botorch.models¶

Base Model API¶

Abstract base module for all BoTorch models.

This module contains Model, the abstract base class for all BoTorch models, and ModelList, a container for a list of Models.

class botorch.models.model.Model(*args, **kwargs)[source]¶

Bases: Module, ABC

Abstract base class for BoTorch models.

The Model base class cannot be used directly; it only defines an API for other BoTorch models.

Model subclasses torch.nn.Module. While a Module is most typically encountered as a representation of a neural network layer, it can be used more generally: see documentation on custom NN Modules.

Module provides several pieces of useful functionality: A Model’s attributes of Tensor or Module type are automatically registered so they can be moved and/or cast with the to method, automatically differentiated, and used with CUDA.

_has_transformed_inputs¶

A boolean denoting whether train_inputs are currently stored as transformed or not.

Type:

bool

_original_train_inputs¶

A Tensor storing the original train inputs for use in _revert_to_original_inputs. Note that this is necessary since transform / untransform cycle introduces numerical errors which lead to upstream errors during training.

Type:

torch.Tensor | None

_is_fully_bayesian¶

Returns True if this is a fully Bayesian model.

_is_ensemble¶

Returns True if this model consists of multiple models that are stored in an additional batch dimension. This is true for the fully Bayesian models.

Initializes internal Module state, shared by both nn.Module and ScriptModule.

abstract posterior(X, output_indices=None, observation_noise=False, posterior_transform=None, **kwargs)[source]¶

Computes the posterior over model outputs at the provided points.

Note: The input transforms should be applied here using

self.transform_inputs(X) after the self.eval() call and before any model.forward or model.likelihood calls.

Parameters:

• X (Tensor) – A b x q x d-dim Tensor, where d is the dimension of the feature space, q is the number of points considered jointly, and b is the batch dimension.

• output_indices (Optional[List[int]]) – A list of indices, corresponding to the outputs over which to compute the posterior (if the model is multi-output). Can be used to speed up computation if only a subset of the model’s outputs are required for optimization. If omitted, computes the posterior over all model outputs.

• observation_noise (Union[bool, Tensor]) – For models with an inferred noise level, if True, include observation noise. For models with an observed noise level, this must be a model_batch_shape x 1 x m-dim tensor or a model_batch_shape x n’ x m-dim tensor containing the average noise for each batch and output. noise must be in the outcome-transformed space if an outcome transform is used.

• posterior_transform (Optional[PosteriorTransform]) – An optional PosteriorTransform.

• kwargs (Any) –

Returns:

A Posterior object, representing a batch of b joint distributions over q points and m outputs each.

Return type:

Posterior

property batch_shape: Size¶

The batch shape of the model.

This is a batch shape from an I/O perspective, independent of the internal representation of the model (as e.g. in BatchedMultiOutputGPyTorchModel). For a model with m outputs, a test_batch_shape x q x d-shaped input X to the posterior method returns a Posterior object over an output of shape broadcast(test_batch_shape, model.batch_shape) x q x m.

property num_outputs: int¶

The number of outputs of the model.

subset_output(idcs)[source]¶

Subset the model along the output dimension.

Parameters:

idcs (List[int]) – The output indices to subset the model to.

Returns:

A Model object of the same type and with the same parameters as the current model, subset to the specified output indices.

Return type:

Model

condition_on_observations(X, Y, **kwargs)[source]¶

Condition the model on new observations.

Parameters:

• X (Tensor) – A batch_shape x n’ x d-dim Tensor, where d is the dimension of the feature space, n’ is the number of points per batch, and batch_shape is the batch shape (must be compatible with the batch shape of the model).

• Y (Tensor) – A batch_shape’ x n’ x m-dim Tensor, where m is the number of model outputs, n’ is the number of points per batch, and batch_shape’ is the batch shape of the observations. batch_shape’ must be broadcastable to batch_shape using standard broadcasting semantics. If Y has fewer batch dimensions than X, it is assumed that the missing batch dimensions are the same for all Y.

• kwargs (Any) –

Returns:

A Model object of the same type, representing the original model conditioned on the new observations (X, Y) (and possibly noise observations passed in via kwargs).

Return type:

Model

classmethod construct_inputs(training_data, **kwargs)[source]¶

Construct Model keyword arguments from a dict of SupervisedDataset.

Parameters:

• training_data (SupervisedDataset) –

• kwargs (Any) –

Return type:

Dict[str, Any]

transform_inputs(X, input_transform=None)[source]¶

Transform inputs.

Parameters:

• X (Tensor) – A tensor of inputs

• input_transform (Module | None) – A Module that performs the input transformation.

Returns:

A tensor of transformed inputs

Return type:

Tensor

eval()[source]¶

Puts the model in eval mode and sets the transformed inputs.

Return type:

Model

train(mode=True)[source]¶

Put the model in train mode. Reverts to the original inputs if in train mode (mode=True) or sets transformed inputs if in eval mode (mode=False).

Parameters:

mode (bool) – A boolean denoting whether to put in train or eval mode. If False, model is put in eval mode.

Return type:

Model

property dtypes_of_buffers: Set[dtype]¶

class botorch.models.model.FantasizeMixin[source]¶

Bases: ABC

Mixin to add a fantasize method to a Model.

Example

class BaseModel:

def __init__(self, …): def condition_on_observations(self, …): def posterior(self, …): def transform_inputs(self, …):

class ModelThatCanFantasize(BaseModel, FantasizeMixin):

def __init__(self, args):

super().__init__(args)

model = ModelThatCanFantasize(…) model.fantasize(X)

abstract condition_on_observations(X, Y, **kwargs)[source]¶

Classes that inherit from FantasizeMixin must implement a condition_on_observations method.

Parameters:

• self (TFantasizeMixin) –

• X (Tensor) –

• Y (Tensor) –

• kwargs (Any) –

Return type:

TFantasizeMixin

abstract posterior(X, *args, observation_noise=False, **kwargs)[source]¶

Classes that inherit from FantasizeMixin must implement a posterior method.

Parameters:

• X (Tensor) –

• observation_noise (bool) –

• kwargs (Any) –

Return type:

Posterior

abstract transform_inputs(X, input_transform=None)[source]¶

Classes that inherit from FantasizeMixin must implement a transform_inputs method.

Parameters:

• X (Tensor) –

• input_transform (Module | None) –

Return type:

Tensor

fantasize(X, sampler, observation_noise=None, **kwargs)[source]¶

Construct a fantasy model.

Constructs a fantasy model in the following fashion: (1) compute the model posterior at X, including observation noise. If observation_noise is a Tensor, use it directly as the observation noise to add. (2) sample from this posterior (using sampler) to generate “fake” observations. (3) condition the model on the new fake observations.

Parameters:

• X (Tensor) – A batch_shape x n’ x d-dim Tensor, where d is the dimension of the feature space, n’ is the number of points per batch, and batch_shape is the batch shape (must be compatible with the batch shape of the model).

• sampler (MCSampler) – The sampler used for sampling from the posterior at X.

• observation_noise (Tensor | None) – A model_batch_shape x 1 x m-dim tensor or a model_batch_shape x n’ x m-dim tensor containing the average noise for each batch and output, where m is the number of outputs. noise must be in the outcome-transformed space if an outcome transform is used. If None and using an inferred noise likelihood, the noise will be the inferred noise level. If using a fixed noise likelihood, the mean across the observation noise in the training data is used as observation noise.

• kwargs (Any) – Will be passed to model.condition_on_observations

• self (TFantasizeMixin) –

Returns:

The constructed fantasy model.

Return type:

TFantasizeMixin

class botorch.models.model.ModelList(*models)[source]¶

Bases: Model

A multi-output Model represented by a list of independent models.

All BoTorch models are acceptable as inputs. The cost of this flexibility is that ModelList does not support all methods that may be implemented by its component models. One use case for ModelList is combining a regression model and a deterministic model in one multi-output container model, e.g. for cost-aware or multi-objective optimization where one of the outcomes is a deterministic function of the inputs.

Parameters:

*models (Model) – A variable number of models.

Example

>>> m_1 = SingleTaskGP(train_X, train_Y)
>>> m_2 = GenericDeterministicModel(lambda x: x.sum(dim=-1))
>>> m_12 = ModelList(m_1, m_2)
>>> m_12.posterior(test_X)

posterior(X, output_indices=None, observation_noise=False, posterior_transform=None, **kwargs)[source]¶

Computes the posterior over model outputs at the provided points.

Note: The input transforms should be applied here using

self.transform_inputs(X) after the self.eval() call and before any model.forward or model.likelihood calls.

Parameters:

• X (Tensor) – A b x q x d-dim Tensor, where d is the dimension of the feature space, q is the number of points considered jointly, and b is the batch dimension.

• output_indices (List[int] | None) – A list of indices, corresponding to the outputs over which to compute the posterior (if the model is multi-output). Can be used to speed up computation if only a subset of the model’s outputs are required for optimization. If omitted, computes the posterior over all model outputs.

• observation_noise (bool | Tensor) – If True, add the observation noise from the respective likelihoods to the posterior. If a Tensor of shape (batch_shape) x q x m, use it directly as the observation noise (with observation_noise[…,i] added to the posterior of the i-th model). observation_noise is assumed to be in the outcome-transformed space, if an outcome transform is used by the model.

• posterior_transform (Callable[[PosteriorList], Posterior] | None) – An optional PosteriorTransform.

• kwargs (Any) –

Returns:

A Posterior object, representing a batch of b joint distributions over q points and m outputs each.

