for each batch as a tensor of shape batch_shape.

get_augmented_q_batch_size(q)[source]¶

Get augmented q batch size for one-shot optimzation.

Parameters: q (int) – The number of candidates to consider jointly.
Return type: int
Returns: The augmented size for one-shot optimzation (including variables parameterizing the fantasy solutions): q_0 + f_1 q_1 + f_2 f_1 q_2 + …

get_split_shapes(X)[source]¶

Return type: Tuple[Size, List[Size], List[int]]

get_multi_step_tree_input_representation(X)[source]¶

Get the multi-step tree representation of X.

Parameters: X (Tensor) – A batch_shape x q’ x d-dim Tensor with q’ design points for each batch, where q’ = q_0 + f_1 q_1 + f_2 f_1 q_2 + …. Here q_i is the number of candidates jointly considered in look-ahead step i, and f_i is respective number of fantasies.
Return type: List[Tensor]
Returns: A list [X_j, …, X_k] of tensors, where X_i has shape f_i x …. x f_1 x batch_shape x q_i x d.

extract_candidates(X_full)[source]¶

We only return X as the set of candidates post-optimization.

Parameters: X_full (Tensor) – A batch_shape x q’ x d-dim Tensor with q’ design points for each batch, where q’ = q + f_1 q_1 + f_2 f_1 q_2 + ….
Return type: Tensor
Returns: A batch_shape x q x d-dim Tensor with q design points for each batch.

get_induced_fantasy_model(X)[source]¶

Fantasy model induced by X.

Parameters: X (Tensor) – A batch_shape x q’ x d-dim Tensor with q’ design points for each batch, where q’ = q_0 + f_1 q_1 + f_2 f_1 q_2 + …. Here q_i is the number of candidates jointly considered in look-ahead step i, and f_i is respective number of fantasies.
Return type: Model
Returns: The fantasy model induced by X.

training: bool¶

botorch.acquisition.multi_step_lookahead.warmstart_multistep(acq_function, bounds, num_restarts, raw_samples, full_optimizer, **kwargs)[source]¶

Warm-start initialization for multi-step look-ahead acquisition functions.

For now uses the same q’ as in full_optimizer. TODO: allow different q.

Parameters

acq_function (qMultiStepLookahead) – A qMultiStepLookahead acquisition function.
bounds (Tensor) – A 2 x d tensor of lower and upper bounds for each column of features.
num_restarts (int) – The number of starting points for multistart acquisition function optimization.
raw_samples (int) – The number of raw samples to consider in the initialization heuristic.
full_optimizer (Tensor) – The full tree of optimizers of the previous iteration of shape batch_shape x q’ x d. Typically obtained by passing return_best_only=False and return_full_tree=True into optimize_acqf.
kwargs (Any) – Optimization kwargs.

Return type

Tensor

Returns

A num_restarts x q’ x d tensor for initial points for optimization.

This is a very simple initialization heuristic. TODO: Use the observed values to identify the fantasy sub-tree that is closest to the observed value.

botorch.acquisition.multi_step_lookahead.make_best_f(model, X)[source]¶

Extract the best observed training input from the model.

Return type: Dict[str, Any]

Entropy-Based Acquisition Functions¶

Acquisition functions for max-value entropy search (MES) and multi-fidelity MES with noisy observation and trace observations.

References

Wang2018mves: Wang, Z., Jegelka, S., Max-value Entropy Search for Efficient Bayesian Optimization. arXiv:1703.01968v3, 2018
Takeno2019mfmves: Takeno, S., et al., Multi-fidelity Bayesian Optimization with Max-value Entropy Search. arXiv:1901.08275v1, 2019

class botorch.acquisition.max_value_entropy_search.qMaxValueEntropy(model, candidate_set, num_fantasies=16, num_mv_samples=10, num_y_samples=128, use_gumbel=True, maximize=True, X_pending=None, train_inputs=None, **kwargs)[source]¶

Bases: botorch.acquisition.monte_carlo.MCAcquisitionFunction

The acquisition function for Max-value Entropy Search.

This acquisition function computes the mutual information of max values and a candidate point X. See [Wang2018mves] for a detailed discussion.

The model must be single-outcome. q > 1 is supported through cyclic optimization and fantasies.

Example

>>> model = SingleTaskGP(train_X, train_Y)
>>> candidate_set = torch.rand(1000, bounds.size(1))
>>> candidate_set = bounds[0] + (bounds[1] - bounds[0]) * candidate_set
>>> MES = qMaxValueEntropy(model, candidate_set)
>>> mes = MES(test_X)

Single-outcome max-value entropy search acquisition function.

Parameters

model (Model) – A fitted single-outcome model.
candidate_set (Tensor) – A n x d Tensor including n candidate points to discretize the design space. Max values are sampled from the (joint) model posterior over these points.
num_fantasies (int) – Number of fantasies to generate. The higher this number the more accurate the model (at the expense of model complexity, wall time and memory). Ignored if X_pending is None.
num_mv_samples (int) – Number of max value samples.
num_y_samples (int) – Number of posterior samples at specific design point X.
use_gumbel (bool) – If True, use Gumbel approximation to sample the max values.
X_pending (Optional[Tensor]) – A m x d-dim Tensor of m design points that have been submitted for function evaluation but have not yet been evaluated.
maximize (bool) – If True, consider the problem a maximization problem.
train_inputs (Optional[Tensor]) – A n_train x d Tensor that the model has been fitted on, optional if model is an exact GP model.

set_X_pending(X_pending=None)[source]¶

Set pending points.

