#!/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"""
Input Transformations.
These classes implement a variety of transformations for
input parameters including: learned input warping functions,
rounding functions, and log transformations. The input transformation
is typically part of a Model and applied within the model.forward()
method.
"""
from __future__ import annotations
from abc import ABC, abstractmethod
from collections import OrderedDict
from typing import Any, Callable, Dict, List, Optional, Union
from warnings import warn
import torch
from botorch.exceptions.errors import BotorchTensorDimensionError
from botorch.models.transforms.utils import subset_transform
from botorch.models.utils import fantasize
from botorch.utils.rounding import approximate_round, OneHotArgmaxSTE, RoundSTE
from gpytorch import Module as GPyTorchModule
from gpytorch.constraints import GreaterThan
from gpytorch.priors import Prior
from torch import nn, Tensor
from torch.distributions import Kumaraswamy
from torch.nn import Module, ModuleDict
from torch.nn.functional import one_hot
class InputTransform(ABC):
r"""Abstract base class for input transforms.
Note: Input transforms must inherit from `torch.nn.Module`. This
is deferred to the subclasses to avoid any potential conflict
between `gpytorch.module.Module` and `torch.nn.Module` in `Warp`.
Properties:
is_one_to_many: A boolean denoting whether the transform produces
multiple values for each input.
transform_on_train: A boolean indicating whether to apply the
transform in train() mode.
transform_on_eval: A boolean indicating whether to apply the
transform in eval() mode.
transform_on_fantasize: A boolean indicating whether to apply
the transform when called from within a `fantasize` call.
:meta private:
"""
is_one_to_many: bool = False
transform_on_eval: bool
transform_on_train: bool
transform_on_fantasize: bool
def forward(self, X: Tensor) -> Tensor:
r"""Transform the inputs to a model.
Args:
X: A `batch_shape x n x d`-dim tensor of inputs.
Returns:
A `batch_shape x n' x d`-dim tensor of transformed inputs.
"""
if self.training:
if self.transform_on_train:
return self.transform(X)
elif self.transform_on_eval:
if fantasize.off() or self.transform_on_fantasize:
return self.transform(X)
return X
@abstractmethod
def transform(self, X: Tensor) -> Tensor:
r"""Transform the inputs to a model.
Args:
X: A `batch_shape x n x d`-dim tensor of inputs.
Returns:
A `batch_shape x n x d`-dim tensor of transformed inputs.
"""
pass # pragma: no cover
def untransform(self, X: Tensor) -> Tensor:
r"""Un-transform the inputs to a model.
Args:
X: A `batch_shape x n x d`-dim tensor of transformed inputs.
Returns:
A `batch_shape x n x d`-dim tensor of un-transformed inputs.
"""
raise NotImplementedError(
f"{self.__class__.__name__} does not implement the `untransform` method."
)
def equals(self, other: InputTransform) -> bool:
r"""Check if another input transform is equivalent.
Note: The reason that a custom equals method is defined rather than
defining an __eq__ method is because defining an __eq__ method sets
the __hash__ method to None. Hashing modules is currently used in
pytorch. See https://github.com/pytorch/pytorch/issues/7733.
Args:
other: Another input transform.
Returns:
A boolean indicating if the other transform is equivalent.
"""
other_state_dict = other.state_dict()
return (
type(self) == type(other)
and (self.transform_on_train == other.transform_on_train)
and (self.transform_on_eval == other.transform_on_eval)
and (self.transform_on_fantasize == other.transform_on_fantasize)
and all(
torch.allclose(v, other_state_dict[k].to(v))
for k, v in self.state_dict().items()
)
)
def preprocess_transform(self, X: Tensor) -> Tensor:
r"""Apply transforms for preprocessing inputs.
The main use cases for this method are 1) to preprocess training data
before calling `set_train_data` and 2) preprocess `X_baseline` for noisy
acquisition functions so that `X_baseline` is "preprocessed" with the
same transformations as the cached training inputs.
Args:
X: A `batch_shape x n x d`-dim tensor of inputs.
Returns:
A `batch_shape x n x d`-dim tensor of (transformed) inputs.
"""
if self.transform_on_train:
# We need to disable learning of bounds / affine coefficients here.
# See why: https://github.com/pytorch/botorch/issues/1078.
if hasattr(self, "learn_coefficients"):
learn_coefficients = self.learn_coefficients
self.learn_coefficients = False
result = self.transform(X)
self.learn_coefficients = learn_coefficients
return result
else:
return self.transform(X)
return X
class ReversibleInputTransform(InputTransform, ABC):
r"""An abstract class for a reversible input transform.