Return type:

Posterior

property batch_shape: Size¶

The batch shape of the model.

This is a batch shape from an I/O perspective, independent of the internal representation of the model (as e.g. in BatchedMultiOutputGPyTorchModel). For a model with m outputs, a test_batch_shape x q x d-shaped input X to the posterior method returns a Posterior object over an output of shape broadcast(test_batch_shape, model.batch_shape) x q x m.

property num_outputs: int¶

The number of outputs of the model.

Equal to the sum of the number of outputs of the individual models in the ModelList.

subset_output(idcs)[source]¶

Subset the model along the output dimension.

Parameters:

idcs (List[int]) – The output indices to subset the model to. Relative to the overall number of outputs of the model.

Returns:

A Model (either a ModelList or one of the submodels) with the outputs subset to the indices in idcs.

Return type:

Model

Internally, this drops (if single-output) or subsets (if multi-output) the constitutent models and returns them as a ModelList. If the result is a single (possibly subset) model from the list, returns this model (instead of forming a degenerate singe-model ModelList). For instance, if m = ModelList(m1, m2) with m1 a two-output model and m2 a single-output model, then m.subset_output([1]) ` will return the model `m1 subset to its second output.

transform_inputs(X)[source]¶

Individually transform the inputs for each model.

Parameters:

X (Tensor) – A tensor of inputs.

Returns:

A list of tensors of transformed inputs.

Return type:

List[Tensor]

load_state_dict(state_dict, strict=True)[source]¶

Initialize the fully Bayesian models before loading the state dict.

Parameters:

• state_dict (Mapping[str, Any]) –

• strict (bool) –

Return type:

None

fantasize(X, sampler, observation_noise=None, evaluation_mask=None, **kwargs)[source]¶

Construct a fantasy model.

Constructs a fantasy model in the following fashion: (1) compute the model posterior at X (including observation noise if observation_noise=True). (2) sample from this posterior (using sampler) to generate “fake” observations. (3) condition the model on the new fake observations.

Parameters:

• X (Tensor) – A batch_shape x n’ x d-dim Tensor, where d is the dimension of the feature space, n’ is the number of points per batch, and batch_shape is the batch shape (must be compatible with the batch shape of the model).

• sampler (MCSampler) – The sampler used for sampling from the posterior at X. If evaluation_mask is not None, this must be a ListSampler.

• observation_noise (Tensor | None) – A model_batch_shape x 1 x m-dim tensor or a model_batch_shape x n’ x m-dim tensor containing the average noise for each batch and output, where m is the number of outputs. noise must be in the outcome-transformed space if an outcome transform is used. If None, then the noise will be the inferred noise level.

• evaluation_mask (Tensor | None) – A n’ x m-dim tensor of booleans indicating which outputs should be fantasized for a given design. This uses the same evaluation mask for all batches.

• kwargs (Any) –

Returns:

The constructed fantasy model.

Return type:

Model

class botorch.models.model.ModelDict(**models)[source]¶

Bases: ModuleDict

A lightweight container mapping model names to models.

Initialize a ModelDict.

Parameters:

models (Model) – An arbitrary number of models. Each model can be any type of BoTorch Model, including multi-output models and ModelList.

GPyTorch Model API¶

Abstract model class for all GPyTorch-based botorch models.

To implement your own, simply inherit from both the provided classes and a GPyTorch Model class such as an ExactGP.

Deterministic Model API¶

Deterministic Models: Simple wrappers that allow the usage of deterministic mappings via the BoTorch Model and Posterior APIs.

Deterministic models are useful for expressing known input-output relationships within the BoTorch Model API. This is useful e.g. for multi-objective optimization with known objective functions (e.g. the number of parameters of a Neural Network in the context of Neural Architecture Search is usually a known function of the architecture configuration), or to encode cost functions for cost-aware acquisition utilities. Cost-aware optimization is desirable when evaluations have a cost that is heterogeneous, either in the inputs X or in a particular fidelity parameter that directly encodes the fidelity of the observation. GenericDeterministicModel supports arbitrary deterministic functions, while AffineFidelityCostModel is a particular cost model for multi-fidelity optimization. Other use cases of deterministic models include representing approximate GP sample paths, e.g. random Fourier features obtained with get_gp_samples, which allows them to be substituted in acquisition functions or in other places where a Model is expected.

class botorch.models.deterministic.GenericDeterministicModel(f, num_outputs=1)[source]¶

Bases: DeterministicModel

A generic deterministic model constructed from a callable.

Example

>>> f = lambda x: x.sum(dim=-1, keep_dims=True)
>>> model = GenericDeterministicModel(f)

Parameters:

• f (Callable[[Tensor], Tensor]) – A callable mapping a batch_shape x n x d-dim input tensor X to a batch_shape x n x m-dimensional output tensor (the outcome dimension m must be explicit, even if m=1).

• num_outputs (int) – The number of outputs m.

subset_output(idcs)[source]¶

Subset the model along the output dimension.

Parameters:

idcs (List[int]) – The output indices to subset the model to.

Returns:

The current model, subset to the specified output indices.

Return type:

GenericDeterministicModel

forward(X)[source]¶

Compute the (deterministic) model output at X.

Parameters:

X (Tensor) – A batch_shape x n x d-dim input tensor X.

Returns:

A batch_shape x n x m-dimensional output tensor.

Return type:

Tensor

class botorch.models.deterministic.AffineDeterministicModel(a, b=0.01)[source]¶

Bases: DeterministicModel

An affine deterministic model.

Affine deterministic model from weights and offset terms.

A simple model of the form

y[…, m] = b[m] + sum_{i=1}^d a[i, m] * X[…, i]

Parameters:

• a (Tensor) – A d x m-dim tensor of linear weights, where m is the number of outputs (must be explicit if m=1)

• b (Union[Tensor, float]) – The affine (offset) term. Either a float (for single-output models or if the offset is shared), or a m-dim tensor (with different offset values for for the m different outputs).

subset_output(idcs)[source]¶

Subset the model along the output dimension.

Parameters:

idcs (List[int]) – The output indices to subset the model to.

Returns:

The current model, subset to the specified output indices.

Return type:

AffineDeterministicModel

forward(X)[source]¶

Compute the (deterministic) model output at X.

Parameters:

X (Tensor) – A batch_shape x n x d-dim input tensor X.

Returns:

A batch_shape x n x m-dimensional output tensor (the outcome dimension m must be explicit if m=1).

Return type:

Tensor

class botorch.models.deterministic.PosteriorMeanModel(model)[source]¶

Bases: DeterministicModel

A deterministic model that always returns the posterior mean.

Parameters:

model (Model) – The base model.

forward(X)[source]¶

Compute the (deterministic) model output at X.

Parameters:

X (Tensor) – A batch_shape x n x d-dim input tensor X.

Returns:

A batch_shape x n x m-dimensional output tensor (the outcome dimension m must be explicit if m=1).

Return type:

Tensor

class botorch.models.deterministic.FixedSingleSampleModel(model, w=None, dim=None, jitter=1e-08, dtype=None, device=None)[source]¶

Bases: DeterministicModel

A deterministic model defined by a single sample w.

Given a base model f and a fixed sample w, the model always outputs

y = f_mean(x) + f_stddev(x) * w

We assume the outcomes are uncorrelated here.

Parameters:

• model (Model) – The base model.

• w (Optional[Tensor]) – A 1-d tensor with length model.num_outputs. If None, draw it from a standard normal distribution.

• dim (Optional[int]) – dimensionality of w. If None and w is not provided, draw w samples of size model.num_outputs.

• jitter (Optional[float]) – jitter value to be added for numerical stability, 1e-8 by default.

• dtype (Optional[torch.dtype]) – dtype for w if specified

• device (Optional[torch.dtype]) – device for w if specified

forward(X)[source]¶

Compute the (deterministic) model output at X.

Parameters:

X (Tensor) – A batch_shape x n x d-dim input tensor X.

Returns:

A batch_shape x n x m-dimensional output tensor (the outcome dimension m must be explicit if m=1).

Return type:

Tensor

Ensemble Model API¶

Ensemble Models: Simple wrappers that allow the usage of ensembles via the BoTorch Model and Posterior APIs.

Cost Models (for cost-aware optimization)¶

Cost models to be used with multi-fidelity optimization.

Cost are useful for defining known cost functions when the cost of an evaluation is heterogeneous in fidelity. For a full worked example, see the tutorial on continuous multi-fidelity Bayesian Optimization.

class botorch.models.cost.AffineFidelityCostModel(fidelity_weights=None, fixed_cost=0.01)[source]¶

Bases: DeterministicModel

Deterministic, affine cost model operating on fidelity parameters.

For each (q-batch) element of a candidate set X, this module computes a cost of the form

cost = fixed_cost + sum_j weights[j] * X[fidelity_dims[j]]

For a full worked example, see the tutorial on continuous multi-fidelity Bayesian Optimization.

Example

>>> from botorch.models import AffineFidelityCostModel
>>> from botorch.acquisition.cost_aware import InverseCostWeightedUtility
>>> cost_model = AffineFidelityCostModel(
>>>    fidelity_weights={6: 1.0}, fixed_cost=5.0
>>> )
>>> cost_aware_utility = InverseCostWeightedUtility(cost_model=cost_model)

Parameters:

• fidelity_weights (Optional[Dict[int, float]]) – A dictionary mapping a subset of columns of X (the fidelity parameters) to its associated weight in the affine cost expression. If omitted, assumes that the last column of X is the fidelity parameter with a weight of 1.0.