Informs the acquisition function about pending design points, fantasizes the model on the pending points and draws max-value samples from the fantasized model posterior.

Parameters: X_pending (Optional[Tensor]) – m x d Tensor with m d-dim design points that have been submitted for evaluation but have not yet been evaluated.
Return type: None

forward(X)[source]¶

Compute max-value entropy at the design points X.

Parameters: X (Tensor) – A batch_shape x 1 x d-dim Tensor of batch_shape t-batches with 1 d-dim design points each.
Return type: Tensor
Returns: A batch_shape-dim Tensor of MVE values at the given design points X.

training: bool¶

class botorch.acquisition.max_value_entropy_search.qMultiFidelityMaxValueEntropy(model, candidate_set, num_fantasies=16, num_mv_samples=10, num_y_samples=128, use_gumbel=True, X_pending=None, maximize=True, cost_aware_utility=None, project=<function qMultiFidelityMaxValueEntropy.<lambda>>, expand=<function qMultiFidelityMaxValueEntropy.<lambda>>, **kwargs)[source]¶

Bases: botorch.acquisition.max_value_entropy_search.qMaxValueEntropy

Multi-fidelity max-value entropy.

The acquisition function for multi-fidelity max-value entropy search with support for trace observations. See [Takeno2019mfmves] for a detailed discussion of the basic ideas on multi-fidelity MES (note that this implementation is somewhat different).

The model must be single-outcome. q > 1 is supported through cyclic optimization and fantasies.

Example

>>> model = SingleTaskGP(train_X, train_Y)
>>> candidate_set = torch.rand(1000, bounds.size(1))
>>> candidate_set = bounds[0] + (bounds[1] - bounds[0]) * candidate_set
>>> MF_MES = qMultiFidelityMaxValueEntropy(model, candidate_set)
>>> mf_mes = MF_MES(test_X)

Single-outcome max-value entropy search acquisition function.

Parameters

model (Model) – A fitted single-outcome model.
candidate_set (Tensor) – A n x d Tensor including n candidate points to discretize the design space, which will be used to sample the max values from their posteriors.
cost_aware_utility (Optional[CostAwareUtility]) – A CostAwareUtility computing the cost-transformed utility from a candidate set and samples of increases in utility.
num_fantasies (int) – Number of fantasies to generate. The higher this number the more accurate the model (at the expense of model complexity and performance) and it’s only used when X_pending is not None.
num_mv_samples (int) – Number of max value samples.
num_y_samples (int) – Number of posterior samples at specific design point X.
use_gumbel (bool) – If True, use Gumbel approximation to sample the max values.
X_pending (Optional[Tensor]) – A m x d-dim Tensor of m design points that have been submitted for function evaluation but have not yet been evaluated.
maximize (bool) – If True, consider the problem a maximization problem.
cost_aware_utility – A CostAwareUtility computing the cost-transformed utility from a candidate set and samples of increases in utility.
project (Callable[[Tensor], Tensor]) – A callable mapping a batch_shape x q x d tensor of design points to a tensor of the same shape projected to the desired target set (e.g. the target fidelities in case of multi-fidelity optimization).
expand (Callable[[Tensor], Tensor]) – A callable mapping a batch_shape x q x d input tensor to a batch_shape x (q + q_e)’ x d-dim output tensor, where the q_e additional points in each q-batch correspond to additional (“trace”) observations.

property cost_sampler¶

forward(X)[source]¶

Evaluates qMultifidelityMaxValueEntropy at the design points X

Parameters: X (Tensor) – A batch_shape x 1 x d-dim Tensor of batch_shape t-batches with 1 d-dim design point each.
Return type: Tensor
Returns: A batch_shape-dim Tensor of MF-MVES values at the design points X.

training: bool¶

Active Learning Acquisition Functions¶

Active learning acquisition functions.

Seo2014activedata: S. Seo, M. Wallat, T. Graepel, and K. Obermayer. Gaussian process regression: Active data selection and test point rejection. IJCNN 2000.
Chen2014seqexpdesign: X. Chen and Q. Zhou. Sequential experimental designs for stochastic kriging. Winter Simulation Conference 2014.
Binois2017repexp: M. Binois, J. Huang, R. B. Gramacy, and M. Ludkovski. Replication or exploration? Sequential design for stochastic simulation experiments. ArXiv 2017.

class botorch.acquisition.active_learning.qNegIntegratedPosteriorVariance(model, mc_points, sampler=None, objective=None, X_pending=None)[source]¶

Bases: botorch.acquisition.analytic.AnalyticAcquisitionFunction

Batch Integrated Negative Posterior Variance for Active Learning.

This acquisition function quantifies the (negative) integrated posterior variance (excluding observation noise, computed using MC integration) of the model. In that, it is a proxy for global model uncertainty, and thus purely focused on “exploration”, rather the “exploitation” of many of the classic Bayesian Optimization acquisition functions.

See [Seo2014activedata], [Chen2014seqexpdesign], and [Binois2017repexp].

q-Integrated Negative Posterior Variance.