Properties:
reverse: A boolean indicating if the functionality of transform
and untransform methods should be swapped.
:meta private:
"""
reverse: bool
def transform(self, X: Tensor) -> Tensor:
r"""Transform the inputs.
Args:
X: A `batch_shape x n x d`-dim tensor of inputs.
Returns:
A `batch_shape x n x d`-dim tensor of transformed inputs.
"""
return self._untransform(X) if self.reverse else self._transform(X)
def untransform(self, X: Tensor) -> Tensor:
r"""Un-transform the inputs.
Args:
X: A `batch_shape x n x d`-dim tensor of inputs.
Returns:
A `batch_shape x n x d`-dim tensor of un-transformed inputs.
"""
return self._transform(X) if self.reverse else self._untransform(X)
@abstractmethod
def _transform(self, X: Tensor) -> Tensor:
r"""Forward transform the inputs.
Args:
X: A `batch_shape x n x d`-dim tensor of inputs.
Returns:
A `batch_shape x n x d`-dim tensor of transformed inputs.
"""
pass # pragma: no cover
@abstractmethod
def _untransform(self, X: Tensor) -> Tensor:
r"""Reverse transform the inputs.
Args:
X: A `batch_shape x n x d`-dim tensor of inputs.
Returns:
A `batch_shape x n x d`-dim tensor of transformed inputs.
"""
pass # pragma: no cover
def equals(self, other: InputTransform) -> bool:
r"""Check if another input transform is equivalent.
Args:
other: Another input transform.
Returns:
A boolean indicating if the other transform is equivalent.
"""
return super().equals(other=other) and (self.reverse == other.reverse)
class AffineInputTransform(ReversibleInputTransform, Module):
def __init__(
self,
d: int,
coefficient: Tensor,
offset: Tensor,
indices: Optional[List[int]] = None,
batch_shape: torch.Size = torch.Size(), # noqa: B008
transform_on_train: bool = True,
transform_on_eval: bool = True,
transform_on_fantasize: bool = True,
reverse: bool = False,
) -> None:
r"""Apply affine transformation to input:
`output = (input - offset) / coefficient`
Args:
d: The dimension of the input space.
coefficient: Tensor of linear coefficients, shape must to be
broadcastable with `(batch_shape x n x d)`-dim input tensors.
offset: Tensor of offset coefficients, shape must to be
broadcastable with `(batch_shape x n x d)`-dim input tensors.
indices: The indices of the inputs to transform. If omitted,
take all dimensions of the inputs into account.
batch_shape: The batch shape of the inputs (assuming input tensors
of shape `batch_shape x n x d`). If provided, perform individual
transformation per batch, otherwise uses a single transformation.
transform_on_train: A boolean indicating whether to apply the
transform in train() mode. Default: True.
transform_on_eval: A boolean indicating whether to apply the
transform in eval() mode. Default: True.
transform_on_fantasize: A boolean indicating whether to apply the
transform when called from within a `fantasize` call. Default: True.
reverse: A boolean indicating whether the forward pass should untransform
the inputs.
"""
super().__init__()
if (indices is not None) and (len(indices) == 0):
raise ValueError("`indices` list is empty!")
if (indices is not None) and (len(indices) > 0):
indices = torch.tensor(indices, dtype=torch.long)
if len(indices) > d:
raise ValueError("Can provide at most `d` indices!")
if (indices > d - 1).any():
raise ValueError("Elements of `indices` have to be smaller than `d`!")
if len(indices.unique()) != len(indices):
raise ValueError("Elements of `indices` tensor must be unique!")
self.register_buffer("indices", indices)
torch.broadcast_shapes(coefficient.shape, offset.shape)
self._d = d
self.register_buffer("_coefficient", coefficient)
self.register_buffer("_offset", offset)
self.batch_shape = batch_shape
self.transform_on_train = transform_on_train
self.transform_on_eval = transform_on_eval
self.transform_on_fantasize = transform_on_fantasize
self.reverse = reverse
@property
def coefficient(self) -> Tensor:
r"""The tensor of linear coefficients."""
coeff = self._coefficient
return coeff if self.learn_coefficients and self.training else coeff.detach()
@property
def offset(self) -> Tensor:
r"""The tensor of offset coefficients."""
offset = self._offset
return offset if self.learn_coefficients and self.training else offset.detach()
@property
def learn_coefficients(self) -> bool:
return getattr(self, "_learn_coefficients", False)
@learn_coefficients.setter
def learn_coefficients(self, value: bool) -> None:
r"""A boolean denoting whether to learn the coefficients
from inputs during model training.