• fixed_cost (float) – The fixed cost of running a single candidate point (i.e. an element of a q-batch).

forward(X)[source]¶

Evaluate the cost on a candidate set X.

Computes a cost of the form

cost = fixed_cost + sum_j weights[j] * X[fidelity_dims[j]]

for each element of the q-batch

Parameters:

X (Tensor) – A batch_shape x q x d’-dim tensor of candidate points.

Returns:

A batch_shape x q x 1-dim tensor of costs.

Return type:

Tensor

class botorch.models.cost.FixedCostModel(fixed_cost)[source]¶

Bases: DeterministicModel

Deterministic, fixed cost model.

For each (q-batch) element of a candidate set X, this module computes a fixed cost per objective.

Parameters:

fixed_cost (Tensor) – A m-dim tensor containing the fixed cost of evaluating each objective.

forward(X)[source]¶

Evaluate the cost on a candidate set X.

Computes the fixed cost of evaluating each objective for each element of the q-batch.

Parameters:

X (Tensor) – A batch_shape x q x d’-dim tensor of candidate points.

Returns:

A batch_shape x q x m-dim tensor of costs.

Return type:

Tensor

GP Regression Models¶

Gaussian Process Regression models based on GPyTorch models.

These models are often a good starting point and are further documented in the tutorials.

SingleTaskGP, FixedNoiseGP, and HeteroskedasticSingleTaskGP are all single-task exact GP models, differing in how they treat noise. They use relatively strong priors on the Kernel hyperparameters, which work best when covariates are normalized to the unit cube and outcomes are standardized (zero mean, unit variance).

These models all work in batch mode (each batch having its own hyperparameters). When the training observations include multiple outputs, these models use batching to model outputs independently.

These models all support multiple outputs. However, as single-task models, SingleTaskGP, FixedNoiseGP, and HeteroskedasticSingleTaskGP should be used only when the outputs are independent and all use the same training data. If outputs are independent and outputs have different training data, use the ModelListGP. When modeling correlations between outputs, use a multi-task model like MultiTaskGP.

class botorch.models.gp_regression.SingleTaskGP(train_X, train_Y, train_Yvar=None, likelihood=None, covar_module=None, mean_module=None, outcome_transform=None, input_transform=None)[source]¶

Bases: BatchedMultiOutputGPyTorchModel, ExactGP, FantasizeMixin

A single-task exact GP model, supporting both known and inferred noise levels.

A single-task exact GP using relatively strong priors on the Kernel hyperparameters, which work best when covariates are normalized to the unit cube and outcomes are standardized (zero mean, unit variance).

This model works in batch mode (each batch having its own hyperparameters). When the training observations include multiple outputs, this model will use batching to model outputs independently.

Use this model when you have independent output(s) and all outputs use the same training data. If outputs are independent and outputs have different training data, use the ModelListGP. When modeling correlations between outputs, use the MultiTaskGP.

An example of a case in which noise levels are known is online experimentation, where noise can be measured using the variability of different observations from the same arm, or provided by outside software. Another use case is simulation optimization, where the evaluation can provide variance estimates, perhaps from bootstrapping. In any case, these noise levels can be provided to SingleTaskGP as train_Yvar.

SingleTaskGP can also be used when the observations are known to be noise-free. Noise-free observations can be modeled using arbitrarily small noise values, such as train_Yvar=torch.full_like(train_Y, 1e-6).

Example

Model with inferred noise levels:

>>> import torch
>>> from botorch.models.gp_regression import SingleTaskGP
>>> from botorch.models.transforms.outcome import Standardize
>>>
>>> train_X = torch.rand(20, 2, dtype=torch.float64)
>>> train_Y = torch.sin(train_X).sum(dim=1, keepdim=True)
>>> outcome_transform = Standardize(m=1)
>>> inferred_noise_model = SingleTaskGP(
...     train_X, train_Y, outcome_transform=outcome_transform,
... )

Model with a known observation variance of 0.2:

>>> train_Yvar = torch.full_like(train_Y, 0.2)
>>> observed_noise_model = SingleTaskGP(
...     train_X, train_Y, train_Yvar,
...     outcome_transform=outcome_transform,
... )

With noise-free observations:

>>> train_Yvar = torch.full_like(train_Y, 1e-6)
>>> noise_free_model = SingleTaskGP(
...     train_X, train_Y, train_Yvar,
...     outcome_transform=outcome_transform,
... )

Parameters:

• train_X (Tensor) – A batch_shape x n x d tensor of training features.

• train_Y (Tensor) – A batch_shape x n x m tensor of training observations.

• train_Yvar (Optional[Tensor]) – An optional batch_shape x n x m tensor of observed measurement noise.

• likelihood (Optional[Likelihood]) – A likelihood. If omitted, use a standard GaussianLikelihood with inferred noise level if train_Yvar is None, and a FixedNoiseGaussianLikelihood with the given noise observations if train_Yvar is not None.

• covar_module (Optional[Module]) – The module computing the covariance (Kernel) matrix. If omitted, use a MaternKernel.

• mean_module (Optional[Mean]) – The mean function to be used. If omitted, use a ConstantMean.

• outcome_transform (Optional[OutcomeTransform]) – An outcome transform that is applied to the training data during instantiation and to the posterior during inference (that is, the Posterior obtained by calling .posterior on the model will be on the original scale).

• input_transform (Optional[InputTransform]) – An input transform that is applied in the model’s forward pass.

forward(x)[source]¶

Defines the computation performed at every call.

Should be overridden by all subclasses.

Note

Although the recipe for forward pass needs to be defined within this function, one should call the Module instance afterwards instead of this since the former takes care of running the registered hooks while the latter silently ignores them.

Parameters:

x (Tensor) –

Return type:

MultivariateNormal

class botorch.models.gp_regression.FixedNoiseGP(train_X, train_Y, train_Yvar, covar_module=None, mean_module=None, outcome_transform=None, input_transform=None)[source]¶

Bases: SingleTaskGP

A single-task exact GP model using fixed noise levels.

DEPRECATED: FixedNoiseGP has been merged into SingleTaskGP. Please use SingleTaskGP with train_Yvar instead. Will be removed in a future release (~v0.12).

DEPRECATED. See SingleTaskGP.

Parameters:

• train_X (Tensor) –

• train_Y (Tensor) –

• train_Yvar (Tensor) –

• covar_module (Optional[Module]) –

• mean_module (Optional[Mean]) –

• outcome_transform (Optional[OutcomeTransform]) –

• input_transform (Optional[InputTransform]) –

class botorch.models.gp_regression.HeteroskedasticSingleTaskGP(train_X, train_Y, train_Yvar, outcome_transform=None, input_transform=None)[source]¶

Bases: BatchedMultiOutputGPyTorchModel, ExactGP

A single-task exact GP model using a heteroskedastic noise model.

This model differs from SingleTaskGP in that noise levels are provided rather than inferred, and differs from FixedNoiseGP in that it can predict noise levels out of sample, because it internally wraps another GP (a SingleTaskGP) to model the observation noise. Noise levels must be provided to HeteroskedasticSingleTaskGP as train_Yvar.

Examples of cases in which noise levels are known include online experimentation and simulation optimization.

Example

>>> train_X = torch.rand(20, 2)
>>> train_Y = torch.sin(train_X).sum(dim=1, keepdim=True)
>>> se = torch.linalg.norm(train_X, dim=1, keepdim=True)
>>> train_Yvar = 0.1 + se * torch.rand_like(train_Y)
>>> model = HeteroskedasticSingleTaskGP(train_X, train_Y, train_Yvar)

Parameters:

• train_X (Tensor) – A batch_shape x n x d tensor of training features.

• train_Y (Tensor) – A batch_shape x n x m tensor of training observations.

• train_Yvar (Tensor) – A batch_shape x n x m tensor of observed measurement noise.

• outcome_transform (Optional[OutcomeTransform]) – An outcome transform that is applied to the training data during instantiation and to the posterior during inference (that is, the Posterior obtained by calling .posterior on the model will be on the original scale). Note that the noise model internally log-transforms the variances, which will happen after this transform is applied.

• input_transform (Optional[InputTransform]) – An input transfrom that is applied in the model’s forward pass.

condition_on_observations(*_, **__)[source]¶

Condition the model on new observations.

Parameters:

• X – A batch_shape x n’ x d-dim Tensor, where d is the dimension of the feature space, m is the number of points per batch, and batch_shape is the batch shape (must be compatible with the batch shape of the model).

• Y – A batch_shape’ x n’ x m-dim Tensor, where m is the number of model outputs, n’ is the number of points per batch, and batch_shape’ is the batch shape of the observations. batch_shape’ must be broadcastable to batch_shape using standard broadcasting semantics. If Y has fewer batch dimensions than X, its is assumed that the missing batch dimensions are the same for all Y.

Returns:

A BatchedMultiOutputGPyTorchModel object of the same type with n + n’ training examples, representing the original model conditioned on the new observations (X, Y) (and possibly noise observations passed in via kwargs).

Return type:

NoReturn

Example

>>> train_X = torch.rand(20, 2)
>>> train_Y = torch.cat(
>>>     [torch.sin(train_X[:, 0]), torch.cos(train_X[:, 1])], -1
>>> )
>>> model = SingleTaskGP(train_X, train_Y)
>>> new_X = torch.rand(5, 2)
>>> new_Y = torch.cat([torch.sin(new_X[:, 0]), torch.cos(new_X[:, 1])], -1)
>>> model = model.condition_on_observations(X=new_X, Y=new_Y)

subset_output(idcs)[source]¶

Subset the model along the output dimension.