Parameters

model (Model) – A fitted model.
mc_points (Tensor) – A batch_shape x N x d tensor of points to use for MC-integrating the posterior variance. Usually, these are qMC samples on the whole design space, but biased sampling directly allows weighted integration of the posterior variance.
sampler (Optional[MCSampler]) – The sampler used for drawing fantasy samples. In the basic setting of a standard GP (default) this is a dummy, since the variance of the model after conditioning does not actually depend on the sampled values.
objective (Optional[ScalarizedObjective]) – A ScalarizedObjective. Required for multi-output models.
X_pending (Optional[Tensor]) – A n’ x d-dim Tensor of n’ design points that have points that have been submitted for function evaluation but have not yet been evaluated.

forward(X)[source]¶

Evaluate the acquisition function on the candidate set X.

Parameters: X (Tensor) – A (b) x q x d-dim Tensor of (b) t-batches with q d-dim design points each.
Return type: Tensor
Returns: A (b)-dim Tensor of acquisition function values at the given design points X.

training: bool¶

Objectives and Cost-Aware Utilities¶

Objectives¶

Objective Modules to be used with acquisition functions.

class botorch.acquisition.objective.AcquisitionObjective[source]¶

Bases: torch.nn.modules.module.Module, abc.ABC

Abstract base class for objectives.

Initializes internal Module state, shared by both nn.Module and ScriptModule.

training: bool¶

class botorch.acquisition.objective.ScalarizedObjective(weights, offset=0.0)[source]¶

Bases: botorch.acquisition.objective.AcquisitionObjective

Affine objective to be used with analytic acquisition functions.

For a Gaussian posterior at a single point (q=1) with mean mu and covariance matrix Sigma, this yields a single-output posterior with mean weights^T * mu and variance weights^T Sigma w.

Example

Example for a model with two outcomes:

>>> weights = torch.tensor([0.5, 0.25])
>>> objective = ScalarizedObjective(weights)
>>> EI = ExpectedImprovement(model, best_f=0.1, objective=objective)

Affine objective.

Parameters

weights (Tensor) – A one-dimensional tensor with m elements representing the linear weights on the outputs.
offset (float) – An offset to be added to posterior mean.

forward(posterior)[source]¶

Compute the posterior of the affine transformation.

Parameters: posterior (GPyTorchPosterior) – A posterior with the same number of outputs as the elements in self.weights.
Return type: GPyTorchPosterior
Returns: A single-output posterior.

training: bool¶

class botorch.acquisition.objective.MCAcquisitionObjective[source]¶

Bases: botorch.acquisition.objective.AcquisitionObjective

Abstract base class for MC-based objectives.

Initializes internal Module state, shared by both nn.Module and ScriptModule.

abstract forward(samples, X=None)[source]¶

Evaluate the objective on the samples.

Parameters

samples (Tensor) – A sample_shape x batch_shape x q x m-dim Tensors of samples from a model posterior.
X (Optional[Tensor]) – A batch_shape x q x d-dim tensor of inputs. Relevant only if the objective depends on the inputs explicitly.

Returns

A sample_shape x batch_shape x q-dim Tensor of objective values (assuming maximization).

Return type

Tensor

This method is usually not called directly, but via the objectives

Example

>>> # `__call__` method:
>>> samples = sampler(posterior)
>>> outcome = mc_obj(samples)

training: bool¶

class botorch.acquisition.objective.IdentityMCObjective[source]¶

Bases: botorch.acquisition.objective.MCAcquisitionObjective

Trivial objective extracting the last dimension.

Example

>>> identity_objective = IdentityMCObjective()
>>> samples = sampler(posterior)
>>> objective = identity_objective(samples)

Initializes internal Module state, shared by both nn.Module and ScriptModule.

forward(samples, X=None)[source]¶

Evaluate the objective on the samples.

Parameters

samples (Tensor) – A sample_shape x batch_shape x q x m-dim Tensors of samples from a model posterior.
X (Optional[Tensor]) – A batch_shape x q x d-dim tensor of inputs. Relevant only if the objective depends on the inputs explicitly.

Returns

A sample_shape x batch_shape x q-dim Tensor of objective values (assuming maximization).

Return type

Tensor

This method is usually not called directly, but via the objectives

Example

>>> # `__call__` method:
>>> samples = sampler(posterior)
>>> outcome = mc_obj(samples)

training: bool¶

class botorch.acquisition.objective.LinearMCObjective(weights)[source]¶

Bases: botorch.acquisition.objective.MCAcquisitionObjective

Linear objective constructed from a weight tensor.

For input samples and mc_obj = LinearMCObjective(weights), this produces mc_obj(samples) = sum_{i} weights[i] * samples[…, i]

Example

Example for a model with two outcomes:

>>> weights = torch.tensor([0.75, 0.25])
>>> linear_objective = LinearMCObjective(weights)
>>> samples = sampler(posterior)
>>> objective = linear_objective(samples)

Linear Objective.

Parameters: weights (Tensor) – A one-dimensional tensor with m elements representing the linear weights on the outputs.

forward(samples, X=None)[source]¶

Evaluate the linear objective on the samples.

Parameters

samples (Tensor) – A sample_shape x batch_shape x q x m-dim tensors of samples from a model posterior.
X (Optional[Tensor]) – A batch_shape x q x d-dim tensor of inputs. Relevant only if the objective depends on the inputs explicitly.