"""
self._learn_coefficients = value
@subset_transform
def _transform(self, X: Tensor) -> Tensor:
r"""Apply affine transformation to input.
Args:
X: A `batch_shape x n x d`-dim tensor of inputs.
Returns:
A `batch_shape x n x d`-dim tensor of transformed inputs.
"""
if self.learn_coefficients and self.training:
self._check_shape(X)
self._update_coefficients(X)
self._to(X)
return (X - self.offset) / self.coefficient
@subset_transform
def _untransform(self, X: Tensor) -> Tensor:
r"""Apply inverse of affine transformation.
Args:
X: A `batch_shape x n x d`-dim tensor of transformed inputs.
Returns:
A `batch_shape x n x d`-dim tensor of un-transformed inputs.
"""
self._to(X)
return self.coefficient * X + self.offset
def equals(self, other: InputTransform) -> bool:
r"""Check if another input transform is equivalent.
Args:
other: Another input transform.
Returns:
A boolean indicating if the other transform is equivalent.
"""
if hasattr(self, "indices") != hasattr(other, "indices"):
return False
isequal = (
super().equals(other=other)
and (self._d == other._d)
and torch.allclose(self.coefficient, other.coefficient)
and torch.allclose(self.offset, other.offset)
and self.learn_coefficients == other.learn_coefficients
)
if hasattr(self, "indices"):
isequal = isequal and (self.indices == other.indices).all()
return isequal
def _check_shape(self, X: Tensor) -> None:
"""Checking input dimensions, included to increase code sharing
among the derived classes Normalize and InputStandardize.
"""
if X.size(-1) != self.offset.size(-1):
raise BotorchTensorDimensionError(
f"Wrong input dimension. Received {X.size(-1)}, "
f"expected {self.offset.size(-1)}."
)
n = len(self.batch_shape) + 2
if X.ndim < n:
raise ValueError(
f"`X` must have at least {n} dimensions, {n - 2} batch and 2 innate"
f" , but has {X.ndim}."
)
torch.broadcast_shapes(self.coefficient.shape, self.offset.shape, X.shape)
def _to(self, X: Tensor) -> None:
r"""Makes coefficient and offset have same device and dtype as X."""
self._coefficient = self.coefficient.to(X)
self._offset = self.offset.to(X)
def _update_coefficients(self, X: Tensor) -> None:
r"""Updates affine coefficients. Implemented by subclasses,
e.g. Normalize and InputStandardize.
"""
raise NotImplementedError(
"Only subclasses of AffineInputTransform implement "
"_update_coefficients, e.g. Normalize and InputStandardize."
)
[docs]class Normalize(AffineInputTransform):
r"""Normalize the inputs to the unit cube.
If no explicit bounds are provided this module is stateful: If in train mode,
calling `forward` updates the module state (i.e. the normalizing bounds). If
in eval mode, calling `forward` simply applies the normalization using the
current module state.
"""
def __init__(
self,
d: int,
indices: Optional[List[int]] = None,
bounds: Optional[Tensor] = None,
batch_shape: torch.Size = torch.Size(), # noqa: B008
transform_on_train: bool = True,
transform_on_eval: bool = True,
transform_on_fantasize: bool = True,
reverse: bool = False,
min_range: float = 1e-8,
) -> None:
r"""Normalize the inputs to the unit cube.
Args:
d: The dimension of the input space.
indices: The indices of the inputs to normalize. If omitted,
take all dimensions of the inputs into account.
bounds: If provided, use these bounds to normalize the inputs. If
omitted, learn the bounds in train mode.
batch_shape: The batch shape of the inputs (assuming input tensors
of shape `batch_shape x n x d`). If provided, perform individual
normalization per batch, otherwise uses a single normalization.
transform_on_train: A boolean indicating whether to apply the
transforms in train() mode. Default: True.
transform_on_eval: A boolean indicating whether to apply the
transform in eval() mode. Default: True.
transform_on_fantasize: A boolean indicating whether to apply the
transform when called from within a `fantasize` call. Default: True.
reverse: A boolean indicating whether the forward pass should untransform
the inputs.
min_range: Amount of noise to add to the range to ensure no division by
zero errors.