Parameters:

idcs – The output indices to subset the model to.

Returns:

The current model, subset to the specified output indices.

Return type:

NoReturn

forward(x)[source]¶

Defines the computation performed at every call.

Should be overridden by all subclasses.

Note

Although the recipe for forward pass needs to be defined within this function, one should call the Module instance afterwards instead of this since the former takes care of running the registered hooks while the latter silently ignores them.

Parameters:

x (Tensor) –

Return type:

MultivariateNormal

Multi-Fidelity GP Regression Models¶

Multi-Fidelity Gaussian Process Regression models based on GPyTorch models.

For more on Multi-Fidelity BO, see the tutorial.

A common use case of multi-fidelity regression modeling is optimizing a “high-fidelity” function that is expensive to simulate when you have access to one or more cheaper “lower-fidelity” versions that are not fully accurate but are correlated with the high-fidelity function. The multi-fidelity model models both the low- and high-fidelity functions together, including the correlation between them, which can help you predict and optimize the high-fidelity function without having to do too many expensive high-fidelity evaluations.

class botorch.models.gp_regression_fidelity.SingleTaskMultiFidelityGP(train_X, train_Y, train_Yvar=None, iteration_fidelity=None, data_fidelities=None, data_fidelity=None, linear_truncated=True, nu=2.5, likelihood=None, outcome_transform=None, input_transform=None)[source]¶

Bases: SingleTaskGP

A single task multi-fidelity GP model.

A SingleTaskGP model using a DownsamplingKernel for the data fidelity parameter (if present) and an ExponentialDecayKernel for the iteration fidelity parameter (if present).

This kernel is described in [Wu2019mf].

Example

>>> train_X = torch.rand(20, 4)
>>> train_Y = train_X.pow(2).sum(dim=-1, keepdim=True)
>>> model = SingleTaskMultiFidelityGP(train_X, train_Y, data_fidelities=[3])

Parameters:

• train_X (Tensor) – A batch_shape x n x (d + s) tensor of training features, where s is the dimension of the fidelity parameters (either one or two).

• train_Y (Tensor) – A batch_shape x n x m tensor of training observations.

• train_Yvar (Optional[Tensor]) – An optional batch_shape x n x m tensor of observed measurement noise.

• iteration_fidelity (Optional[int]) – The column index for the training iteration fidelity parameter (optional).

• data_fidelities (Optional[Union[List[int], Tuple[int]]]) – The column indices for the downsampling fidelity parameter. If a list/tuple of indices is provided, a kernel will be constructed for each index (optional).

• data_fidelity (Optional[int]) – The column index for the downsampling fidelity parameter (optional). Deprecated in favor of data_fidelities.

• linear_truncated (bool) – If True, use a LinearTruncatedFidelityKernel instead of the default kernel.

• nu (float) – The smoothness parameter for the Matern kernel: either 1/2, 3/2, or 5/2. Only used when linear_truncated=True.

• likelihood (Optional[Likelihood]) – A likelihood. If omitted, use a standard GaussianLikelihood with inferred noise level.

• outcome_transform (Optional[OutcomeTransform]) – An outcome transform that is applied to the training data during instantiation and to the posterior during inference (that is, the Posterior obtained by calling .posterior on the model will be on the original scale).

• input_transform (Optional[InputTransform]) – An input transform that is applied in the model’s forward pass.

classmethod construct_inputs(training_data, fidelity_features, **kwargs)[source]¶

Construct Model keyword arguments from a dict of SupervisedDataset.

Parameters:

• training_data (SupervisedDataset) – Dictionary of SupervisedDataset.

• fidelity_features (List[int]) – Index of fidelity parameter as input columns.

Return type:

Dict[str, Any]

class botorch.models.gp_regression_fidelity.FixedNoiseMultiFidelityGP(train_X, train_Y, train_Yvar, iteration_fidelity=None, data_fidelities=None, data_fidelity=None, linear_truncated=True, nu=2.5, outcome_transform=None, input_transform=None)[source]¶

Bases: SingleTaskMultiFidelityGP

DEPRECATED: Use SingleTaskMultiFidelityGP instead. Will be removed in a future release (~v0.11).

Parameters:

• train_X (Tensor) –

• train_Y (Tensor) –

• train_Yvar (Tensor) –

• iteration_fidelity (Optional[int]) –

• data_fidelities (Optional[Union[List[int], Tuple[int]]]) –

• data_fidelity (Optional[int]) –

• linear_truncated (bool) –

• nu (float) –

• outcome_transform (Optional[OutcomeTransform]) –

• input_transform (Optional[InputTransform]) –

GP Regression Models for Mixed Parameter Spaces¶

class botorch.models.gp_regression_mixed.MixedSingleTaskGP(train_X, train_Y, cat_dims, train_Yvar=None, cont_kernel_factory=None, likelihood=None, outcome_transform=None, input_transform=None)[source]¶

Bases: SingleTaskGP

A single-task exact GP model for mixed search spaces.

This model is similar to SingleTaskGP, but supports mixed search spaces, which combine discrete and continuous features, as well as solely discrete spaces. It uses a kernel that combines a CategoricalKernel (based on Hamming distances) and a regular kernel into a kernel of the form

K((x1, c1), (x2, c2)) =

K_cont_1(x1, x2) + K_cat_1(c1, c2) + K_cont_2(x1, x2) * K_cat_2(c1, c2)

where xi and ci are the continuous and categorical features of the input, respectively. The suffix _i indicates that we fit different lengthscales for the kernels in the sum and product terms.

Since this model does not provide gradients for the categorical features, optimization of the acquisition function will need to be performed in a mixed fashion, i.e., treating the categorical features properly as discrete optimization variables. We recommend using optimize_acqf_mixed.

Example

>>> train_X = torch.cat(
        [torch.rand(20, 2), torch.randint(3, (20, 1))], dim=-1)
    )
>>> train_Y = (
        torch.sin(train_X[..., :-1]).sum(dim=1, keepdim=True)
        + train_X[..., -1:]
    )
>>> model = MixedSingleTaskGP(train_X, train_Y, cat_dims=[-1])

A single-task exact GP model supporting categorical parameters.

Parameters:

• train_X (Tensor) – A batch_shape x n x d tensor of training features.

• train_Y (Tensor) – A batch_shape x n x m tensor of training observations.

• cat_dims (List[int]) – A list of indices corresponding to the columns of the input X that should be considered categorical features.

• train_Yvar (Optional[Tensor]) – An optional batch_shape x n x m tensor of observed measurement noise.

• cont_kernel_factory (Optional[Callable[[torch.Size, int, List[int]], Kernel]]) – A method that accepts batch_shape, ard_num_dims, and active_dims arguments and returns an instantiated GPyTorch Kernel object to be used as the base kernel for the continuous dimensions. If omitted, this model uses a Matern-2.5 kernel as the kernel for the ordinal parameters.

• likelihood (Optional[Likelihood]) – A likelihood. If omitted, use a standard GaussianLikelihood with inferred noise level.

• outcome_transform (Optional[OutcomeTransform]) – An outcome transform that is applied to the training data during instantiation and to the posterior during inference (that is, the Posterior obtained by calling .posterior on the model will be on the original scale).

• input_transform (Optional[InputTransform]) – An input transform that is applied in the model’s forward pass. Only input transforms are allowed which do not transform the categorical dimensions. If you want to use it for example in combination with a OneHotToNumeric input transform one has to instantiate the transform with transform_on_train == False and pass in the already transformed input.

classmethod construct_inputs(training_data, categorical_features, likelihood=None, **kwargs)[source]¶

Construct Model keyword arguments from a dict of SupervisedDataset.

Parameters:

• training_data (SupervisedDataset) – A SupervisedDataset containing the training data.

• categorical_features (List[int]) – Column indices of categorical features.

• likelihood (Likelihood | None) – Optional likelihood used to constuct the model.

• kwargs (Any) –

Return type:

Dict[str, Any]

Model List GP Regression Models¶

Model List GP Regression models.

class botorch.models.model_list_gp_regression.ModelListGP(*gp_models)[source]¶

Bases: IndependentModelList, ModelListGPyTorchModel, FantasizeMixin

A multi-output GP model with independent GPs for the outputs.

This model supports different-shaped training inputs for each of its sub-models. It can be used with any number of single-output GPyTorchModels and the models can be of different types. Use this model when you have independent outputs with different training data. When modeling correlations between outputs, use MultiTaskGP.

Internally, this model is just a list of individual models, but it implements the same input/output interface as all other BoTorch models. This makes it very flexible and convenient to work with. The sequential evaluation comes at a performance cost though - if you are using a block design (i.e. the same number of training example for each output, and a similar model structure, you should consider using a batched GP model instead, such as SingleTaskGP with batched inputs).

Parameters:

*gp_models (GPyTorchModel) – A number of single-output GPyTorchModels. If models have input/output transforms, these are honored individually for each model.

Example

>>> model1 = SingleTaskGP(train_X1, train_Y1)
>>> model2 = SingleTaskGP(train_X2, train_Y2)
>>> model = ModelListGP(model1, model2)

condition_on_observations(X, Y, **kwargs)[source]¶

Condition the model on new observations.

Parameters:

• X (List[Tensor]) – A m-list of batch_shape x n’ x d-dim Tensors, where d is the dimension of the feature space, n’ is the number of points per batch, and batch_shape is the batch shape (must be compatible with the batch shape of the model).

