#!/usr/bin/env python3
# Copyright (c) Meta Platforms, Inc. and affiliates.
#
# This source code is licensed under the MIT license found in the
# LICENSE file in the root directory of this source tree.
r"""
Outcome transformations for automatically transforming and un-transforming
model outputs. Outcome transformations are typically part of a Model and
applied (i) within the model constructor to transform the train observations
to the model space, and (ii) in the `Model.posterior` call to untransform
the model posterior back to the original space.
References
.. [eriksson2021scalable]
D. Eriksson, M. Poloczek. Scalable Constrained Bayesian Optimization.
International Conference on Artificial Intelligence and Statistics. PMLR, 2021,
http://proceedings.mlr.press/v130/eriksson21a.html
"""
from __future__ import annotations
from abc import ABC, abstractmethod
from collections import OrderedDict
from typing import List, Optional, Tuple
import torch
from botorch.models.transforms.utils import (
norm_to_lognorm_mean,
norm_to_lognorm_variance,
)
from botorch.posteriors import GPyTorchPosterior, Posterior, TransformedPosterior
from botorch.utils.transforms import normalize_indices
from gpytorch.lazy import BlockDiagLazyTensor, CholLazyTensor, DiagLazyTensor
from torch import Tensor
from torch.nn import Module, ModuleDict
class OutcomeTransform(Module, ABC):
r"""
Abstract base class for outcome transforms.
:meta private:
"""
@abstractmethod
def forward(
self, Y: Tensor, Yvar: Optional[Tensor] = None
) -> Tuple[Tensor, Optional[Tensor]]:
r"""Transform the outcomes in a model's training targets
Args:
Y: A `batch_shape x n x m`-dim tensor of training targets.
Yvar: A `batch_shape x n x m`-dim tensor of observation noises
associated with the training targets (if applicable).
Returns:
A two-tuple with the transformed outcomes:
- The transformed outcome observations.
- The transformed observation noise (if applicable).
"""
pass # pragma: no cover
def subset_output(self, idcs: List[int]) -> OutcomeTransform:
r"""Subset the transform along the output dimension.
This functionality is used to properly treat outcome transformations
in the `subset_model` functionality.
Args:
idcs: The output indices to subset the transform to.
Returns:
The current outcome transform, subset to the specified output indices.
"""
raise NotImplementedError(
f"{self.__class__.__name__} does not implement the "
"`subset_output` method"
)
def untransform(
self, Y: Tensor, Yvar: Optional[Tensor] = None
) -> Tuple[Tensor, Optional[Tensor]]:
r"""Un-transform previously transformed outcomes
Args:
Y: A `batch_shape x n x m`-dim tensor of transfomred training targets.
Yvar: A `batch_shape x n x m`-dim tensor of transformed observation
noises associated with the training targets (if applicable).
Returns:
A two-tuple with the un-transformed outcomes:
- The un-transformed outcome observations.
- The un-transformed observation noise (if applicable).
"""
raise NotImplementedError(
f"{self.__class__.__name__} does not implement the `untransform` method"
)
def untransform_posterior(self, posterior: Posterior) -> Posterior:
r"""Un-transform a posterior
Args:
posterior: A posterior in the transformed space.
Returns:
The un-transformed posterior.
"""
raise NotImplementedError(
f"{self.__class__.__name__} does not implement the "
"`untransform_posterior` method"
)
[docs]class Standardize(OutcomeTransform):
r"""Standardize outcomes (zero mean, unit variance).
This module is stateful: If in train mode, calling forward updates the
module state (i.e. the mean/std normalizing constants). If in eval mode,
calling forward simply applies the standardization using the current module
state.
"""
def __init__(
self,
m: int,
outputs: Optional[List[int]] = None,
batch_shape: torch.Size = torch.Size(), # noqa: B008
min_stdv: float = 1e-8,
) -> None:
r"""Standardize outcomes (zero mean, unit variance).
Args:
m: The output dimension.
outputs: Which of the outputs to standardize. If omitted, all
outputs will be standardized.
batch_shape: The batch_shape of the training targets.
min_stddv: The minimum standard deviation for which to perform
standardization (if lower, only de-mean the data).
"""
super().__init__()
self.register_buffer("means", torch.zeros(*batch_shape, 1, m))
self.register_buffer("stdvs", torch.zeros(*batch_shape, 1, m))
self.register_buffer("_stdvs_sq", torch.zeros(*batch_shape, 1, m))
self._outputs = normalize_indices(outputs, d=m)
self._m = m
self._batch_shape = batch_shape
self._min_stdv = min_stdv
[docs] def forward(
self, Y: Tensor, Yvar: Optional[Tensor] = None
) -> Tuple[Tensor, Optional[Tensor]]:
r"""Standardize outcomes.
