Source code for botorch.generation.gen

#!/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"""
Candidate generation utilities.
"""

from __future__ import annotations

import time
import warnings
from functools import partial
from typing import Any, Callable, Dict, List, NoReturn, Optional, Tuple, Type, Union

import numpy as np
import torch
from botorch.acquisition import AcquisitionFunction
from botorch.exceptions.warnings import OptimizationWarning
from botorch.generation.utils import _remove_fixed_features_from_optimization
from botorch.logging import _get_logger
from botorch.optim.parameter_constraints import (
    _arrayify,
    make_scipy_bounds,
    make_scipy_linear_constraints,
    make_scipy_nonlinear_inequality_constraints,
    NLC_TOL,
)
from botorch.optim.stopping import ExpMAStoppingCriterion
from botorch.optim.utils import columnwise_clamp, fix_features
from botorch.optim.utils.timeout import minimize_with_timeout
from scipy.optimize import OptimizeResult
from torch import Tensor
from torch.optim import Optimizer

logger = _get_logger()

TGenCandidates = Callable[[Tensor, AcquisitionFunction, Any], Tuple[Tensor, Tensor]]


[docs]def gen_candidates_scipy( initial_conditions: Tensor, acquisition_function: AcquisitionFunction, lower_bounds: Optional[Union[float, Tensor]] = None, upper_bounds: Optional[Union[float, Tensor]] = None, inequality_constraints: Optional[List[Tuple[Tensor, Tensor, float]]] = None, equality_constraints: Optional[List[Tuple[Tensor, Tensor, float]]] = None, nonlinear_inequality_constraints: Optional[List[Callable]] = None, options: Optional[Dict[str, Any]] = None, fixed_features: Optional[Dict[int, Optional[float]]] = None, timeout_sec: Optional[float] = None, ) -> Tuple[Tensor, Tensor]: r"""Generate a set of candidates using `scipy.optimize.minimize`. Optimizes an acquisition function starting from a set of initial candidates using `scipy.optimize.minimize` via a numpy converter. Args: initial_conditions: Starting points for optimization, with shape (b) x q x d. acquisition_function: Acquisition function to be used. lower_bounds: Minimum values for each column of initial_conditions. upper_bounds: Maximum values for each column of initial_conditions. inequality constraints: A list of tuples (indices, coefficients, rhs), with each tuple encoding an inequality constraint of the form `\sum_i (X[indices[i]] * coefficients[i]) >= rhs`. equality constraints: A list of tuples (indices, coefficients, rhs), with each tuple encoding an inequality constraint of the form `\sum_i (X[indices[i]] * coefficients[i]) = rhs`. nonlinear_inequality_constraints: A list of callables with that represent non-linear inequality constraints of the form `callable(x) >= 0`. Each callable is expected to take a `(num_restarts) x q x d`-dim tensor as an input and return a `(num_restarts) x q`-dim tensor with the constraint values. The constraints will later be passed to SLSQP. options: Options used to control the optimization including "method" and "maxiter". Select method for `scipy.minimize` using the "method" key. By default uses L-BFGS-B for box-constrained problems and SLSQP if inequality or equality constraints are present. If `with_grad=False`, then we use a two-point finite difference estimate of the gradient. fixed_features: This is a dictionary of feature indices to values, where all generated candidates will have features fixed to these values. If the dictionary value is None, then that feature will just be fixed to the clamped value and not optimized. Assumes values to be compatible with lower_bounds and upper_bounds! timeout_sec: Timeout (in seconds) for `scipy.optimize.minimize` routine - if provided, optimization will stop after this many seconds and return the best solution found so far. Returns: 2-element tuple containing - The set of generated candidates. - The acquisition value for each t-batch. Example: >>> qEI = qExpectedImprovement(model, best_f=0.2) >>> bounds = torch.tensor([[0., 0.], [1., 2.]]) >>> Xinit = gen_batch_initial_conditions( >>> qEI, bounds, q=3, num_restarts=25, raw_samples=500 >>> ) >>> batch_candidates, batch_acq_values = gen_candidates_scipy( initial_conditions=Xinit, acquisition_function=qEI, lower_bounds=bounds[0], upper_bounds=bounds[1], ) """ options = options or {} options = {**options, "maxiter": options.get("maxiter", 2000)} # if there are fixed features we may optimize over a domain of lower dimension reduced_domain = False if fixed_features: # if there are no constraints, things are straightforward if not ( inequality_constraints or equality_constraints or nonlinear_inequality_constraints ): reduced_domain = True # if there are we need to make sure features are fixed to specific values else: reduced_domain = None not in fixed_features.values() if reduced_domain: _no_fixed_features = _remove_fixed_features_from_optimization( fixed_features=fixed_features, acquisition_function=acquisition_function, initial_conditions=initial_conditions, lower_bounds=lower_bounds, upper_bounds=upper_bounds, inequality_constraints=inequality_constraints, equality_constraints=equality_constraints, nonlinear_inequality_constraints=nonlinear_inequality_constraints, ) # call the routine with no fixed_features clamped_candidates, batch_acquisition = gen_candidates_scipy( initial_conditions=_no_fixed_features.initial_conditions, acquisition_function=_no_fixed_features.acquisition_function, lower_bounds=_no_fixed_features.lower_bounds, upper_bounds=_no_fixed_features.upper_bounds, inequality_constraints=_no_fixed_features.inequality_constraints, equality_constraints=_no_fixed_features.equality_constraints, nonlinear_inequality_constraints=_no_fixed_features.nonlinear_inequality_constraints, # noqa: E501 options=options, fixed_features=None, timeout_sec=timeout_sec, ) clamped_candidates = _no_fixed_features.acquisition_function._construct_X_full( clamped_candidates ) return clamped_candidates, batch_acquisition clamped_candidates = columnwise_clamp( X=initial_conditions, lower=lower_bounds, upper=upper_bounds ) shapeX = clamped_candidates.shape x0 = clamped_candidates.view(-1) bounds = make_scipy_bounds( X=initial_conditions, lower_bounds=lower_bounds, upper_bounds=upper_bounds ) constraints = make_scipy_linear_constraints( shapeX=shapeX, inequality_constraints=inequality_constraints, equality_constraints=equality_constraints, ) with_grad = options.get("with_grad", True) if with_grad: def f_np_wrapper(x: np.ndarray, f: Callable): """Given a torch callable, compute value + grad given a numpy array.""" if np.isnan(x).any(): raise RuntimeError( f"{np.isnan(x).sum()} elements of the {x.size} element array " f"`x` are NaN." ) X = ( torch.from_numpy(x) .to(initial_conditions) .view(shapeX) .contiguous() .requires_grad_(True) ) X_fix = fix_features(X, fixed_features=fixed_features) loss = f(X_fix).sum() # compute gradient w.r.t. the inputs (does not accumulate in leaves) gradf = _arrayify(torch.autograd.grad(loss, X)[0].contiguous().view(-1)) if np.isnan(gradf).any(): msg = ( f"{np.isnan(gradf).sum()} elements of the {x.size} element " "gradient array `gradf` are NaN. " "This often indicates numerical issues." ) if initial_conditions.dtype != torch.double: msg += " Consider using `dtype=torch.double`." raise RuntimeError(msg) fval = loss.item() return fval, gradf else: def f_np_wrapper(x: np.ndarray, f: Callable): X = torch.from_numpy(x).to(initial_conditions).view(shapeX).contiguous() with torch.no_grad(): X_fix = fix_features(X=X, fixed_features=fixed_features) loss = f(X_fix).sum() fval = loss.item() return fval if nonlinear_inequality_constraints: # Make sure `batch_limit` is 1 for now. if not (len(shapeX) == 3 and shapeX[:2] == torch.Size([1, 1])): raise ValueError( "`batch_limit` must be 1 when non-linear inequality constraints " "are given." ) constraints += make_scipy_nonlinear_inequality_constraints( nonlinear_inequality_constraints=nonlinear_inequality_constraints, f_np_wrapper=f_np_wrapper, x0=x0, ) x0 = _arrayify(x0) def f(x): return -acquisition_function(x) res = minimize_with_timeout( fun=f_np_wrapper, args=(f,), x0=x0, method=options.get("method", "SLSQP" if constraints else "L-BFGS-B"), jac=with_grad, bounds=bounds, constraints=constraints, callback=options.get("callback", None), options={ k: v for k, v in options.items() if k not in ["method", "callback", "with_grad"] }, timeout_sec=timeout_sec, ) _process_scipy_result(res=res, options=options) candidates = fix_features( X=torch.from_numpy(res.x).to(initial_conditions).reshape(shapeX), fixed_features=fixed_features, ) # SLSQP sometimes fails in the line search or may just fail to find a feasible # candidate in which case we just return the starting point. This happens rarely, # so it shouldn't be an issue given enough restarts. if nonlinear_inequality_constraints and any( nlc(candidates.view(-1)) < NLC_TOL for nlc in nonlinear_inequality_constraints ): candidates = torch.from_numpy(x0).to(candidates).reshape(shapeX) warnings.warn( "SLSQP failed to converge to a solution the satisfies the non-linear " "constraints. Returning the feasible starting point." ) clamped_candidates = columnwise_clamp( X=candidates, lower=lower_bounds, upper=upper_bounds, raise_on_violation=True ) with torch.no_grad(): batch_acquisition = acquisition_function(clamped_candidates) return clamped_candidates, batch_acquisition
[docs]def gen_candidates_torch( initial_conditions: Tensor, acquisition_function: AcquisitionFunction, lower_bounds: Optional[Union[float, Tensor]] = None, upper_bounds: Optional[Union[float, Tensor]] = None, optimizer: Type[Optimizer] = torch.optim.Adam, options: Optional[Dict[str, Union[float, str]]] = None, callback: Optional[Callable[[int, Tensor, Tensor], NoReturn]] = None, fixed_features: Optional[Dict[int, Optional[float]]] = None, timeout_sec: Optional[float] = None, ) -> Tuple[Tensor, Tensor]: r"""Generate a set of candidates using a `torch.optim` optimizer. Optimizes an acquisition function starting from a set of initial candidates using an optimizer from `torch.optim`. Args: initial_conditions: Starting points for optimization. acquisition_function: Acquisition function to be used. lower_bounds: Minimum values for each column of initial_conditions. upper_bounds: Maximum values for each column of initial_conditions. optimizer (Optimizer): The pytorch optimizer to use to perform candidate search. options: Options used to control the optimization. Includes maxiter: Maximum number of iterations callback: A callback function accepting the current iteration, loss, and gradients as arguments. This function is executed after computing the loss and gradients, but before calling the optimizer. fixed_features: This is a dictionary of feature indices to values, where all generated candidates will have features fixed to these values. If the dictionary value is None, then that feature will just be fixed to the clamped value and not optimized. Assumes values to be compatible with lower_bounds and upper_bounds! timeout_sec: Timeout (in seconds) for optimization. If provided, `gen_candidates_torch` will stop after this many seconds and return the best solution found so far. Returns: 2-element tuple containing - The set of generated candidates. - The acquisition value for each t-batch. Example: >>> qEI = qExpectedImprovement(model, best_f=0.2) >>> bounds = torch.tensor([[0., 0.], [1., 2.]]) >>> Xinit = gen_batch_initial_conditions( >>> qEI, bounds, q=3, num_restarts=25, raw_samples=500 >>> ) >>> batch_candidates, batch_acq_values = gen_candidates_torch( initial_conditions=Xinit, acquisition_function=qEI, lower_bounds=bounds[0], upper_bounds=bounds[1], ) """ start_time = time.monotonic() options = options or {} # if there are fixed features we may optimize over a domain of lower dimension if fixed_features: subproblem = _remove_fixed_features_from_optimization( fixed_features=fixed_features, acquisition_function=acquisition_function, initial_conditions=initial_conditions, lower_bounds=lower_bounds, upper_bounds=upper_bounds, inequality_constraints=None, equality_constraints=None, nonlinear_inequality_constraints=None, ) # call the routine with no fixed_features elapsed = time.monotonic() - start_time clamped_candidates, batch_acquisition = gen_candidates_torch( initial_conditions=subproblem.initial_conditions, acquisition_function=subproblem.acquisition_function, lower_bounds=subproblem.lower_bounds, upper_bounds=subproblem.upper_bounds, optimizer=optimizer, options=options, callback=callback, fixed_features=None, timeout_sec=timeout_sec - elapsed if timeout_sec else None, ) clamped_candidates = subproblem.acquisition_function._construct_X_full( clamped_candidates ) return clamped_candidates, batch_acquisition _clamp = partial(columnwise_clamp, lower=lower_bounds, upper=upper_bounds) clamped_candidates = _clamp(initial_conditions).requires_grad_(True) _optimizer = optimizer(params=[clamped_candidates], lr=options.get("lr", 0.025)) i = 0 stop = False stopping_criterion = ExpMAStoppingCriterion(**options) while not stop: i += 1 with torch.no_grad(): X = _clamp(clamped_candidates).requires_grad_(True) loss = -acquisition_function(X).sum() grad = torch.autograd.grad(loss, X)[0] if callback: callback(i, loss, grad) def assign_grad(): _optimizer.zero_grad() clamped_candidates.grad = grad return loss _optimizer.step(assign_grad) stop = stopping_criterion.evaluate(fvals=loss.detach()) if timeout_sec is not None: runtime = time.monotonic() - start_time if runtime > timeout_sec: stop = True logger.info(f"Optimization timed out after {runtime} seconds.") clamped_candidates = _clamp(clamped_candidates) with torch.no_grad(): batch_acquisition = acquisition_function(clamped_candidates) return clamped_candidates, batch_acquisition
[docs]def get_best_candidates(batch_candidates: Tensor, batch_values: Tensor) -> Tensor: r"""Extract best (q-batch) candidate from batch of candidates Args: batch_candidates: A `b x q x d` tensor of `b` q-batch candidates, or a `b x d` tensor of `b` single-point candidates. batch_values: A tensor with `b` elements containing the value of the respective candidate (higher is better). Returns: A tensor of size `q x d` (if q-batch mode) or `d` from batch_candidates with the highest associated value. Example: >>> qEI = qExpectedImprovement(model, best_f=0.2) >>> bounds = torch.tensor([[0., 0.], [1., 2.]]) >>> Xinit = gen_batch_initial_conditions( >>> qEI, bounds, q=3, num_restarts=25, raw_samples=500 >>> ) >>> batch_candidates, batch_acq_values = gen_candidates_scipy( initial_conditions=Xinit, acquisition_function=qEI, lower_bounds=bounds[0], upper_bounds=bounds[1], ) >>> best_candidates = get_best_candidates(batch_candidates, batch_acq_values) """ best = torch.argmax(batch_values.view(-1), dim=0) return batch_candidates[best]
def _process_scipy_result(res: OptimizeResult, options: Dict[str, Any]) -> None: r"""Process scipy optimization result to produce relevant logs and warnings.""" if "success" not in res.keys() or "status" not in res.keys(): with warnings.catch_warnings(): warnings.simplefilter("always", category=OptimizationWarning) warnings.warn( "Optimization failed within `scipy.optimize.minimize` with no " "status returned to `res.`", OptimizationWarning, ) elif not res.success: if ( "ITERATIONS REACHED LIMIT" in res.message or "Iteration limit reached" in res.message ): logger.info( "`scipy.minimize` exited by reaching the iteration limit of " f"`maxiter: {options.get('maxiter')}`." ) elif "EVALUATIONS EXCEEDS LIMIT" in res.message: logger.info( "`scipy.minimize` exited by reaching the function evaluation limit of " f"`maxfun: {options.get('maxfun')}`." ) elif "Optimization timed out after" in res.message: logger.info(res.message) else: with warnings.catch_warnings(): warnings.simplefilter("always", category=OptimizationWarning) warnings.warn( f"Optimization failed within `scipy.optimize.minimize` with status " f"{res.status} and message {res.message}.", OptimizationWarning, )
[docs]def minimize(*args, **kwargs): """Deprecated, use `botorch.generation.gen.minimize_with_timeout`.""" # TODO: Reap this after the next stable Ax release. warnings.warn( "`botorch.generation.gen.minimize` is an alias for " "`botorch.generation.gen.minimize_with_timeout` and will " "be removed in a future release.", DeprecationWarning, ) return minimize_with_timeout(*args, **kwargs)