• Y (Tensor) – A batch_shape’ x n’ x m-dim Tensor, where m is the number of model outputs, n’ is the number of points per batch, and batch_shape’ is the batch shape of the observations. batch_shape’ must be broadcastable to batch_shape using standard broadcasting semantics. If Y has fewer batch dimensions than X, its is assumed that the missing batch dimensions are the same for all Y.

• kwargs (Any) – Keyword arguments passed to IndependentModelList.get_fantasy_model.

Returns:

A ModelListGP representing the original model conditioned on the new observations (X, Y) (and possibly noise observations passed in via kwargs). Here the i-th model has n_i + n’ training examples, where the n’ training examples have been added and all test-time caches have been updated.

Return type:

ModelListGP

subset_output(idcs)[source]¶

Subset the model along the output dimension.

Parameters:

idcs (List[int]) – The output indices to subset the model to.

Returns:

The current model, subset to the specified output indices.

Return type:

ModelListGP

likelihood: Likelihood¶

Multitask GP Models¶

Multi-Task GP models.

References

class botorch.models.multitask.MultiTaskGP(train_X, train_Y, task_feature, train_Yvar=None, mean_module=None, covar_module=None, likelihood=None, task_covar_prior=None, output_tasks=None, rank=None, input_transform=None, outcome_transform=None)[source]¶

Bases: ExactGP, MultiTaskGPyTorchModel, FantasizeMixin

Multi-Task exact GP model using an ICM (intrinsic co-regionalization model) kernel. See [Bonilla2007MTGP] and [Swersky2013MTBO] for a reference on the model and its use in Bayesian optimization.

The model can be single-output or multi-output, determined by the output_tasks. This model uses relatively strong priors on the base Kernel hyperparameters, which work best when covariates are normalized to the unit cube and outcomes are standardized (zero mean, unit variance).

If the train_Yvar is None, this model infers the noise level. If you have known observation noise, you can set train_Yvar to a tensor containing the noise variance measurements. WARNING: This currently does not support different noise levels for the different tasks.

Multi-Task GP model using an ICM kernel.

Parameters:

• train_X (Tensor) – A n x (d + 1) or b x n x (d + 1) (batch mode) tensor of training data. One of the columns should contain the task features (see task_feature argument).

• train_Y (Tensor) – A n x 1 or b x n x 1 (batch mode) tensor of training observations.

• task_feature (int) – The index of the task feature (-d <= task_feature <= d).

• train_Yvar (Optional[Tensor]) – An optional n or b x n (batch mode) tensor of observed measurement noise. If None, we infer the noise. Note that the inferred noise is common across all tasks.

• mean_module (Optional[Module]) – The mean function to be used. Defaults to ConstantMean.

• covar_module (Optional[Module]) – The module for computing the covariance matrix between the non-task features. Defaults to MaternKernel.

• likelihood (Optional[Likelihood]) – A likelihood. The default is selected based on train_Yvar. If train_Yvar is None, a standard GaussianLikelihood with inferred noise level is used. Otherwise, a FixedNoiseGaussianLikelihood is used.

• output_tasks (Optional[List[int]]) – A list of task indices for which to compute model outputs for. If omitted, return outputs for all task indices.

• rank (Optional[int]) – The rank to be used for the index kernel. If omitted, use a full rank (i.e. number of tasks) kernel.

• task_covar_prior (Optional[Prior]) – A Prior on the task covariance matrix. Must operate on p.s.d. matrices. A common prior for this is the LKJ prior.

• input_transform (Optional[InputTransform]) – An input transform that is applied in the model’s forward pass.

• outcome_transform (Optional[OutcomeTransform]) – An outcome transform that is applied to the training data during instantiation and to the posterior during inference (that is, the Posterior obtained by calling .posterior on the model will be on the original scale).

Example

>>> X1, X2 = torch.rand(10, 2), torch.rand(20, 2)
>>> i1, i2 = torch.zeros(10, 1), torch.ones(20, 1)
>>> train_X = torch.cat([
>>>     torch.cat([X1, i1], -1), torch.cat([X2, i2], -1),
>>> ])
>>> train_Y = torch.cat(f1(X1), f2(X2)).unsqueeze(-1)
>>> model = MultiTaskGP(train_X, train_Y, task_feature=-1)

forward(x)[source]¶

Defines the computation performed at every call.

Should be overridden by all subclasses.

Note

Although the recipe for forward pass needs to be defined within this function, one should call the Module instance afterwards instead of this since the former takes care of running the registered hooks while the latter silently ignores them.

Parameters:

x (Tensor) –

Return type:

MultivariateNormal

classmethod get_all_tasks(train_X, task_feature, output_tasks=None)[source]¶

Parameters:

• train_X (Tensor) –

• task_feature (int) –

• output_tasks (List[int] | None) –

Return type:

Tuple[List[int], int, int]

classmethod construct_inputs(training_data, task_feature, output_tasks=None, task_covar_prior=None, prior_config=None, rank=None, **kwargs)[source]¶

Construct Model keyword arguments from a dataset and other args.

Parameters:

• training_data (SupervisedDataset | MultiTaskDataset) – A SupervisedDataset or a MultiTaskDataset.

• task_feature (int) – Column index of embedded task indicator features. For details, see parse_training_data.

• output_tasks (List[int] | None) – A list of task indices for which to compute model outputs for. If omitted, return outputs for all task indices.

• task_covar_prior (Prior | None) – A GPyTorch Prior object to use as prior on the cross-task covariance matrix,

• prior_config (dict | None) – Configuration for inter-task covariance prior. Should only be used if task_covar_prior is not passed directly. Must contain use_LKJ_prior indicator and should contain float value eta.

• rank (int | None) – The rank of the cross-task covariance matrix.

Return type:

Dict[str, Any]

likelihood: Likelihood¶

class botorch.models.multitask.FixedNoiseMultiTaskGP(train_X, train_Y, train_Yvar, task_feature, covar_module=None, task_covar_prior=None, output_tasks=None, rank=None, input_transform=None, outcome_transform=None)[source]¶

Bases: MultiTaskGP

Multi-Task GP model using an ICM kernel, with known observation noise.

DEPRECATED: Please use MultiTaskGP with train_Yvar instead. Will be removed in a future release (~v0.10).

Parameters:

• train_X (Tensor) – A n x (d + 1) or b x n x (d + 1) (batch mode) tensor of training data. One of the columns should contain the task features (see task_feature argument).

• train_Y (Tensor) – A n x 1 or b x n x 1 (batch mode) tensor of training observations.

• train_Yvar (Tensor) – A n or b x n (batch mode) tensor of observed measurement noise.

• task_feature (int) – The index of the task feature (-d <= task_feature <= d).

• task_covar_prior (Optional[Prior]) – A Prior on the task covariance matrix. Must operate on p.s.d. matrices. A common prior for this is the LKJ prior.

• output_tasks (Optional[List[int]]) – A list of task indices for which to compute model outputs for. If omitted, return outputs for all task indices.

• rank (Optional[int]) – The rank to be used for the index kernel. If omitted, use a full rank (i.e. number of tasks) kernel.

• input_transform (Optional[InputTransform]) – An input transform that is applied in the model’s forward pass.

• outcome_transform (Optional[OutcomeTransform]) – An outcome transform that is applied to the training data during instantiation and to the posterior during inference (that is, the Posterior obtained by calling .posterior on the model will be on the original scale).

• covar_module (Optional[Module]) –

Example

>>> X1, X2 = torch.rand(10, 2), torch.rand(20, 2)
>>> i1, i2 = torch.zeros(10, 1), torch.ones(20, 1)
>>> train_X = torch.cat([
>>>     torch.cat([X1, i1], -1), torch.cat([X2, i2], -1),
>>> ], dim=0)
>>> train_Y = torch.cat(f1(X1), f2(X2))
>>> train_Yvar = 0.1 + 0.1 * torch.rand_like(train_Y)
>>> model = FixedNoiseMultiTaskGP(train_X, train_Y, train_Yvar, -1)

likelihood: Likelihood¶

training: bool¶

class botorch.models.multitask.KroneckerMultiTaskGP(train_X, train_Y, likelihood=None, data_covar_module=None, task_covar_prior=None, rank=None, input_transform=None, outcome_transform=None, **kwargs)[source]¶

Bases: ExactGP, GPyTorchModel, FantasizeMixin

Multi-task GP with Kronecker structure, using an ICM kernel.

This model assumes the “block design” case, i.e., it requires that all tasks are observed at all data points.

For posterior sampling, this model uses Matheron’s rule [Doucet2010sampl] to compute the posterior over all tasks as in [Maddox2021bohdo] by exploiting Kronecker structure.

When a multi-fidelity model has Kronecker structure, this means there is one covariance kernel over the fidelity features (call it K_f) and another over the rest of the input parameters (call it K_i), and the resulting covariance across inputs and fidelities is given by the Kronecker product of the two covariance matrices. This is equivalent to saying the covariance between two input and feature pairs is given by

K((parameter_1, fidelity_1), (parameter_2, fidelity_2))

= K_f(fidelity_1, fidelity_2) * K_i(parameter_1, parameter_2).

Then the covariance matrix of n_i parameters and n_f fidelities can be codified as a Kronecker product of an n_i x n_i matrix and an n_f x n_f matrix, which is far more parsimonious than specifying the whole (n_i * n_f) x (n_i * n_f) covariance matrix.

Example

>>> train_X = torch.rand(10, 2)
>>> train_Y = torch.cat([f_1(X), f_2(X)], dim=-1)
>>> model = KroneckerMultiTaskGP(train_X, train_Y)

Parameters:

• train_X (Tensor) – A batch_shape x n x d tensor of training features.