"""
transform_dimension = d if indices is None else len(indices)
if bounds is not None:
if indices is not None and bounds.size(-1) == d:
bounds = bounds[..., indices]
if bounds.size(-1) != transform_dimension:
raise BotorchTensorDimensionError(
"Dimensions of provided `bounds` are incompatible with "
f"transform_dimension = {transform_dimension}!"
)
offset = bounds[..., 0:1, :]
coefficient = bounds[..., 1:2, :] - offset
if coefficient.ndim > 2:
batch_shape = coefficient.shape[:-2]
else:
coefficient = torch.ones(*batch_shape, 1, transform_dimension)
offset = torch.zeros(*batch_shape, 1, transform_dimension)
self.learn_coefficients = True
super().__init__(
d=d,
coefficient=coefficient,
offset=offset,
indices=indices,
batch_shape=batch_shape,
transform_on_train=transform_on_train,
transform_on_eval=transform_on_eval,
transform_on_fantasize=transform_on_fantasize,
reverse=reverse,
)
self.min_range = min_range
@property
def ranges(self):
return self.coefficient
@property
def mins(self):
return self.offset
@property
def bounds(self) -> Tensor:
r"""The bounds used for normalizing the inputs."""
return torch.cat([self.offset, self.offset + self.coefficient], dim=-2)
@property
def learn_bounds(self) -> bool:
return self.learn_coefficients
def _update_coefficients(self, X) -> None:
"""Computes the normalization bounds and updates the affine
coefficients, which determine the base class's behavior.
"""
# Aggregate mins and ranges over extra batch and marginal dims
batch_ndim = min(len(self.batch_shape), X.ndim - 2) # batch rank of `X`
reduce_dims = (*range(X.ndim - batch_ndim - 2), X.ndim - 2)
self._offset = torch.amin(X, dim=reduce_dims).unsqueeze(-2)
self._coefficient = torch.amax(X, dim=reduce_dims).unsqueeze(-2) - self.offset
self._coefficient.clamp_(min=self.min_range)
[docs]class Round(InputTransform, Module):
r"""A discretization transformation for discrete inputs.
For integers, this will typically be used in conjunction
with normalization as follows:
In eval() mode (i.e. after training), the inputs pass
would typically be normalized to the unit cube (e.g. during candidate
optimization). 1. These are unnormalized back to the raw input space.
2. The integers are rounded. 3. All values are normalized to the unit
cube.
In train() mode, the inputs can either (a) be normalized to the unit
cube or (b) provided using their raw values. In the case of (a)
transform_on_train should be set to True, so that the normalized inputs
are unnormalized before rounding. In the case of (b) transform_on_train
should be set to False, so that the raw inputs are rounded and then
normalized to the unit cube.
By default, the straight through estimators are used for the gradients as
proposed in [Daulton2022bopr]_. This transformation supports differentiable
approximate rounding (currently only for integers). The rounding function
is approximated with a piece-wise function where each piece is a hyperbolic
tangent function.
For categorical parameters, the input must be one-hot encoded.
Example:
>>> bounds = torch.tensor([[0, 5], [0, 1], [0, 1]]).t()
>>> integer_indices = [0]
>>> categorical_features = {1: 2}
>>> unnormalize_tf = Normalize(
>>> d=d,
>>> bounds=bounds,
>>> transform_on_eval=True,
>>> transform_on_train=True,
>>> reverse=True,
>>> )
>>> round_tf = Round(integer_indices, categorical_features)
>>> normalize_tf = Normalize(d=d, bounds=bounds)
>>> tf = ChainedInputTransform(
>>> tf1=unnormalize_tf, tf2=round_tf, tf3=normalize_tf
>>> )
"""
def __init__(
self,
integer_indices: Optional[List[int]] = None,
categorical_features: Optional[Dict[int, int]] = None,
transform_on_train: bool = True,
transform_on_eval: bool = True,
transform_on_fantasize: bool = True,
approximate: bool = False,
tau: float = 1e-3,
**kwargs,
) -> None:
r"""Initialize transform.
Args:
integer_indices: The indices of the integer inputs.
categorical_features: A dictionary mapping the starting index of each
categorical feature to its cardinality. This assumes that categoricals
are one-hot encoded.
transform_on_train: A boolean indicating whether to apply the
transforms in train() mode. Default: True.
transform_on_eval: A boolean indicating whether to apply the
transform in eval() mode. Default: True.
transform_on_fantasize: A boolean indicating whether to apply the
transform when called from within a `fantasize` call. Default: True.
approximate: A boolean indicating whether approximate or exact
rounding should be used. Default: False.
tau: The temperature parameter for approximate rounding.