If the module is in train mode, this updates the module state (i.e. the
mean/std normalizing constants). If the module is in eval mode, simply
applies the normalization using the module state.
Args:
Y: A `batch_shape x n x m`-dim tensor of training targets.
Yvar: A `batch_shape x n x m`-dim tensor of observation noises
associated with the training targets (if applicable).
Returns:
A two-tuple with the transformed outcomes:
- The transformed outcome observations.
- The transformed observation noise (if applicable).
"""
if self.training:
if Y.shape[:-2] != self._batch_shape:
raise RuntimeError("wrong batch shape")
if Y.size(-1) != self._m:
raise RuntimeError("wrong output dimension")
stdvs = Y.std(dim=-2, keepdim=True)
stdvs = stdvs.where(stdvs >= self._min_stdv, torch.full_like(stdvs, 1.0))
means = Y.mean(dim=-2, keepdim=True)
if self._outputs is not None:
unused = [i for i in range(self._m) if i not in self._outputs]
means[..., unused] = 0.0
stdvs[..., unused] = 1.0
self.means = means
self.stdvs = stdvs
self._stdvs_sq = stdvs.pow(2)
Y_tf = (Y - self.means) / self.stdvs
Yvar_tf = Yvar / self._stdvs_sq if Yvar is not None else None
return Y_tf, Yvar_tf
[docs] def subset_output(self, idcs: List[int]) -> OutcomeTransform:
r"""Subset the transform along the output dimension.
Args:
idcs: The output indices to subset the transform to.
Returns:
The current outcome transform, subset to the specified output indices.
"""
new_m = len(idcs)
if new_m > self._m:
raise RuntimeError(
"Trying to subset a transform have more outputs than "
" the original transform."
)
nlzd_idcs = normalize_indices(idcs, d=self._m)
new_outputs = None
if self._outputs is not None:
new_outputs = [i for i in self._outputs if i in nlzd_idcs]
new_tf = self.__class__(
m=new_m,
outputs=new_outputs,
batch_shape=self._batch_shape,
min_stdv=self._min_stdv,
)
new_tf.means = self.means[..., nlzd_idcs]
new_tf.stdvs = self.stdvs[..., nlzd_idcs]
new_tf._stdvs_sq = self._stdvs_sq[..., nlzd_idcs]
if not self.training:
new_tf.eval()
return new_tf
[docs] def untransform_posterior(self, posterior: Posterior) -> Posterior:
r"""Un-standardize the posterior.
Args:
posterior: A posterior in the standardized space.
Returns:
The un-standardized posterior. If the input posterior is a MVN,
the transformed posterior is again an MVN.
"""
if self._outputs is not None:
raise NotImplementedError(
"Standardize does not yet support output selection for "
"untransform_posterior"
)
is_mtgp_posterior = False
if type(posterior) is GPyTorchPosterior:
is_mtgp_posterior = posterior._is_mt
if not self._m == posterior.event_shape[-1] and not is_mtgp_posterior:
raise RuntimeError(
"Incompatible output dimensions encountered for transform "
f"{self._m} and posterior {posterior.event_shape[-1]}."
)
if type(posterior) is not GPyTorchPosterior:
# fall back to TransformedPosterior
# this applies to subclasses of GPyTorchPosterior like MultitaskGPPosterior
return TransformedPosterior(
posterior=posterior,
sample_transform=lambda s: self.means + self.stdvs * s,
mean_transform=lambda m, v: self.means + self.stdvs * m,
variance_transform=lambda m, v: self._stdvs_sq * v,
)
# GPyTorchPosterior (TODO: Should we Lazy-evaluate the mean here as well?)
mvn = posterior.mvn
offset = self.means
scale_fac = self.stdvs
if not posterior._is_mt:
mean_tf = offset.squeeze(-1) + scale_fac.squeeze(-1) * mvn.mean
scale_fac = scale_fac.squeeze(-1).expand_as(mean_tf)
else:
mean_tf = offset + scale_fac * mvn.mean
reps = mean_tf.shape[-2:].numel() // scale_fac.size(-1)
scale_fac = scale_fac.squeeze(-2)
if mvn._interleaved:
scale_fac = scale_fac.repeat(*[1 for _ in scale_fac.shape[:-1]], reps)
else:
scale_fac = torch.repeat_interleave(scale_fac, reps, dim=-1)
if (
not mvn.islazy
# TODO: Figure out attribute namming weirdness here
or mvn._MultivariateNormal__unbroadcasted_scale_tril is not None
):
# if already computed, we can save a lot of time using scale_tril
covar_tf = CholLazyTensor(mvn.scale_tril * scale_fac.unsqueeze(-1))
else:
lcv = mvn.lazy_covariance_matrix
scale_fac = scale_fac.expand(lcv.shape[:-1])