• train_Y (Tensor) – A batch_shape x n x m tensor of training observations.

• likelihood (Optional[MultitaskGaussianLikelihood]) – A MultitaskGaussianLikelihood. If omitted, uses a MultitaskGaussianLikelihood with a GammaPrior(1.1, 0.05) noise prior.

• data_covar_module (Optional[Module]) – The module computing the covariance (Kernel) matrix in data space. If omitted, use a MaternKernel.

• task_covar_prior (Optional[Prior]) – A Prior on the task covariance matrix. Must operate on p.s.d. matrices. A common prior for this is the LKJ prior. If omitted, uses LKJCovariancePrior with eta parameter as specified in the keyword arguments (if not specified, use eta=1.5).

• rank (Optional[int]) – The rank of the ICM kernel. If omitted, use a full rank kernel.

• kwargs (Any) – Additional arguments to override default settings of priors, including: - eta: The eta parameter on the default LKJ task_covar_prior. A value of 1.0 is uninformative, values <1.0 favor stronger correlations (in magnitude), correlations vanish as eta -> inf. - sd_prior: A scalar prior over nonnegative numbers, which is used for the default LKJCovariancePrior task_covar_prior. - likelihood_rank: The rank of the task covariance matrix to fit. Defaults to 0 (which corresponds to a diagonal covariance matrix).

• input_transform (Optional[InputTransform]) –

• outcome_transform (Optional[OutcomeTransform]) –

forward(X)[source]¶

Defines the computation performed at every call.

Should be overridden by all subclasses.

Note

Although the recipe for forward pass needs to be defined within this function, one should call the Module instance afterwards instead of this since the former takes care of running the registered hooks while the latter silently ignores them.

Parameters:

X (Tensor) –

Return type:

MultitaskMultivariateNormal

property train_full_covar¶

property predictive_mean_cache¶

posterior(X, output_indices=None, observation_noise=False, posterior_transform=None, **kwargs)[source]¶

Computes the posterior over model outputs at the provided points.

Parameters:

• X (Tensor) – A (batch_shape) x q x d-dim Tensor, where d is the dimension of the feature space and q is the number of points considered jointly.

• observation_noise (bool | Tensor) – If True, add the observation noise from the likelihood to the posterior. If a Tensor, use it directly as the observation noise (must be of shape (batch_shape) x q). It is assumed to be in the outcome-transformed space if an outcome transform is used.

• posterior_transform (PosteriorTransform | None) – An optional PosteriorTransform.

• output_indices (List[int] | None) –

• kwargs (Any) –

Returns:

A GPyTorchPosterior object, representing a batch of b joint distributions over q points. Includes observation noise if specified.

Return type:

MultitaskGPPosterior

train(val=True, *args, **kwargs)[source]¶

Put the model in train mode. Reverts to the original inputs if in train mode (mode=True) or sets transformed inputs if in eval mode (mode=False).

Parameters:

mode – A boolean denoting whether to put in train or eval mode. If False, model is put in eval mode.

likelihood: Likelihood¶

Higher Order GP Models¶

References

class botorch.models.higher_order_gp.FlattenedStandardize(output_shape, batch_shape=None, min_stdv=1e-08)[source]¶

Bases: Standardize

Standardize outcomes in a structured multi-output settings by reshaping the batched output dimensions to be a vector. Specifically, an output dimension of [a x b x c] will be squeezed to be a vector of [a * b * c].

Parameters:

• output_shape (torch.Size) – A n x output_shape-dim tensor of training targets.

• batch_shape (torch.Size) – 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).

• min_stdv (float) –

forward(Y, Yvar=None)[source]¶

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.

Parameters:

• Y (Tensor) – A batch_shape x n x m-dim tensor of training targets.

• Yvar (Tensor | None) – A batch_shape x n x m-dim tensor of observation noises associated with the training targets (if applicable).

Returns:

• The transformed outcome observations.

• The transformed observation noise (if applicable).

Return type:

A two-tuple with the transformed outcomes

untransform(Y, Yvar=None)[source]¶

Un-standardize outcomes.

Parameters:

• Y (Tensor) – A batch_shape x n x m-dim tensor of standardized targets.

• Yvar (Tensor | None) – A batch_shape x n x m-dim tensor of standardized observation noises associated with the targets (if applicable).

Returns:

• The un-standardized outcome observations.

• The un-standardized observation noise (if applicable).

Return type:

A two-tuple with the un-standardized outcomes

untransform_posterior(posterior)[source]¶

Un-standardize the posterior.

Parameters:

posterior (HigherOrderGPPosterior) – A posterior in the standardized space.

Returns:

The un-standardized posterior. If the input posterior is a GPyTorchPosterior, return a GPyTorchPosterior. Otherwise, return a TransformedPosterior.

Return type:

TransformedPosterior

training: bool¶

class botorch.models.higher_order_gp.HigherOrderGP(train_X, train_Y, likelihood=None, covar_modules=None, num_latent_dims=None, learn_latent_pars=True, latent_init='default', outcome_transform=None, input_transform=None)[source]¶

Bases: BatchedMultiOutputGPyTorchModel, ExactGP, FantasizeMixin

A model for high-dimensional output regression.

As described in [Zhe2019hogp]. “Higher-order” means that the predictions are matrices (tensors) with at least two dimensions, such as images or grids of images, or measurements taken from a region of at least two dimensions. The posterior uses Matheron’s rule [Doucet2010sampl] as described in [Maddox2021bohdo].

HigherOrderGP differs from a “vector” multi-output model in that it uses Kronecker algebra to obtain parsimonious covariance matrices for these outputs (see KroneckerMultiTaskGP for more information). For example, imagine a 10 x 20 x 30 grid of images. If we were to vectorize the resulting 6,000 data points in order to use them in a non-higher-order GP, they would have a 6,000 x 6,000 covariance matrix, with 36 million entries. The Kronecker structure allows representing this as a product of 10x10, 20x20, and 30x30 covariance matrices, with only 1,400 entries.

NOTE: This model requires the use of specialized Kronecker solves in linear operator, which are disabled by default in BoTorch. These are enabled by default in the HigherOrderGP.posterior call. However, they need to be manually enabled by the user during model fitting.

Example

>>> from linear_operator.settings import _fast_solves
>>> model = SingleTaskGP(train_X, train_Y)
>>> mll = ExactMarginalLogLikelihood(model.likelihood, model)
>>> with _fast_solves(True):
>>>     fit_gpytorch_mll_torch(mll)
>>> samples = model.posterior(test_X).rsample()

Parameters:

• train_X (Tensor) – A batch_shape x n x d-dim tensor of training inputs.

• train_Y (Tensor) – A batch_shape x n x output_shape-dim tensor of training targets.

• likelihood (Optional[Likelihood]) – Gaussian likelihood for the model.

• covar_modules (Optional[List[Kernel]]) – List of kernels for each output structure.

• num_latent_dims (Optional[List[int]]) – Sizes for the latent dimensions.

• learn_latent_pars (bool) – If true, learn the latent parameters.

• latent_init (str) – [default or gp] how to initialize the latent parameters.

• outcome_transform (Optional[OutcomeTransform]) –

• input_transform (Optional[InputTransform]) –

forward(X)[source]¶

Defines the computation performed at every call.

Should be overridden by all subclasses.

Note

Although the recipe for forward pass needs to be defined within this function, one should call the Module instance afterwards instead of this since the former takes care of running the registered hooks while the latter silently ignores them.

Parameters:

X (Tensor) –

Return type:

MultivariateNormal

get_fantasy_model(inputs, targets, **kwargs)[source]¶

Returns a new GP model that incorporates the specified inputs and targets as new training data.

Using this method is more efficient than updating with set_train_data when the number of inputs is relatively small, because any computed test-time caches will be updated in linear time rather than computed from scratch.

Note

If targets is a batch (e.g. b x m), then the GP returned from this method will be a batch mode GP. If inputs is of the same (or lesser) dimension as targets, then it is assumed that the fantasy points are the same for each target batch.

Parameters:

• inputs (torch.Tensor) – (b1 x … x bk x m x d or f x b1 x … x bk x m x d) Locations of fantasy observations.

• targets (torch.Tensor) – (b1 x … x bk x m or f x b1 x … x bk x m) Labels of fantasy observations.

Returns:

An ExactGP model with n + m training examples, where the m fantasy examples have been added and all test-time caches have been updated.

Return type:

ExactGP

condition_on_observations(X, Y, **kwargs)[source]¶

Condition the model on new observations.

Parameters:

• X (Tensor) – A batch_shape x n’ x d-dim Tensor, where d is the dimension of the feature space, m is the number of points per batch, and batch_shape is the batch shape (must be compatible with the batch shape of the model).

• Y (Tensor) – A batch_shape’ x n’ x m_d-dim Tensor, where m_d is the shaping of the model outputs, n’ is the number of points per batch, and batch_shape’ is the batch shape of the observations. batch_shape’ must be broadcastable to batch_shape using standard broadcasting semantics. If Y has fewer batch dimensions than X, its is assumed that the missing batch dimensions are the same for all Y.

• kwargs (Any) –

Returns:

A BatchedMultiOutputGPyTorchModel object of the same type with n + n’ training examples, representing the original model conditioned on the new observations (X, Y) (and possibly noise observations passed in via kwargs).

Return type:

HigherOrderGP

posterior(X, output_indices=None, observation_noise=False, posterior_transform=None, **kwargs)[source]¶

Computes the posterior over model outputs at the provided points.