Return type

Tensor

Returns

A sample_shape x batch_shape x q-dim tensor of objective values.

training: bool¶

class botorch.acquisition.objective.GenericMCObjective(objective)[source]¶

Bases: botorch.acquisition.objective.MCAcquisitionObjective

Objective generated from a generic callable.

Allows to construct arbitrary MC-objective functions from a generic callable. In order to be able to use gradient-based acquisition function optimization it should be possible to backpropagate through the callable.

Example

>>> generic_objective = GenericMCObjective(
        lambda Y, X: torch.sqrt(Y).sum(dim=-1),
    )
>>> samples = sampler(posterior)
>>> objective = generic_objective(samples)

Objective generated from a generic callable.

Parameters: objective (Callable[[Tensor, Optional[Tensor]], Tensor]) – A callable f(samples, X) mapping a sample_shape x batch-shape x q x m-dim Tensor samples and an optional batch-shape x q x d-dim Tensor X to a sample_shape x batch-shape x q-dim Tensor of objective values.

forward(samples, X=None)[source]¶

Evaluate the feasibility-weigthed objective on the samples.

Parameters

samples (Tensor) – A sample_shape x batch_shape x q x m-dim Tensors of samples from a model posterior.
X (Optional[Tensor]) – A batch_shape x q x d-dim tensor of inputs. Relevant only if the objective depends on the inputs explicitly.

Return type

Tensor

Returns

A sample_shape x batch_shape x q-dim Tensor of objective values weighted by feasibility (assuming maximization).

training: bool¶

class botorch.acquisition.objective.ConstrainedMCObjective(objective, constraints, infeasible_cost=0.0, eta=0.001)[source]¶

Bases: botorch.acquisition.objective.GenericMCObjective

Feasibility-weighted objective.

An Objective allowing to maximize some scalable objective on the model outputs subject to a number of constraints. Constraint feasibilty is approximated by a sigmoid function.

mc_acq(X) = objective(X) * prod_i (1 - sigmoid(constraint_i(X))) TODO: Document functional form exactly.

See botorch.utils.objective.apply_constraints for details on the constarint handling.

Example

>>> bound = 0.0
>>> objective = lambda Y: Y[..., 0]
>>> # apply non-negativity constraint on f(x)[1]
>>> constraint = lambda Y: bound - Y[..., 1]
>>> constrained_objective = ConstrainedMCObjective(objective, [constraint])
>>> samples = sampler(posterior)
>>> objective = constrained_objective(samples)

Feasibility-weighted objective.

Parameters

objective (Callable[[Tensor, Optional[Tensor]], Tensor]) – A callable f(samples, X) mapping a sample_shape x batch-shape x q x m-dim Tensor samples and an optional batch-shape x q x d-dim Tensor X to a sample_shape x batch-shape x q-dim Tensor of objective values.
constraints (List[Callable[[Tensor], Tensor]]) – A list of callables, each mapping a Tensor of dimension sample_shape x batch-shape x q x m to a Tensor of dimension sample_shape x batch-shape x q, where negative values imply feasibility.
infeasible_cost (float) – The cost of a design if all associated samples are infeasible.
eta (float) – The temperature parameter of the sigmoid function approximating the constraint.

forward(samples, X=None)[source]¶

Evaluate the feasibility-weighted objective on the samples.

Parameters

samples (Tensor) – A sample_shape x batch_shape x q x m-dim Tensors of samples from a model posterior.
X (Optional[Tensor]) – A batch_shape x q x d-dim tensor of inputs. Relevant only if the objective depends on the inputs explicitly.

Return type

Tensor

Returns

A sample_shape x batch_shape x q-dim Tensor of objective values weighted by feasibility (assuming maximization).

training: bool¶

Multi-Objective Objectives¶

class botorch.acquisition.multi_objective.objective.MCMultiOutputObjective[source]¶

Bases: botorch.acquisition.objective.AcquisitionObjective

Abstract base class for MC multi-output objectives.

Initializes internal Module state, shared by both nn.Module and ScriptModule.

abstract forward(samples, X=None, **kwargs)[source]¶

Evaluate the multi-output objective on the samples.

Parameters

samples (Tensor) – A sample_shape x batch_shape x q x m-dim Tensors of samples from a model posterior.
X (Optional[Tensor]) – A batch_shape x q x d-dim Tensors of inputs.

Return type

Tensor

Returns

A sample_shape x batch_shape x q x m’-dim Tensor of objective values with m’ the output dimension. This assumes maximization in each output dimension).

This method is usually not called directly, but via the objectives

Example

>>> # `__call__` method:
>>> samples = sampler(posterior)
>>> outcomes = multi_obj(samples)

training: bool¶

class botorch.acquisition.multi_objective.objective.IdentityMCMultiOutputObjective(outcomes=None, num_outcomes=None)[source]¶

Bases: botorch.acquisition.multi_objective.objective.MCMultiOutputObjective

Trivial objective that returns the unaltered samples.

Example

>>> identity_objective = IdentityMCMultiOutputObjective()
>>> samples = sampler(posterior)
>>> objective = identity_objective(samples)

Initialize Objective.