"""
indices = kwargs.get("indices")
if indices is not None:
warn(
"`indices` is marked for deprecation in favor of `integer_indices`.",
DeprecationWarning,
)
integer_indices = indices
if approximate and categorical_features is not None:
raise NotImplementedError
super().__init__()
self.transform_on_train = transform_on_train
self.transform_on_eval = transform_on_eval
self.transform_on_fantasize = transform_on_fantasize
integer_indices = integer_indices or []
self.register_buffer(
"integer_indices", torch.tensor(integer_indices, dtype=torch.long)
)
self.categorical_features = categorical_features or {}
self.approximate = approximate
self.tau = tau
[docs] def equals(self, other: InputTransform) -> bool:
r"""Check if another input transform is equivalent.
Args:
other: Another input transform.
Returns:
A boolean indicating if the other transform is equivalent.
"""
return (
super().equals(other=other)
and (self.integer_indices == other.integer_indices).all()
and self.categorical_features == other.categorical_features
and self.approximate == other.approximate
and self.tau == other.tau
)
[docs]class Log10(ReversibleInputTransform, Module):
r"""A base-10 log transformation."""
def __init__(
self,
indices: List[int],
transform_on_train: bool = True,
transform_on_eval: bool = True,
transform_on_fantasize: bool = True,
reverse: bool = False,
) -> None:
r"""Initialize transform.
Args:
indices: The indices of the inputs to log transform.
transform_on_train: A boolean indicating whether to apply the
transforms in train() mode. Default: True.
transform_on_eval: A boolean indicating whether to apply the
transform in eval() mode. Default: True.
transform_on_fantasize: A boolean indicating whether to apply the
transform when called from within a `fantasize` call. Default: True.
reverse: A boolean indicating whether the forward pass should untransform
the inputs.
"""
super().__init__()
self.register_buffer("indices", torch.tensor(indices, dtype=torch.long))
self.transform_on_train = transform_on_train
self.transform_on_eval = transform_on_eval
self.transform_on_fantasize = transform_on_fantasize
self.reverse = reverse
@subset_transform
def _transform(self, X: Tensor) -> Tensor:
r"""Log transform the inputs.
Args:
X: A `batch_shape x n x d`-dim tensor of inputs.
Returns:
A `batch_shape x n x d`-dim tensor of transformed inputs.
"""
return X.log10()
@subset_transform
def _untransform(self, X: Tensor) -> Tensor:
r"""Reverse the log transformation.
Args:
X: A `batch_shape x n x d`-dim tensor of normalized inputs.
Returns:
A `batch_shape x n x d`-dim tensor of un-normalized inputs.
"""
return 10.0**X
[docs]class Warp(ReversibleInputTransform, GPyTorchModule):
r"""A transform that uses learned input warping functions.
Each specified input dimension is warped using the CDF of a
Kumaraswamy distribution. Typically, MAP estimates of the
parameters of the Kumaraswamy distribution, for each input
dimension, are learned jointly with the GP hyperparameters.
TODO: implement support using independent warping functions
for each output in batched multi-output and multi-task models.
For now, ModelListGPs should be used to learn independent warping
functions for each output.
"""
# TODO: make minimum value dtype-dependent
_min_concentration_level = 1e-4
def __init__(
self,
indices: List[int],
transform_on_train: bool = True,
transform_on_eval: bool = True,
transform_on_fantasize: bool = True,
reverse: bool = False,
eps: float = 1e-7,
concentration1_prior: Optional[Prior] = None,
concentration0_prior: Optional[Prior] = None,
batch_shape: Optional[torch.Size] = None,
) -> None:
r"""Initialize transform.
Args:
indices: The indices of the inputs to warp.
transform_on_train: A boolean indicating whether to apply the
transforms in train() mode. Default: True.
transform_on_eval: A boolean indicating whether to apply the
transform in eval() mode. Default: True.
transform_on_fantasize: A boolean indicating whether to apply the
transform when called from within a `fantasize` call. Default: True.
reverse: A boolean indicating whether the forward pass should untransform
the inputs.
eps: A small value used to clip values to be in the interval (0, 1).
concentration1_prior: A prior distribution on the concentration1 parameter
of the Kumaraswamy distribution.
concentration0_prior: A prior distribution on the concentration0 parameter
of the Kumaraswamy distribution.
batch_shape: The batch shape.