# TODO: Remove the custom logic with next GPyTorch release (T126095032).
if isinstance(lcv, BlockDiagLazyTensor):
# Keep the block diag structure of lcv.
base_lcv = lcv.base_lazy_tensor
scale_mat = DiagLazyTensor(
scale_fac.view(*scale_fac.shape[:-1], lcv.num_blocks, -1)
)
base_lcv_tf = scale_mat @ base_lcv @ scale_mat
covar_tf = BlockDiagLazyTensor(base_lazy_tensor=base_lcv_tf)
else:
# allow batch-evaluation of the model
scale_mat = DiagLazyTensor(scale_fac)
covar_tf = scale_mat @ lcv @ scale_mat
kwargs = {"interleaved": mvn._interleaved} if posterior._is_mt else {}
mvn_tf = mvn.__class__(mean=mean_tf, covariance_matrix=covar_tf, **kwargs)
return GPyTorchPosterior(mvn_tf)
[docs]class Log(OutcomeTransform):
r"""Log-transform outcomes.
Useful if the targets are modeled using a (multivariate) log-Normal
distribution. This means that we can use a standard GP model on the
log-transformed outcomes and un-transform the model posterior of that GP.
"""
def __init__(self, outputs: Optional[List[int]] = None) -> None:
r"""Log-transform outcomes.
Args:
outputs: Which of the outputs to log-transform. If omitted, all
outputs will be standardized.
"""
super().__init__()
self._outputs = outputs
[docs] def subset_output(self, idcs: List[int]) -> OutcomeTransform:
r"""Subset the transform along the output dimension.
Args:
idcs: The output indices to subset the transform to.
Returns:
The current outcome transform, subset to the specified output indices.
"""
new_outputs = None
if self._outputs is not None:
if min(self._outputs + idcs) < 0:
raise NotImplementedError(
f"Negative indexing not supported for {self.__class__.__name__} "
"when subsetting outputs and only transforming some outputs."
)
new_outputs = [i for i in self._outputs if i in idcs]
new_tf = self.__class__(outputs=new_outputs)
if not self.training:
new_tf.eval()
return new_tf
[docs] def forward(
self, Y: Tensor, Yvar: Optional[Tensor] = None
) -> Tuple[Tensor, Optional[Tensor]]:
r"""Log-transform outcomes.
Args:
Y: A `batch_shape x n x m`-dim tensor of training targets.
Yvar: A `batch_shape x n x m`-dim tensor of observation noises
associated with the training targets (if applicable).
Returns:
A two-tuple with the transformed outcomes:
- The transformed outcome observations.
- The transformed observation noise (if applicable).
"""
Y_tf = torch.log(Y)
outputs = normalize_indices(self._outputs, d=Y.size(-1))
if outputs is not None:
Y_tf = torch.stack(
[
Y_tf[..., i] if i in outputs else Y[..., i]
for i in range(Y.size(-1))
],
dim=-1,
)
if Yvar is not None:
# TODO: Delta method, possibly issue warning
raise NotImplementedError(
"Log does not yet support transforming observation noise"
)
return Y_tf, Yvar
[docs] def untransform_posterior(self, posterior: Posterior) -> Posterior:
r"""Un-transform the log-transformed posterior.
Args:
posterior: A posterior in the log-transformed space.
Returns:
The un-transformed posterior.
"""
if self._outputs is not None:
raise NotImplementedError(
"Log does not yet support output selection for untransform_posterior"
)
return TransformedPosterior(
posterior=posterior,
sample_transform=torch.exp,
mean_transform=norm_to_lognorm_mean,
variance_transform=norm_to_lognorm_variance,
)
[docs]class Power(OutcomeTransform):
r"""Power-transform outcomes.
Useful if the targets are modeled using a (multivariate) power transform of
a Normal distribution. This means that we can use a standard GP model on the
power-transformed outcomes and un-transform the model posterior of that GP.
"""
def __init__(self, power: float, outputs: Optional[List[int]] = None) -> None:
r"""Power-transform outcomes.
Args:
outputs: Which of the outputs to power-transform. If omitted, all
outputs will be standardized.
"""
super().__init__()
self._outputs = outputs
self.power = power
[docs] def subset_output(self, idcs: List[int]) -> OutcomeTransform:
r"""Subset the transform along the output dimension.