Parameters

weights – m’-dim tensor of outcome weights.
outcomes (Optional[List[int]]) – A list of the m’ indices that the weights should be applied to.
num_outcomes (Optional[int]) – The total number of outcomes m

forward(samples, X=None)[source]¶

Evaluate the multi-output objective on the samples.

Parameters

samples (Tensor) – A sample_shape x batch_shape x q x m-dim Tensors of samples from a model posterior.
X (Optional[Tensor]) – A batch_shape x q x d-dim Tensors of inputs.

Return type

Tensor

Returns

A sample_shape x batch_shape x q x m’-dim Tensor of objective values with m’ the output dimension. This assumes maximization in each output dimension).

This method is usually not called directly, but via the objectives

Example

>>> # `__call__` method:
>>> samples = sampler(posterior)
>>> outcomes = multi_obj(samples)

training: bool¶

class botorch.acquisition.multi_objective.objective.WeightedMCMultiOutputObjective(weights, outcomes=None, num_outcomes=None)[source]¶

Bases: botorch.acquisition.multi_objective.objective.IdentityMCMultiOutputObjective

Objective that reweights samples by given weights vector.

Example

>>> weights = torch.tensor([1.0, -1.0])
>>> weighted_objective = WeightedMCMultiOutputObjective(weights)
>>> samples = sampler(posterior)
>>> objective = weighted_objective(samples)

Initialize Objective.

Parameters

weights (Tensor) – m’-dim tensor of outcome weights.
outcomes (Optional[List[int]]) – A list of the m’ indices that the weights should be applied to.
num_outcomes (Optional[int]) – the total number of outcomes m

forward(samples, X=None)[source]¶

Evaluate the multi-output objective on the samples.

Parameters

samples (Tensor) – A sample_shape x batch_shape x q x m-dim Tensors of samples from a model posterior.
X (Optional[Tensor]) – A batch_shape x q x d-dim Tensors of inputs.

Return type

Tensor

Returns

A sample_shape x batch_shape x q x m’-dim Tensor of objective values with m’ the output dimension. This assumes maximization in each output dimension).

This method is usually not called directly, but via the objectives

Example

>>> # `__call__` method:
>>> samples = sampler(posterior)
>>> outcomes = multi_obj(samples)

training: bool¶

class botorch.acquisition.multi_objective.objective.UnstandardizeMCMultiOutputObjective(Y_mean, Y_std, outcomes=None)[source]¶

Bases: botorch.acquisition.multi_objective.objective.IdentityMCMultiOutputObjective

Objective that unstandardizes the samples.

TODO: remove this when MultiTask models support outcome transforms.

Example

>>> unstd_objective = UnstandardizeMCMultiOutputObjective(Y_mean, Y_std)
>>> samples = sampler(posterior)
>>> objective = unstd_objective(samples)

Initialize objective.

Parameters

Y_mean (Tensor) – m-dim tensor of outcome means.
Y_std (Tensor) – m-dim tensor of outcome standard deviations.
outcomes (Optional[List[int]]) – A list of m’ <= m indices that specifies which of the m model outputs should be considered as the outcomes for MOO. If omitted, use all model outcomes. Typically used for constrained optimization.

forward(samples, X=None)[source]¶

Evaluate the multi-output objective on the samples.

Parameters

samples (Tensor) – A sample_shape x batch_shape x q x m-dim Tensors of samples from a model posterior.
X (Optional[Tensor]) – A batch_shape x q x d-dim Tensors of inputs.

Return type

Tensor

Returns

A sample_shape x batch_shape x q x m’-dim Tensor of objective values with m’ the output dimension. This assumes maximization in each output dimension).

This method is usually not called directly, but via the objectives

Example

>>> # `__call__` method:
>>> samples = sampler(posterior)
>>> outcomes = multi_obj(samples)

training: bool¶

class botorch.acquisition.multi_objective.objective.AnalyticMultiOutputObjective[source]¶

Bases: botorch.acquisition.objective.AcquisitionObjective

Abstract base class for multi-output analyic objectives.

Initializes internal Module state, shared by both nn.Module and ScriptModule.

abstract forward(posterior)[source]¶

Transform the posterior

Parameters: posterior (GPyTorchPosterior) – A posterior.
Return type: GPyTorchPosterior
Returns: A transformed posterior.

training: bool¶

class botorch.acquisition.multi_objective.objective.IdentityAnalyticMultiOutputObjective[source]¶

Bases: botorch.acquisition.multi_objective.objective.AnalyticMultiOutputObjective

Initializes internal Module state, shared by both nn.Module and ScriptModule.

forward(posterior)[source]¶

Transform the posterior

Parameters: posterior (GPyTorchPosterior) – A posterior.
Return type: GPyTorchPosterior
Returns: A transformed posterior.

training: bool¶

class botorch.acquisition.multi_objective.objective.UnstandardizeAnalyticMultiOutputObjective(Y_mean, Y_std)[source]¶

Bases: botorch.acquisition.multi_objective.objective.AnalyticMultiOutputObjective

Objective that unstandardizes the posterior.

TODO: remove this when MultiTask models support outcome transforms.

Example

>>> unstd_objective = UnstandardizeAnalyticMultiOutputObjective(Y_mean, Y_std)
>>> unstd_posterior = unstd_objective(posterior)

Initialize objective.