"""
super().__init__()
self.register_buffer("indices", torch.tensor(indices, dtype=torch.long))
self.transform_on_train = transform_on_train
self.transform_on_eval = transform_on_eval
self.transform_on_fantasize = transform_on_fantasize
self.reverse = reverse
self.batch_shape = batch_shape or torch.Size([])
self._X_min = eps
self._X_range = 1 - 2 * eps
if len(self.batch_shape) > 0:
# Note: this follows the gpytorch shape convention for lengthscales
# There is ongoing discussion about the extra `1`.
# TODO: update to follow new gpytorch convention resulting from
# https://github.com/cornellius-gp/gpytorch/issues/1317
batch_shape = self.batch_shape + torch.Size([1])
else:
batch_shape = self.batch_shape
for i in (0, 1):
p_name = f"concentration{i}"
self.register_parameter(
p_name,
nn.Parameter(torch.full(batch_shape + self.indices.shape, 1.0)),
)
if concentration0_prior is not None:
self.register_prior(
"concentration0_prior",
concentration0_prior,
lambda m: m.concentration0,
lambda m, v: m._set_concentration(i=0, value=v),
)
if concentration1_prior is not None:
self.register_prior(
"concentration1_prior",
concentration1_prior,
lambda m: m.concentration1,
lambda m, v: m._set_concentration(i=1, value=v),
)
for i in (0, 1):
p_name = f"concentration{i}"
constraint = GreaterThan(
self._min_concentration_level,
transform=None,
# set the initial value to be the identity transformation
initial_value=1.0,
)
self.register_constraint(param_name=p_name, constraint=constraint)
def _set_concentration(self, i: int, value: Union[float, Tensor]) -> None:
if not torch.is_tensor(value):
value = torch.as_tensor(value).to(self.concentration0)
self.initialize(**{f"concentration{i}": value})
@subset_transform
def _transform(self, X: Tensor) -> Tensor:
r"""Warp the inputs through the Kumaraswamy CDF.
Args:
X: A `input_batch_shape x (batch_shape) x n x d`-dim tensor of inputs.
batch_shape here can either be self.batch_shape or 1's such that
it is broadcastable with self.batch_shape if self.batch_shape is set.
Returns:
A `input_batch_shape x (batch_shape) x n x d`-dim tensor of transformed
inputs.
"""
# normalize to [eps, 1-eps], IDEA: could use Normalize and ChainedTransform.
return self._k.cdf(
torch.clamp(
X * self._X_range + self._X_min,
self._X_min,
1.0 - self._X_min,
)
)
@subset_transform
def _untransform(self, X: Tensor) -> Tensor:
r"""Warp the inputs through the Kumaraswamy inverse CDF.
Args:
X: A `input_batch_shape x batch_shape x n x d`-dim tensor of inputs.
Returns:
A `input_batch_shape x batch_shape x n x d`-dim tensor of transformed
inputs.
"""
if len(self.batch_shape) > 0:
if self.batch_shape != X.shape[-2 - len(self.batch_shape) : -2]:
raise BotorchTensorDimensionError(
"The right most batch dims of X must match self.batch_shape: "
f"({self.batch_shape})."
)
# unnormalize from [eps, 1-eps] to [0,1]
return ((self._k.icdf(X) - self._X_min) / self._X_range).clamp(0.0, 1.0)
@property
def _k(self) -> Kumaraswamy:
"""Returns a Kumaraswamy distribution with the concentration parameters."""
return Kumaraswamy(
concentration1=self.concentration1,
concentration0=self.concentration0,
)
[docs]class AppendFeatures(InputTransform, Module):
r"""A transform that appends the input with a given set of features either
provided beforehand or generated on the fly via a callable.
As an example, the predefined set of features can be used with
`RiskMeasureMCObjective` to optimize risk measures as described in
[Cakmak2020risk]_. A tutorial notebook implementing the rhoKG acqusition
function introduced in [Cakmak2020risk]_ can be found at
https://botorch.org/tutorials/risk_averse_bo_with_environmental_variables.