Args:
idcs: The output indices to subset the transform to.
Returns:
The current outcome transform, subset to the specified output indices.
"""
new_outputs = None
if self._outputs is not None:
if min(self._outputs + idcs) < 0:
raise NotImplementedError(
f"Negative indexing not supported for {self.__class__.__name__} "
"when subsetting outputs and only transforming some outputs."
)
new_outputs = [i for i in self._outputs if i in idcs]
new_tf = self.__class__(power=self.power, outputs=new_outputs)
if not self.training:
new_tf.eval()
return new_tf
[docs] def forward(
self, Y: Tensor, Yvar: Optional[Tensor] = None
) -> Tuple[Tensor, Optional[Tensor]]:
r"""Power-transform outcomes.
Args:
Y: A `batch_shape x n x m`-dim tensor of training targets.
Yvar: A `batch_shape x n x m`-dim tensor of observation noises
associated with the training targets (if applicable).
Returns:
A two-tuple with the transformed outcomes:
- The transformed outcome observations.
- The transformed observation noise (if applicable).
"""
Y_tf = Y.pow(self.power)
outputs = normalize_indices(self._outputs, d=Y.size(-1))
if outputs is not None:
Y_tf = torch.stack(
[
Y_tf[..., i] if i in outputs else Y[..., i]
for i in range(Y.size(-1))
],
dim=-1,
)
if Yvar is not None:
# TODO: Delta method, possibly issue warning
raise NotImplementedError(
"Power does not yet support transforming observation noise"
)
return Y_tf, Yvar
[docs] def untransform_posterior(self, posterior: Posterior) -> Posterior:
r"""Un-transform the power-transformed posterior.
Args:
posterior: A posterior in the power-transformed space.
Returns:
The un-transformed posterior.
"""
if self._outputs is not None:
raise NotImplementedError(
"Power does not yet support output selection for untransform_posterior"
)
return TransformedPosterior(
posterior=posterior,
sample_transform=lambda x: x.pow(1.0 / self.power),
)
[docs]class Bilog(OutcomeTransform):
r"""Bilog-transform outcomes.
The Bilog transform [eriksson2021scalable]_ is useful for modeling outcome
constraints as it magnifies values near zero and flattens extreme values.
"""
def __init__(self, outputs: Optional[List[int]] = None) -> None:
r"""Bilog-transform outcomes.
Args:
outputs: Which of the outputs to Bilog-transform. If omitted, all
outputs will be transformed.
"""
super().__init__()
self._outputs = outputs
[docs] def subset_output(self, idcs: List[int]) -> OutcomeTransform:
r"""Subset the transform along the output dimension.
Args:
idcs: The output indices to subset the transform to.
Returns:
The current outcome transform, subset to the specified output indices.
"""
new_outputs = None
if self._outputs is not None:
if min(self._outputs + idcs) < 0:
raise NotImplementedError(
f"Negative indexing not supported for {self.__class__.__name__} "
"when subsetting outputs and only transforming some outputs."
)
new_outputs = [i for i in self._outputs if i in idcs]
new_tf = self.__class__(outputs=new_outputs)
if not self.training:
new_tf.eval()
return new_tf
[docs] def forward(
self, Y: Tensor, Yvar: Optional[Tensor] = None
) -> Tuple[Tensor, Optional[Tensor]]:
r"""Bilog-transform outcomes.
Args:
Y: A `batch_shape x n x m`-dim tensor of training targets.
Yvar: A `batch_shape x n x m`-dim tensor of observation noises
associated with the training targets (if applicable).
Returns:
A two-tuple with the transformed outcomes:
- The transformed outcome observations.
- The transformed observation noise (if applicable).
"""
Y_tf = Y.sign() * (Y.abs() + 1.0).log()
outputs = normalize_indices(self._outputs, d=Y.size(-1))
if outputs is not None:
Y_tf = torch.stack(
[
Y_tf[..., i] if i in outputs else Y[..., i]
for i in range(Y.size(-1))
],
dim=-1,
)
if Yvar is not None:
raise NotImplementedError(
"Bilog does not yet support transforming observation noise"
)
return Y_tf, Yvar
[docs] def untransform_posterior(self, posterior: Posterior) -> Posterior:
r"""Un-transform the bilog-transformed posterior.
Args:
posterior: A posterior in the bilog-transformed space.
Returns:
The un-transformed posterior.
"""
if self._outputs is not None:
raise NotImplementedError(
"Bilog does not yet support output selection for untransform_posterior"
)
return TransformedPosterior(
posterior=posterior,
sample_transform=lambda x: x.sign() * (x.abs().exp() - 1.0),
)