Parameters

Y_mean (Tensor) – m-dim tensor of outcome means
Y_std (Tensor) – m-dim tensor of outcome standard deviations

forward(posterior)[source]¶

Transform the posterior

Parameters: posterior (GPyTorchPosterior) – A posterior.
Return type: Tensor
Returns: A transformed posterior.

training: bool¶

Cost-Aware Utility¶

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.

class botorch.acquisition.cost_aware.CostAwareUtility[source]¶

Bases: torch.nn.modules.module.Module, abc.ABC

Abstract base class for cost-aware utilities.

Initializes internal Module state, shared by both nn.Module and ScriptModule.

abstract forward(X, deltas, **kwargs)[source]¶

Evaluate the cost-aware utility on the candidates and improvements.

Parameters

X (Tensor) – A batch_shape x q x d-dim Tensor of with q d-dim design points each for each t-batch.
deltas (Tensor) – 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.

Return type

Tensor

Returns

A num_fantasies x batch_shape-dim Tensor of cost-transformed utilities.

training: bool¶

class botorch.acquisition.cost_aware.GenericCostAwareUtility(cost)[source]¶

Bases: botorch.acquisition.cost_aware.CostAwareUtility

Generic cost-aware utility wrapping a callable.

Parameters: cost (Callable[[Tensor, Tensor], Tensor]) – A callable mapping a batch_shape x q x d’-dim candidate set to a batch_shape-dim tensor of costs

forward(X, deltas, **kwargs)[source]¶

Evaluate the cost function on the candidates and improvements.

Parameters

X (Tensor) – A batch_shape x q x d’-dim Tensor of with q d-dim design points for each t-batch.
deltas (Tensor) – 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.

Return type

Tensor

Returns

A num_fantasies x batch_shape-dim Tensor of cost-weighted utilities.

training: bool¶

class botorch.acquisition.cost_aware.InverseCostWeightedUtility(cost_model, use_mean=True, cost_objective=None, min_cost=0.01)[source]¶

Bases: botorch.acquisition.cost_aware.CostAwareUtility

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.

Cost-aware utility that weights increase in utiltiy by inverse cost.

Parameters

cost_model (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 (bool) – If True, use the posterior mean, otherwise use posterior samples from the cost model.
cost_objective (Optional[MCAcquisitionObjective]) – 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 (float) – 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.

forward(X, deltas, sampler=None, **kwargs)[source]¶

Evaluate the cost function on the candidates and improvements.

Parameters

X (Tensor) – A batch_shape x q x d-dim Tensor of with q d-dim design points each for each t-batch.
deltas (Tensor) – 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 (Optional[MCSampler]) – A sampler used for sampling from the posterior of the cost model (required if use_mean=False, ignored if use_mean=True).

Return type

Tensor

Returns

A num_fantasies x batch_shape-dim Tensor of cost-weighted utilities.

training: bool¶

Utilities¶

Fixed Feature Acquisition Function¶

A wrapper around AquisitionFunctions to fix certain features for optimization. This is useful e.g. for performing contextual optimization.

class botorch.acquisition.fixed_feature.FixedFeatureAcquisitionFunction(acq_function, d, columns, values)[source]¶

Bases: botorch.acquisition.acquisition.AcquisitionFunction

A wrapper around AquisitionFunctions to fix a subset of features.

Example

>>> model = SingleTaskGP(train_X, train_Y)  # d = 5
>>> qEI = qExpectedImprovement(model, best_f=0.0)
>>> columns = [2, 4]
>>> values = X[..., columns]
>>> qEI_FF = FixedFeatureAcquisitionFunction(qEI, 5, columns, values)
>>> qei = qEI_FF(test_X)  # d' = 3

Derived Acquisition Function by fixing a subset of input features.

Parameters

acq_function (AcquisitionFunction) – The base acquisition function, operating on input tensors X_full of feature dimension d.
d (int) – The feature dimension expected by acq_function.
columns (List[int]) – d_f < d indices of columns in X_full that are to be fixed to the provided values.
values (Union[Tensor, List[float]]) – The values to which to fix the columns in columns. Either a full batch_shape x q x d_f tensor of values (if values are different for each of the q input points), or an array-like of values that is broadcastable to the input across t-batch and q-batch dimensions, e.g. a list of length d_f if values are the same across all t and q-batch dimensions.

forward(X)[source]¶

Evaluate base acquisition function under the fixed features.

Parameters: X (Tensor) – Input tensor of feature dimension d’ < d such that d’ + d_f = d.
Returns: Base acquisition function evaluated on tensor X_full constructed by adding values in the appropriate places (see _construct_X_full).

training: bool¶

Penalized Acquisition Function Wrapper¶

Modules to add regularization to acquisition functions.

class botorch.acquisition.penalized.L2Penalty(init_point)[source]¶

Bases: torch.nn.modules.module.Module

L2 penalty class to be added to any arbitrary acquisition function.

Initializing L2 regularization.

Parameters: init_point (Tensor) – The “1 x dim” reference point against which we want to regularize.

forward(X)[source]¶

Parameters: X (Tensor) – A “batch_shape x q x dim” representing the points to be evaluated.
Return type: Tensor
Returns: A tensor of size “batch_shape” representing the acqfn for each q-batch.

training: bool¶

class botorch.acquisition.penalized.GaussianPenalty(init_point, sigma)[source]¶

Bases: torch.nn.modules.module.Module

Gaussian penalty class to be added to any arbitrary acquisition function.