The steps for using this to obtain samples of a risk measure are as follows:
- Train a model on `(x, w)` inputs and the corresponding observations;
- Pass in an instance of `AppendFeatures` with the `feature_set` denoting the
samples of `W` as the `input_transform` to the trained model;
- Call `posterior(...).rsample(...)` on the model with `x` inputs only to
get the joint posterior samples over `(x, w)`s, where the `w`s come
from the `feature_set`;
- Pass these posterior samples through the `RiskMeasureMCObjective` of choice to
get the samples of the risk measure.
Note: The samples of the risk measure obtained this way are in general biased
since the `feature_set` does not fully represent the distribution of the
environmental variable.
Possible examples for using a callable include statistical models that are built on
PyTorch, built-in mathematical operations such as torch.sum, or custom scripted
functions. By this, this input transform allows for advanced feature engineering
and transfer learning models within the optimization loop.
Example:
>>> # We consider 1D `x` and 1D `w`, with `W` having a
>>> # uniform distribution over [0, 1]
>>> model = SingleTaskGP(
... train_X=torch.rand(10, 2),
... train_Y=torch.randn(10, 1),
... input_transform=AppendFeatures(feature_set=torch.rand(10, 1))
... )
>>> mll = ExactMarginalLogLikelihood(model.likelihood, model)
>>> fit_gpytorch_mll(mll)
>>> test_x = torch.rand(3, 1)
>>> # `posterior_samples` is a `10 x 30 x 1`-dim tensor
>>> posterior_samples = model.posterior(test_x).rsamples(torch.size([10]))
>>> risk_measure = VaR(alpha=0.8, n_w=10)
>>> # `risk_measure_samples` is a `10 x 3`-dim tensor of samples of the
>>> # risk measure VaR
>>> risk_measure_samples = risk_measure(posterior_samples)
"""
is_one_to_many: bool = True
def __init__(
self,
feature_set: Optional[Tensor] = None,
f: Optional[Callable[[Tensor], Tensor]] = None,
indices: Optional[List[int]] = None,
fkwargs: Optional[Dict[str, Any]] = None,
skip_expand: bool = False,
transform_on_train: bool = False,
transform_on_eval: bool = True,
transform_on_fantasize: bool = False,
) -> None:
r"""Append `feature_set` to each input or generate a set of features to
append on the fly via a callable.
Args:
feature_set: An `n_f x d_f`-dim tensor denoting the features to be
appended to the inputs. Default: None.
f: A callable mapping a `batch_shape x q x d`-dim input tensor `X`
to a `batch_shape x q x n_f x d_f`-dimensional output tensor.
Default: None.
indices: List of indices denoting the indices of the features to be
passed into f. Per default all features are passed to `f`.
Default: None.
fkwargs: Dictionary of keyword arguments passed to the callable `f`.
Default: None.
skip_expand: A boolean indicating whether to expand the input tensor
before appending features. This is intended for use with an
`InputPerturbation`. If `True`, the input tensor will be expected
to be of shape `batch_shape x (q * n_f) x d`. Not implemented
in combination with a callable.
transform_on_train: A boolean indicating whether to apply the
transforms in train() mode. Default: False.
transform_on_eval: A boolean indicating whether to apply the
transform in eval() mode. Default: True.
transform_on_fantasize: A boolean indicating whether to apply the
transform when called from within a `fantasize` call. Default: False.
"""
super().__init__()
if (feature_set is None) and (f is None):
raise ValueError(
"Either a `feature_set` or a callable `f` has to be provided."
)
if (feature_set is not None) and (f is not None):
raise ValueError(
"Only one can be used: either `feature_set` or callable `f`."
)
if feature_set is not None:
if feature_set.dim() != 2:
raise ValueError("`feature_set` must be an `n_f x d_f`-dim tensor!")
self.register_buffer("feature_set", feature_set)
self._f = None
if f is not None:
if skip_expand:
raise ValueError(
"`skip_expand` option is not supported in case of using a callable"
)
if (indices is not None) and (len(indices) == 0):
raise ValueError("`indices` list is empty!")
if indices is not None:
indices = torch.tensor(indices, dtype=torch.long)
if len(indices.unique()) != len(indices):
raise ValueError("Elements of `indices` tensor must be unique!")
self.indices = indices
else:
self.indices = slice(None)
self._f = f
self.fkwargs = fkwargs or {}
self.skip_expand = skip_expand
self.transform_on_train = transform_on_train
self.transform_on_eval = transform_on_eval
self.transform_on_fantasize = transform_on_fantasize
[docs]class FilterFeatures(InputTransform, Module):
r"""A transform that filters the input with a given set of features indices.
