botorch.sampling¶

Monte-Carlo Sampler API¶

The base class for sampler modules to be used with MC-evaluated acquisition functions.

Get Sampler Helper¶

botorch.sampling.get_sampler.get_sampler(posterior, sample_shape, **kwargs)[source]¶

Get the sampler for the given posterior.

The sampler can be used as sampler(posterior) to produce samples suitable for use in acquisition function optimization via SAA.

Parameters:

• posterior (TorchPosterior) – A Posterior to get the sampler for.

• sample_shape (Size) – The sample shape of the samples produced by the given sampler. The full shape of the resulting samples is given by posterior._extended_shape(sample_shape).

• kwargs (Any) – Optional kwargs, passed down to the samplers during construction.

Returns:

The MCSampler object for the given posterior.

Return type:

MCSampler

List Sampler¶

A SamplerList for sampling from a PosteriorList.

Gaussian Monte-Carlo Samplers¶

Sampler modules producing N(0,1) samples, to be used with MC-evaluated acquisition functions and Gaussian posteriors.

class botorch.sampling.normal.NormalMCSampler(sample_shape, seed=None, **kwargs)[source]¶

Bases: MCSampler, ABC

Base class for samplers producing (possibly QMC) N(0,1) samples.

Subclasses must implement the _construct_base_samples method.

Abstract base class for samplers.

Parameters:

• sample_shape (torch.Size) – The sample_shape of the samples to generate. The full shape of the samples is given by posterior._extended_shape(sample_shape).

• seed (Optional[int]) – An optional seed to use for sampling.

• **kwargs (Any) – Catch-all for deprecated kwargs.

forward(posterior)[source]¶

Draws MC samples from the posterior.

Parameters:

posterior (Posterior) – The posterior to sample from.

Returns:

The samples drawn from the posterior.

Return type:

Tensor

training: bool¶

class botorch.sampling.normal.IIDNormalSampler(sample_shape, seed=None, **kwargs)[source]¶

Bases: NormalMCSampler

Sampler for MC base samples using iid N(0,1) samples.

Example

>>> sampler = IIDNormalSampler(1000, seed=1234)
>>> posterior = model.posterior(test_X)
>>> samples = sampler(posterior)

Abstract base class for samplers.

Parameters:

• sample_shape (torch.Size) – The sample_shape of the samples to generate. The full shape of the samples is given by posterior._extended_shape(sample_shape).

• seed (Optional[int]) – An optional seed to use for sampling.

• **kwargs (Any) – Catch-all for deprecated kwargs.

training: bool¶

class botorch.sampling.normal.SobolQMCNormalSampler(sample_shape, seed=None, **kwargs)[source]¶

Bases: NormalMCSampler

Sampler for quasi-MC N(0,1) base samples using Sobol sequences.

Example

>>> sampler = SobolQMCNormalSampler(1024, seed=1234)
>>> posterior = model.posterior(test_X)
>>> samples = sampler(posterior)

Abstract base class for samplers.

Parameters:

• sample_shape (torch.Size) – The sample_shape of the samples to generate. The full shape of the samples is given by posterior._extended_shape(sample_shape).

• seed (Optional[int]) – An optional seed to use for sampling.

• **kwargs (Any) – Catch-all for deprecated kwargs.

training: bool¶

Pairwise Monte-Carlo Samplers¶

class botorch.sampling.pairwise_samplers.PairwiseMCSampler(max_num_comparisons=None, seed=None)[source]¶

Bases: MCSampler

Abstract class for Pairwise MC Sampler.

This sampler will sample pairwise comparisons. It is to be used together with PairwiseGP and BoTorch acquisition functions (e.g., qKnowledgeGradient)

Parameters:

• max_num_comparisons (int) – Max number of comparisons drawn within samples. If None, use all possible pairwise comparisons

• seed (int) – The seed for np.random.seed. If omitted, use a random seed. May be overwritten by sibling classes or subclasses.

forward(posterior)[source]¶

Draws MC samples from the posterior and make comparisons

Parameters:

posterior (Posterior) – The Posterior to sample from. The returned samples are expected to have output dimension of 1.

Returns:

Posterior sample pairwise comparisons.

Return type:

Tensor

training: bool¶

class botorch.sampling.pairwise_samplers.PairwiseIIDNormalSampler(sample_shape, seed=None, max_num_comparisons=None, **kwargs)[source]¶

Bases: PairwiseMCSampler, IIDNormalSampler

Parameters:

• sample_shape (torch.Size) – The sample_shape of the samples to generate.

• seed (Optional[int]) – The seed for the RNG. If omitted, use a random seed.

• max_num_comparisons (int) – Max number of comparisons drawn within samples. If None, use all possible pairwise comparisons.

• kwargs (Any) – Catch-all for deprecated arguments.

training: bool¶

class botorch.sampling.pairwise_samplers.PairwiseSobolQMCNormalSampler(sample_shape, seed=None, max_num_comparisons=None, **kwargs)[source]¶

Bases: PairwiseMCSampler, SobolQMCNormalSampler

Parameters:

• sample_shape (torch.Size) – The sample_shape of the samples to generate.