Parameters:

• X (Tensor) – A (batch_shape) x q x d-dim Tensor, where d is the dimension of the feature space and q is the number of points considered jointly.

• output_indices (List[int] | None) – A list of indices, corresponding to the outputs over which to compute the posterior (if the model is multi-output). Can be used to speed up computation if only a subset of the model’s outputs are required for optimization. If omitted, computes the posterior over all model outputs.

• observation_noise (bool | Tensor) – If True, add the observation noise from the likelihood to the posterior. If a Tensor, use it directly as the observation noise (must be of shape (batch_shape) x q x m).

• posterior_transform (PosteriorTransform | None) – An optional PosteriorTransform.

• kwargs (Any) –

Returns:

A GPyTorchPosterior object, representing batch_shape joint distributions over q points and the outputs selected by output_indices each. Includes observation noise if specified.

Return type:

GPyTorchPosterior

make_posterior_variances(joint_covariance_matrix)[source]¶

Computes the posterior variances given the data points X. As currently implemented, it computes another forwards call with the stacked data to get out the joint covariance across all data points.

Parameters:

joint_covariance_matrix (LinearOperator) –

Return type:

Tensor

Pairwise GP Models¶

Preference Learning with Gaussian Process

class botorch.models.pairwise_gp.PairwiseGP(datapoints, comparisons, likelihood=None, covar_module=None, input_transform=None, *, jitter=1e-06, xtol=None, consolidate_rtol=0.0, consolidate_atol=0.0001, maxfev=None)[source]¶

Bases: Model, GP, FantasizeMixin

Probit GP for preference learning with Laplace approximation

A probit-likelihood GP that learns via pairwise comparison data, using a Laplace approximation of the posterior of the estimated utility values. By default it uses a scaled RBF kernel.

Implementation is based on [Chu2005preference]. Also see [Brochu2010tutorial] for additional reference.

Note that in [Chu2005preference] the likelihood of a pairwise comparison is \(\left(\frac{f(x_1) - f(x_2)}{\sqrt{2}\sigma}\right)\), i.e. a scale is used in the denominator. To maintain consistency with usage of kernels elsewhere in BoTorch, we instead do not include \(\sigma\) in the code (implicitly setting it to 1) and use ScaleKernel to scale the function.

In the example below, the user/decision maker has stated that they prefer the first item over the second item and the third item over the second item, generating comparisons [0, 1] and [2, 1]. .. rubric:: Example

>>> from botorch.models import PairwiseGP
>>> import torch
>>> datapoints = torch.Tensor([[1, 2, 3], [4, 5, 6], [7, 8, 9]])
>>> comparisons = torch.Tensor([[0, 1], [2, 1]])
>>> model = PairwiseGP(datapoints, comparisons)

Parameters:

• datapoints (Optional[Tensor]) – Either None or a batch_shape x n x d tensor of training features. If either datapoints or comparisons is None, construct a prior-only model.

• comparisons (Optional[Tensor]) – Either None or a batch_shape x m x 2 tensor of training comparisons; comparisons[i] is a noisy indicator suggesting the utility value of comparisons[i, 0]-th is greater than comparisons[i, 1]-th. If either comparisons or datapoints is None, construct a prior-only model.

• likelihood (Optional[PairwiseLikelihood]) – A PairwiseLikelihood.

• covar_module (Optional[ScaleKernel]) – Covariance module.

• input_transform (Optional[InputTransform]) – An input transform that is applied in the model’s forward pass.

• jitter (float) – Value added to diagonal for numerical stability in psd_safe_cholesky.

• xtol (Optional[float]) – Stopping creteria in scipy.optimize.fsolve used to find f_map in PairwiseGP._update. If None, default behavior is handled by PairwiseGP._update.

• consolidate_rtol (float) – rtol passed to consolidate_duplicates.

• consolidate_atol (float) – atol passed to consolidate_duplicates.

• maxfev (Optional[int]) – The maximum number of calls to the function in scipy.optimize.fsolve. If None, default behavior is handled by PairwiseGP._update.

property datapoints: Tensor¶

Alias for consolidated datapoints

property comparisons: Tensor¶

Alias for consolidated comparisons

property unconsolidated_utility: Tensor¶

Utility of the unconsolidated datapoints

property num_outputs: int¶

The number of outputs of the model.

property batch_shape: Size¶

The batch shape of the model.

This is a batch shape from an I/O perspective, independent of the internal representation of the model (as e.g. in BatchedMultiOutputGPyTorchModel). For a model with m outputs, a test_batch_shape x q x d-shaped input X to the posterior method returns a Posterior object over an output of shape broadcast(test_batch_shape, model.batch_shape) x q x m.

set_train_data(datapoints=None, comparisons=None, strict=False, update_model=True)[source]¶

Set datapoints and comparisons and update model properties if needed

Parameters:

• datapoints (Tensor | None) – Either None or a batch_shape x n x d dimension tensor X. If there are input transformations, assume the datapoints are not transformed. If either datapoints or comparisons is None, construct a prior-only model.

• comparisons (Tensor | None) – Either None or a tensor of size batch_shape x m x 2. (i, j) means f_i is preferred over f_j. If either comparisons or datapoints is None, construct a prior-only model.

• strict (bool) – strict argument as in gpytorch.models.exact_gp for compatibility when using fit_gpytorch_model with input_transform.

• update_model (bool) – True if we want to refit the model (see _update) after re-setting the data.

Return type:

None

load_state_dict(state_dict, strict=False)[source]¶

Removes data related buffers from the state_dict and calls super().load_state_dict with strict=False.

Parameters:

• state_dict (Dict[str, Tensor]) – The state dict.

• strict (bool) – Boolean specifying whether or not given and instance-bound state_dicts should have identical keys. Only implemented for strict=False since buffers will filters out when calling _load_from_state_dict.

Returns:

A named tuple _IncompatibleKeys, containing the missing_keys and unexpected_keys.

Return type:

_IncompatibleKeys

forward(datapoints)[source]¶

Calculate a posterior or prior prediction.

During training mode, forward implemented solely for gradient-based hyperparam opt. Essentially what it does is to re-calculate the utility f using its analytical form at f_map so that we are able to obtain gradients of the hyperparameters.

Parameters:

datapoints (Tensor) – A batch_shape x n x d Tensor, should be the same as self.datapoints during training

Returns:

1. Posterior centered at MAP points for training data (training mode)

2. Prior predictions (prior mode)

3. Predictive posterior (eval mode)

Return type:

A MultivariateNormal object, being one of the followings

posterior(X, output_indices=None, observation_noise=False, posterior_transform=None, **kwargs)[source]¶

Computes the posterior over model outputs at the provided points.

Parameters:

• X (Tensor) – A batch_shape x q x d-dim Tensor, where d is the dimension of the feature space and q is the number of points considered jointly.

• output_indices (List[int] | None) – As defined in parent Model class, not used for this model.

• observation_noise (bool) – Ignored (since noise is not identifiable from scale in probit models).

• posterior_transform (PosteriorTransform | None) – An optional PosteriorTransform.

• kwargs (Any) –

Returns:

A Posterior object, representing joint

distributions over q points.

Return type:

Posterior

condition_on_observations(X, Y, **kwargs)[source]¶

Condition the model on new observations.

Note that unlike other BoTorch models, PairwiseGP requires Y to be pairwise comparisons

Parameters:

• X (Tensor) – A batch_shape x n x d dimension tensor X

• Y (Tensor) – A tensor of size batch_shape x m x 2. (i, j) means f_i is preferred over f_j

• kwargs (Any) – Not used.

Returns:

A (deepcopied) Model object of the same type, representing the original model conditioned on the new observations (X, Y).

Return type:

Model

class botorch.models.pairwise_gp.PairwiseLaplaceMarginalLogLikelihood(likelihood, model)[source]¶

Bases: MarginalLogLikelihood

Laplace-approximated marginal log likelihood/evidence for PairwiseGP

See (12) from [Chu2005preference].

Parameters:

• likelihood – Used as in args to GPyTorch MarginalLogLikelihood

• model (GP) – Used as in args to GPyTorch MarginalLogLikelihood

forward(post, comp)[source]¶

Calculate approximated log evidence, i.e., log(P(D|theta))

Note that post will be based on the consolidated/deduped datapoints for numerical stability, but comp will still be the unconsolidated comparisons so that it’s still compatible with fit_gpytorch_*.

Parameters:

• post (Posterior) – training posterior distribution from self.model (after consolidation)

• comp (Tensor) – Comparisons pairs (before consolidation)

Returns:

The approximated evidence, i.e., the marginal log likelihood

Return type:

Tensor

training: bool¶

Contextual GP Models with Aggregate Rewards¶

class botorch.models.contextual.SACGP(train_X, train_Y, train_Yvar, decomposition)[source]¶

Bases: SingleTaskGP

A GP using a Structural Additive Contextual(SAC) kernel.

Parameters:

• train_X (Tensor) – (n x d) X training data.

• train_Y (Tensor) – (n x 1) Y training data.

• train_Yvar (Tensor | None) – (n x 1) Noise variances of each training Y. If None, we use an inferred noise likelihood.

• decomposition (Dict[str, List[int]]) – Keys are context names. Values are the indexes of parameters belong to the context. The parameter indexes are in the same order across contexts.

classmethod construct_inputs(training_data, decomposition, **kwargs)[source]¶

Construct Model keyword arguments from a dict of SupervisedDataset.

Parameters:

• training_data (SupervisedDataset) – A SupervisedDataset containing the training data.

• decomposition (Dict[str, List[int]]) – Dictionary of context names and their indexes of the corresponding active context parameters.