Initializing Gaussian regularization.

Parameters

init_point (Tensor) – The “1 x dim” reference point against which we want to regularize.
sigma (float) – The parameter used in gaussian function.

forward(X)[source]¶

Parameters: X (Tensor) – A “batch_shape x q x dim” representing the points to be evaluated.
Return type: Tensor
Returns: A tensor of size “batch_shape” representing the acqfn for each q-batch.

training: bool¶

class botorch.acquisition.penalized.GroupLassoPenalty(init_point, groups)[source]¶

Bases: torch.nn.modules.module.Module

Group lasso penalty class to be added to any arbitrary acquisition function.

Initializing Group-Lasso regularization.

Parameters

init_point (Tensor) – The “1 x dim” reference point against which we want to regularize.
groups (List[List[int]]) – Groups of indices used in group lasso.

forward(X)[source]¶

X should be batch_shape x 1 x dim tensor. Evaluation for q-batch is not implemented yet.

Return type: Tensor

training: bool¶

class botorch.acquisition.penalized.PenalizedAcquisitionFunction(raw_acqf, penalty_func, regularization_parameter)[source]¶

Bases: botorch.acquisition.acquisition.AcquisitionFunction

Single-outcome acquisition function regularized by the given penalty.

The usage is similar to:: raw_acqf = NoisyExpectedImprovement(…) penalty = GroupLassoPenalty(…) acqf = PenalizedAcquisitionFunction(raw_acqf, penalty)

Initializing Group-Lasso regularization.

Parameters

raw_acqf (AcquisitionFunction) – The raw acquisition function that is going to be regularized.
penalty_func (Module) – The regularization function.
regularization_parameter (float) – Regularization parameter used in optimization.

forward(X)[source]¶

Evaluate the acquisition function on the candidate set X.

Parameters: X (Tensor) – A (b) x q x d-dim Tensor of (b) t-batches with q d-dim design points each.
Return type: Tensor
Returns: A (b)-dim Tensor of acquisition function values at the given design points X.

property X_pending¶

Return type: Optional[Tensor]

set_X_pending(X_pending=None)[source]¶

Informs the acquisition function about pending design points.

Parameters: X_pending (Optional[Tensor]) – n x d Tensor with n d-dim design points that have been submitted for evaluation but have not yet been evaluated.
Return type: None

training: bool¶

botorch.acquisition.penalized.group_lasso_regularizer(X, groups)[source]¶

Computes the group lasso regularization function for the given point.

Parameters

X (Tensor) – A bxd tensor representing the points to evaluate the regularization at.
groups (List[List[int]]) – List of indices of different groups.

Return type

Tensor

Returns

Computed group lasso norm of at the given points.

General Utilities for Acquisition Functions¶

Utilities for acquisition functions.

botorch.acquisition.utils.get_acquisition_function(acquisition_function_name, model, objective, X_observed, X_pending=None, constraints=None, mc_samples=500, qmc=True, seed=None, **kwargs)[source]¶

Convenience function for initializing botorch acquisition functions.

Parameters

acquisition_function_name (str) – Name of the acquisition function.
model (Model) – A fitted model.
objective (MCAcquisitionObjective) – A MCAcquisitionObjective.
X_observed (Tensor) – A m1 x d-dim Tensor of m1 design points that have already been observed.
X_pending (Optional[Tensor]) – A m2 x d-dim Tensor of m2 design points whose evaluation is pending.
constraints (Optional[List[Callable[[Tensor], Tensor]]]) – A list of callables, each mapping a Tensor of dimension sample_shape x batch-shape x q x m to a Tensor of dimension sample_shape x batch-shape x q, where negative values imply feasibility. Used when constraint_transforms are not passed as part of the objective.
mc_samples (int) – The number of samples to use for (q)MC evaluation of the acquisition function.
qmc (bool) – If True, use quasi-Monte-Carlo sampling (instead of iid).
seed (Optional[int]) – If provided, perform deterministic optimization (i.e. the function to optimize is fixed and not stochastic).

Return type

MCAcquisitionFunction

Returns

The requested acquisition function.

Example

>>> model = SingleTaskGP(train_X, train_Y)
>>> obj = LinearMCObjective(weights=torch.tensor([1.0, 2.0]))
>>> acqf = get_acquisition_function("qEI", model, obj, train_X)

botorch.acquisition.utils.get_infeasible_cost(X, model, objective=None)[source]¶

Get infeasible cost for a model and objective.

Computes an infeasible cost M such that -M < min_x f(x) almost always,: so that feasible points are preferred.

Parameters

X (Tensor) – A n x d Tensor of n design points to use in evaluating the minimum. These points should cover the design space well. The more points the better the estimate, at the expense of added computation.
model (Model) – A fitted botorch model.
objective (Optional[Callable[[Tensor, Optional[Tensor]], Tensor]]) – The objective with which to evaluate the model output.

Return type

float

Returns

The infeasible cost M value.

Example

>>> model = SingleTaskGP(train_X, train_Y)
>>> objective = lambda Y: Y[..., -1] ** 2
>>> M = get_infeasible_cost(train_X, model, obj)

botorch.acquisition.utils.is_nonnegative(acq_function)[source]¶

Determine whether a given acquisition function is non-negative.

