Source code for botorch.acquisition.multi_objective.multi_fidelity

#!/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.

Multi-Fidelity Acquisition Functions for Multi-objective Bayesian optimization.


.. [Irshad2021MOMF]
    F. Irshad, S. Karsch, and A. Döpp. Expected hypervolume improvement for
    simultaneous multi-objective and multi-fidelity optimization.
    arXiv preprint arXiv:2112.13901, 2021.


from __future__ import annotations

from typing import Any, Callable, List, Optional, Union

import torch
from botorch.acquisition.cost_aware import InverseCostWeightedUtility
from botorch.acquisition.multi_objective.monte_carlo import (
from botorch.acquisition.multi_objective.objective import MCMultiOutputObjective
from botorch.models.cost import AffineFidelityCostModel
from botorch.models.deterministic import GenericDeterministicModel
from botorch.models.model import Model
from botorch.sampling.samplers import MCSampler
from botorch.utils.multi_objective.box_decompositions.non_dominated import (
from botorch.utils.transforms import concatenate_pending_points, t_batch_mode_transform
from torch import Tensor

[docs]class MOMF(qExpectedHypervolumeImprovement): def __init__( self, model: Model, ref_point: Union[List[float], Tensor], partitioning: NondominatedPartitioning, sampler: Optional[MCSampler] = None, objective: Optional[MCMultiOutputObjective] = None, constraints: Optional[List[Callable[[Tensor], Tensor]]] = None, X_pending: Optional[Tensor] = None, cost_call: Callable[Tensor, Tensor] = None, eta: float = 1e-3, **kwargs: Any, ) -> None: r"""MOMF acquisition function supporting m>=2 outcomes. The model needs to have train_obj that has a fidelity objective appended to its end. In the following example we consider a 2-D output space but the ref_point is 3D because of fidelity objective. See [Irshad2021MOMF]_ for details. Example: >>> model = SingleTaskGP(train_X, train_Y) >>> ref_point = [0.0, 0.0, 0.0] >>> cost_func = lambda X: 5 + X[..., -1] >>> momf = MOMF(model, ref_point, partitioning, cost_func) >>> momf_val = momf(test_X) Args: model: A fitted model. There are two default assumptions in the training data. `train_X` should have fidelity parameter `s` as the last dimension of the input and `train_Y` contains a trust objective as its last dimension. ref_point: A list or tensor with `m+1` elements representing the reference point (in the outcome space) w.r.t. to which compute the hypervolume. The '+1' takes care of the trust objective appended to `train_Y`. This is a reference point for the objective values (i.e. after applying`objective` to the samples). partitioning: 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: The sampler used to draw base samples. Defaults to `SobolQMCNormalSampler(num_samples=128, collapse_batch_dims=True)`. objective: The MCMultiOutputObjective under which the samples are evaluated. Defaults to `IdentityMultiOutputObjective()`. constraints: 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 acquisition function will compute expected feasible hypervolume. X_pending: 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. cost_call: A callable cost function mapping a Tensor of dimension `batch_shape x q x d` to a cost Tensor of dimension `batch_shape x q x m`. Defaults to an AffineCostModel with `C(s) = 1 + s`. eta: The temperature parameter for the sigmoid function used for the differentiable approximation of the constraints. """ if len(ref_point) != partitioning.num_outcomes: raise ValueError( "The length of the reference point must match the number of outcomes. " f"Got ref_point with {len(ref_point)} elements, but expected " f"{partitioning.num_outcomes}." ) ref_point = torch.as_tensor( ref_point, dtype=partitioning.pareto_Y.dtype, device=partitioning.pareto_Y.device, ) super().__init__( model=model, ref_point=ref_point, partitioning=partitioning, sampler=sampler, objective=objective, constraints=constraints, X_pending=X_pending, ) if cost_call is None: cost_model = AffineFidelityCostModel( fidelity_weights={-1: 1.0}, fixed_cost=1.0 ) else: cost_model = GenericDeterministicModel(cost_call) cost_aware_utility = InverseCostWeightedUtility(cost_model=cost_model) self.cost_aware_utility = cost_aware_utility
[docs] @concatenate_pending_points @t_batch_mode_transform() def forward(self, X: Tensor) -> Tensor: posterior = self.model.posterior(X) samples = self.sampler(posterior) hv_gain = self._compute_qehvi(samples=samples, X=X) cost_weighted_qehvi = self.cost_aware_utility(X=X, deltas=hv_gain) return cost_weighted_qehvi