• seed (Optional[int]) – The seed for the RNG. If omitted, use a random seed.

• max_num_comparisons (int) – Max number of comparisons drawn within samples. If None, use all possible pairwise comparisons.

• kwargs (Any) – Catch-all for deprecated arguments.

training: bool¶

QMC Base Functionality¶

Quasi Monte-Carlo sampling from Normal distributions.

References:

class botorch.sampling.qmc.NormalQMCEngine(d, seed=None, inv_transform=False)[source]¶

Bases: object

Engine for qMC sampling from a Multivariate Normal N(0, I_d).

By default, this implementation uses Box-Muller transformed Sobol samples following pg. 123 in [Pages2018numprob]. To use the inverse transform instead, set inv_transform=True.

Example

>>> engine = NormalQMCEngine(3)
>>> samples = engine.draw(16)

Engine for drawing qMC samples from a multivariate normal N(0, I_d).

Parameters:

• d (int) – The dimension of the samples.

• seed (Optional[int]) – The seed with which to seed the random number generator of the underlying SobolEngine.

• inv_transform (bool) – If True, use inverse transform instead of Box-Muller.

draw(n=1, out=None, dtype=torch.float32)[source]¶

Draw n qMC samples from the standard Normal.

Parameters:

• n (int) – The number of samples to draw. As a best practice, use powers of 2.

• out (Optional[Tensor]) – An option output tensor. If provided, draws are put into this tensor, and the function returns None.

• dtype (dtype) – The desired torch data type (ignored if out is provided).

Returns:

A n x d tensor of samples if out=None and None otherwise.

Return type:

Optional[Tensor]

class botorch.sampling.qmc.MultivariateNormalQMCEngine(mean, cov, seed=None, inv_transform=False)[source]¶

Bases: object

Engine for qMC sampling from a multivariate Normal N(mu, Sigma).

By default, this implementation uses Box-Muller transformed Sobol samples following pg. 123 in [Pages2018numprob]. To use the inverse transform instead, set inv_transform=True.

Example

>>> mean = torch.tensor([1.0, 2.0])
>>> cov = torch.tensor([[1.0, 0.25], [0.25, 2.0]])
>>> engine = MultivariateNormalQMCEngine(mean, cov)
>>> samples = engine.draw(16)

Engine for qMC sampling from a multivariate Normal N(mu, Sigma).

Parameters:

• mean (Tensor) – The mean vector.

• cov (Tensor) – The covariance matrix.

• seed (Optional[int]) – The seed with which to seed the random number generator of the underlying SobolEngine.

• inv_transform (bool) – If True, use inverse transform instead of Box-Muller.

draw(n=1, out=None)[source]¶

Draw n qMC samples from the multivariate Normal.

Parameters:

• n (int) – The number of samples to draw. As a best practice, use powers of 2.

• out (Optional[Tensor]) – An option output tensor. If provided, draws are put into this tensor, and the function returns None.

Returns:

A n x d tensor of samples if out=None and None otherwise.

Return type:

Optional[Tensor]

Stochastic Samplers¶

Samplers to enable use cases that are not base sample driven, such as stochastic optimization of acquisition functions.

class botorch.sampling.stochastic_samplers.ForkedRNGSampler(sample_shape, seed=None, **kwargs)[source]¶

Bases: MCSampler

A sampler using torch.fork_rng to enable replicable sampling from a posterior that does not support base samples.

NOTE: This approach is not a one-to-one replacement for base sample driven sampling. The main missing piece in this approach is that its outputs are not replicable across the batch dimensions. As a result, when an acquisition function is batch evaluated with repeated candidates, each candidate will produce a different acquisition value, which is not compatible with Sample Average Approximation.

Abstract base class for samplers.

Parameters:

• sample_shape (torch.Size) – The sample_shape of the samples to generate. The full shape of the samples is given by posterior._extended_shape(sample_shape).

• seed (Optional[int]) – An optional seed to use for sampling.

• **kwargs (Any) – Catch-all for deprecated kwargs.

forward(posterior)[source]¶

Draws MC samples from the posterior in a fork_rng context.

Parameters:

posterior (Posterior) – The posterior to sample from.

Returns:

The samples drawn from the posterior.

Return type:

Tensor

training: bool¶

class botorch.sampling.stochastic_samplers.StochasticSampler(sample_shape, seed=None, **kwargs)[source]¶

Bases: MCSampler

A sampler that simply calls posterior.rsample to generate the samples. This should only be used for stochastic optimization of the acquisition functions, e.g., via gen_candidates_torch. This should not be used with optimize_acqf, which uses deterministic optimizers under the hood.

NOTE: This ignores the seed option.

Abstract base class for samplers.

Parameters:

• sample_shape (torch.Size) – The sample_shape of the samples to generate. The full shape of the samples is given by posterior._extended_shape(sample_shape).

• seed (Optional[int]) – An optional seed to use for sampling.

• **kwargs (Any) – Catch-all for deprecated kwargs.

forward(posterior)[source]¶

Draws MC samples from the posterior.

Parameters:

posterior (Posterior) – The posterior to sample from.

Returns:

The samples drawn from the posterior.

Return type:

Tensor

training: bool¶