Parameters: acq_function (AcquisitionFunction) – The AcquisitionFunction instance.
Return type: bool
Returns: True if acq_function is non-negative, False if not, or if the behavior is unknown (for custom acquisition functions).

Example

>>> qEI = qExpectedImprovement(model, best_f=0.1)
>>> is_nonnegative(qEI)  # returns True

botorch.acquisition.utils.prune_inferior_points(model, X, objective=None, num_samples=2048, max_frac=1.0, sampler=None)[source]¶

Prune points from an input tensor that are unlikely to be the best point.

Given a model, an objective, and an input tensor X, this function returns the subset of points in X that have some probability of being the best point under the objective. This function uses sampling to estimate the probabilities, the higher the number of points n in X the higher the number of samples num_samples should be to obtain accurate estimates.

Parameters

model (Model) – A fitted model. Batched models are currently not supported.
X (Tensor) – An input tensor of shape n x d. Batched inputs are currently not supported.
objective (Optional[MCAcquisitionObjective]) – The objective under which to evaluate the posterior.
num_samples (int) – The number of samples used to compute empirical probabilities of being the best point.
max_frac (float) – The maximum fraction of points to retain. Must satisfy 0 < max_frac <= 1. Ensures that the number of elements in the returned tensor does not exceed ceil(max_frac * n).
sampler (Optional[MCSampler]) – If provided, will use this customized sampler instead of automatically constructing one with num_samples.

Return type

Tensor

Returns

A n’ x d with subset of points in X, where

n’ = min(N_nz, ceil(max_frac * n))

with N_nz the number of points in X that have non-zero (empirical, under num_samples samples) probability of being the best point.

botorch.acquisition.utils.project_to_target_fidelity(X, target_fidelities=None)[source]¶

Project X onto the target set of fidelities.

This function assumes that the set of feasible fidelities is a box, so projecting here just means setting each fidelity parameter to its target value.

Parameters

X (Tensor) – A batch_shape x q x d-dim Tensor of with q d-dim design points for each t-batch.
target_fidelities (Optional[Dict[int, float]]) – A dictionary mapping a subset of columns of X (the fidelity parameters) to their respective target fidelity value. If omitted, assumes that the last column of X is the fidelity parameter with a target value of 1.0.

Return type

Tensor

Returns

A batch_shape x q x d-dim Tensor X_proj with fidelity parameters: projected to the provided fidelity values.

botorch.acquisition.utils.expand_trace_observations(X, fidelity_dims=None, num_trace_obs=0)[source]¶

Expand X with trace observations.

Expand a tensor of inputs with “trace observations” that are obtained during the evaluation of the candidate set. This is used in multi-fidelity optimization. It can be though of as augmenting the q-batch with additional points that are the expected trace observations.

Let f_i be the i-th fidelity parameter. Then this functions assumes that for each element of the q-batch, besides the fidelity f_i, we will observe additonal fidelities f_i1, …, f_iK, where K = num_trace_obs, during evaluation of the candidate set X. Specifically, this function assumes that f_ij = (K-j) / (num_trace_obs + 1) * f_i for all i. That is, the expansion is performed in parallel for all fidelities (it does not expand out all possible combinations).

Parameters

X (Tensor) – A batch_shape x q x d-dim Tensor of with q d-dim design points (incl. the fidelity parameters) for each t-batch.
fidelity_dims (Optional[List[int]]) – The indices of the fidelity parameters. If omitted, assumes that the last column of X contains the fidelity parameters.
num_trace_obs (int) – The number of trace observations to use.

Return type

Tensor

Returns

A batch_shape x (q + num_trace_obs x q) x d Tensor X_expanded that: expands X with trace observations.

botorch.acquisition.utils.project_to_sample_points(X, sample_points)[source]¶

Augment X with sample points at which to take weighted average.

Parameters

X (Tensor) – A batch_shape x 1 x d-dim Tensor of with one d`-dim design points for each t-batch.
sample_points (Tensor) – p x d’-dim Tensor (d’ < d) of d’-dim sample points at which to compute the expectation. The d’-dims refer to the trailing columns of X.

Return type

Tensor

Returns

A batch_shape x p x d Tensor where the q-batch includes the p sample points.

BoTorch

0.4.0

botorch.acquisition¶

Acquisition Function APIs¶

Abstract Acquisition Function APIs¶

Analytic Acquisition Function API¶

Monte-Carlo Acquisition Function API¶

Multi-Objective Analytic Acquisition Function API¶

Multi-Objective Monte-Carlo Acquisition Function API¶

Acquisition Functions¶

Analytic Acquisition Functions¶

Monte-Carlo Acquisition Functions¶

Multi-Objective Analytic Acquisition Functions¶

Multi-Objective Monte-Carlo Acquisition Functions¶

The One-Shot Knowledge Gradient¶

Multi-Step Lookahead Acquisition Functions¶

Entropy-Based Acquisition Functions¶

Active Learning Acquisition Functions¶

Objectives and Cost-Aware Utilities¶

Objectives¶

Multi-Objective Objectives¶

Cost-Aware Utility¶

Utilities¶

Fixed Feature Acquisition Function¶

Penalized Acquisition Function Wrapper¶

General Utilities for Acquisition Functions¶

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