As an example, this can be used in a multiobjective optimization with `ModelListGP`
in which the specific models only share subsets of features (feature selection).
A reason could be that it is known that specific features do not have any impact on
a specific objective but they need to be included in the model for another one.
"""
def __init__(
self,
feature_indices: Tensor,
transform_on_train: bool = True,
transform_on_eval: bool = True,
transform_on_fantasize: bool = True,
) -> None:
r"""Filter features from a model.
Args:
feature_set: An one-dim tensor denoting the indices of the features to be
kept and fed to the model.
transform_on_train: A boolean indicating whether to apply the
transforms in train() mode. Default: True.
transform_on_eval: A boolean indicating whether to apply the
transform in eval() mode. Default: True.
transform_on_fantasize: A boolean indicating whether to apply the
transform when called from within a `fantasize` call. Default: True.
"""
super().__init__()
if feature_indices.dim() != 1:
raise ValueError("`feature_indices` must be a one-dimensional tensor!")
if feature_indices.dtype != torch.int64:
raise ValueError("`feature_indices` tensor must be int64/long!")
if (feature_indices < 0).any():
raise ValueError(
"Elements of `feature_indices` have to be larger/equal to zero!"
)
if len(feature_indices.unique()) != len(feature_indices):
raise ValueError("Elements of `feature_indices` tensor must be unique!")
self.transform_on_train = transform_on_train
self.transform_on_eval = transform_on_eval
self.transform_on_fantasize = transform_on_fantasize
self.register_buffer("feature_indices", feature_indices)
[docs] def equals(self, other: InputTransform) -> bool:
r"""Check if another input transform is equivalent.
Args:
other: Another input transform
Returns:
A boolean indicating if the other transform is equivalent.
"""
if len(self.feature_indices) != len(other.feature_indices):
return False
return super().equals(other=other)
[docs]class OneHotToNumeric(InputTransform, Module):
r"""Transform categorical parameters from a one-hot to a numeric representation.
This assumes that the categoricals are the trailing dimensions.
"""
def __init__(
self,
dim: int,
categorical_features: Optional[Dict[int, int]] = None,
transform_on_train: bool = True,
transform_on_eval: bool = True,
transform_on_fantasize: bool = True,
) -> None:
r"""Initialize.
Args:
dim: The dimension of the one-hot-encoded input.
categorical_features: A dictionary mapping the starting index of each
categorical feature to its cardinality. This assumes that categoricals
are one-hot encoded.
transform_on_train: A boolean indicating whether to apply the
transforms in train() mode. Default: False.
transform_on_eval: A boolean indicating whether to apply the
transform in eval() mode. Default: True.
transform_on_fantasize: A boolean indicating whether to apply the
transform when called from within a `fantasize` call. Default: False.
Returns:
A `batch_shape x n x d'`-dim tensor of where the one-hot encoded
categoricals are transformed to integer representation.
"""
super().__init__()
self.transform_on_train = transform_on_train
self.transform_on_eval = transform_on_eval
self.transform_on_fantasize = transform_on_fantasize
categorical_features = categorical_features or {}
# sort by starting index
self.categorical_features = OrderedDict(
sorted(categorical_features.items(), key=lambda x: x[0])
)
if len(self.categorical_features) > 0:
self.categorical_start_idx = min(self.categorical_features.keys())
# check that the trailing dimensions are categoricals
end = self.categorical_start_idx
err_msg = (
f"{self.__class__.__name__} requires that the categorical "
"parameters are the rightmost elements."
)
for start, card in self.categorical_features.items():
# the end of one one-hot representation should be followed
# by the start of the next
if end != start:
raise ValueError(err_msg)
# This assumes that the categoricals are the trailing
# dimensions
end = start + card
if end != dim:
# check end
raise ValueError(err_msg)
# the numeric representation dimension is the total number of parameters
# (continuous, integer, and categorical)
self.numeric_dim = self.categorical_start_idx + len(categorical_features)
[docs] def equals(self, other: InputTransform) -> bool:
r"""Check if another input transform is equivalent.
Args:
other: Another input transform.
Returns:
A boolean indicating if the other transform is equivalent.
"""
return (
type(self) == type(other)
and (self.transform_on_train == other.transform_on_train)
and (self.transform_on_eval == other.transform_on_eval)
and (self.transform_on_fantasize == other.transform_on_fantasize)
and self.categorical_features == other.categorical_features
)