• kwargs (Any) –

Return type:

Dict[str, Any]

class botorch.models.contextual.LCEAGP(train_X, train_Y, train_Yvar, decomposition, train_embedding=True, cat_feature_dict=None, embs_feature_dict=None, embs_dim_list=None, context_weight_dict=None)[source]¶

Bases: SingleTaskGP

A GP using a Latent Context Embedding Additive (LCE-A) Kernel.

Note that the model does not support batch training. Input training data sets should have dim = 2.

Parameters:

• train_X (Tensor) – (n x d) X training data.

• train_Y (Tensor) – (n x 1) Y training data.

• train_Yvar (Tensor | None) – (n x 1) Noise variance of Y. If None, we use an inferred noise likelihood.

• decomposition (Dict[str, List[int]]) – Keys are context names. Values are the indexes of parameters belong to the context.

• train_embedding (bool) – Whether to train the embedding layer or not. If False, the model will use pre-trained embeddings in embs_feature_dict.

• cat_feature_dict (Dict | None) – Keys are context names and values are list of categorical features i.e. {“context_name” : [cat_0, …, cat_k]}, where k is the number of categorical variables. If None, we use context names in the decomposition as the only categorical feature, i.e., k = 1.

• embs_feature_dict (Dict | None) – Pre-trained continuous embedding features of each context.

• embs_dim_list (List[int] | None) – Embedding dimension for each categorical variable. The length equals the number of categorical features k. If None, the embedding dimension is set to 1 for each categorical variable.

• context_weight_dict (Dict | None) – Known population weights of each context.

classmethod construct_inputs(training_data, decomposition, train_embedding=True, cat_feature_dict=None, embs_feature_dict=None, embs_dim_list=None, context_weight_dict=None, **kwargs)[source]¶

Construct Model keyword arguments from a dict of SupervisedDataset.

Parameters:

• training_data (SupervisedDataset) – A SupervisedDataset containing the training data.

• decomposition (Dict[str, List[int]]) – Dictionary of context names and their indexes of the corresponding active context parameters.

• train_embedding (bool) – Whether to train the embedding layer or not.

• cat_feature_dict (Dict | None) – Keys are context names and values are list of categorical features i.e. {“context_name” : [cat_0, …, cat_k]}, where k is the number of categorical variables. If None, we use context names in the decomposition as the only categorical feature, i.e., k = 1.

• embs_feature_dict (Dict | None) – Pre-trained continuous embedding features of each context.

• embs_dim_list (List[int] | None) – Embedding dimension for each categorical variable. The length equals the number of categorical features k. If None, the embedding dimension is set to 1 for each categorical variable.

• context_weight_dict (Dict | None) – Known population weights of each context.

• kwargs (Any) –

Return type:

Dict[str, Any]

Contextual GP Models with Context Rewards¶

References

class botorch.models.contextual_multioutput.LCEMGP(train_X, train_Y, task_feature, train_Yvar=None, context_cat_feature=None, context_emb_feature=None, embs_dim_list=None, output_tasks=None, input_transform=None, outcome_transform=None)[source]¶

Bases: MultiTaskGP

The Multi-Task GP with the latent context embedding multioutput (LCE-M) kernel. See [Feng2020HDCPS] for a reference on the model and its use in Bayesian optimization.

Parameters:

• train_X (Tensor) – (n x d) X training data.

• train_Y (Tensor) – (n x 1) Y training data.

• task_feature (int) – Column index of train_X to get context indices.

• train_Yvar (Tensor | None) – An optional (n x 1) tensor of observed variances of each training Y. If None, we infer the noise. Note that the inferred noise is common across all tasks.

• context_cat_feature (Tensor | None) – (n_contexts x k) one-hot encoded context features. Rows are ordered by context indices, where k is the number of categorical variables. If None, task indices will be used and k = 1.

• context_emb_feature (Tensor | None) – (n_contexts x m) pre-given continuous embedding features. Rows are ordered by context indices.

• embs_dim_list (List[int] | None) – Embedding dimension for each categorical variable. The length equals k. If None, the embedding dimension is set to 1 for each categorical variable.

• output_tasks (List[int] | None) – A list of task indices for which to compute model outputs for. If omitted, return outputs for all task indices.

• input_transform (InputTransform | None) –

• outcome_transform (OutcomeTransform | None) –

task_covar_matrix(task_idcs)[source]¶

compute covariance matrix of a list of given context

Parameters:

task_idcs (Tensor) – (n x 1) or (b x n x 1) task indices tensor

Return type:

Tensor

forward(x)[source]¶

Defines the computation performed at every call.

Should be overridden by all subclasses.

Note

Although the recipe for forward pass needs to be defined within this function, one should call the Module instance afterwards instead of this since the former takes care of running the registered hooks while the latter silently ignores them.

Parameters:

x (Tensor) –

Return type:

MultivariateNormal

likelihood: Likelihood¶

training: bool¶

class botorch.models.contextual_multioutput.FixedNoiseLCEMGP(train_X, train_Y, train_Yvar, task_feature, context_cat_feature=None, context_emb_feature=None, embs_dim_list=None, output_tasks=None)[source]¶

Bases: LCEMGP

The Multi-Task GP the latent context embedding multioutput (LCE-M) kernel, with known observation noise.

DEPRECATED: Please use LCEMGP with train_Yvar instead. Will be removed in a future release (~v0.11).

Parameters:

• train_X (Tensor) – (n x d) X training data.

• train_Y (Tensor) – (n x 1) Y training data.

• train_Yvar (Tensor) – (n x 1) Observed variances of each training Y.

• task_feature (int) – Column index of train_X to get context indices.

• context_cat_feature (Tensor | None) – (n_contexts x k) one-hot encoded context features. Rows are ordered by context indices, where k is the number of categorical variables. If None, task indices will be used and k = 1.

• context_emb_feature (Tensor | None) – (n_contexts x m) pre-given continuous embedding features. Rows are ordered by context indices.

• embs_dim_list (List[int] | None) – Embedding dimension for each categorical variable. The length equals to k. If None, the embedding dimension is set to 1 for each categorical variable.

• output_tasks (List[int] | None) – A list of task indices for which to compute model outputs for. If omitted, return outputs for all task indices.

likelihood: Likelihood¶

training: bool¶

Variational GP Models¶

References

class botorch.models.approximate_gp.ApproximateGPyTorchModel(model=None, likelihood=None, num_outputs=1, *args, **kwargs)[source]¶

Bases: GPyTorchModel

Botorch wrapper class for various (variational) approximate GP models in GPyTorch.

This can either include stochastic variational GPs (SVGPs) or variational implementations of weight space approximate GPs.

Parameters:

• model (Optional[ApproximateGP]) – Instance of gpytorch.approximate GP models. If omitted, constructs a _SingleTaskVariationalGP.

• likelihood (Optional[Likelihood]) – Instance of a GPyTorch likelihood. If omitted, uses a either a GaussianLikelihood (if num_outputs=1) or a MultitaskGaussianLikelihood`(if `num_outputs>1).

• num_outputs (int) – Number of outputs expected for the GP model.

• args – Optional positional arguments passed to the _SingleTaskVariationalGP constructor if no model is provided.

• kwargs – Optional keyword arguments passed to the _SingleTaskVariationalGP constructor if no model is provided.

likelihood: Likelihood¶

property num_outputs¶

The number of outputs of the model.

eval()[source]¶

Puts the model in eval mode.

Parameters:

self (TApproxModel) –

Return type:

TApproxModel

train(mode=True)[source]¶

Put the model in train mode.

Parameters:

• mode (bool) – A boolean denoting whether to put in train or eval mode. If False, model is put in eval mode.

• self (TApproxModel) –

Return type:

TApproxModel

posterior(X, output_indices=None, observation_noise=False, *args, **kwargs)[source]¶

Computes the posterior over model outputs at the provided points.

Parameters:

• X – A (batch_shape) x q x d-dim Tensor, where d is the dimension of the feature space and q is the number of points considered jointly.

• observation_noise – If True, add the observation noise from the likelihood to the posterior. If a Tensor, use it directly as the observation noise (must be of shape (batch_shape) x q). It is assumed to be in the outcome-transformed space if an outcome transform is used.

• posterior_transform – An optional PosteriorTransform.

Returns:

A GPyTorchPosterior object, representing a batch of b joint distributions over q points. Includes observation noise if specified.

Return type:

GPyTorchPosterior

forward(X, *args, **kwargs)[source]¶

Defines the computation performed at every call.

Should be overridden by all subclasses.

Note

Although the recipe for forward pass needs to be defined within this function, one should call the Module instance afterwards instead of this since the former takes care of running the registered hooks while the latter silently ignores them.

Return type:

MultivariateNormal

class botorch.models.approximate_gp.SingleTaskVariationalGP(train_X, train_Y=None, likelihood=None, num_outputs=1, learn_inducing_points=True, covar_module=None, mean_module=None, variational_distribution=None, variational_strategy=<class 'gpytorch.variational.variational_strategy.VariationalStrategy'>, inducing_points=None, outcome_transform=None, input_transform=None, inducing_point_allocator=None)[source]¶

Bases: ApproximateGPyTorchModel

A single-task variational GP model following [hensman2013svgp].

By default, the inducing points are initialized though the GreedyVarianceReduction of [burt2020svgp], which is known to be effective for building globally accurate models. However, custom inducing point allocators designed for specific down-stream tasks can also be provided (see [moss2023ipa] for details), e.g. GreedyImprovementReduction when the goal is to build a model suitable for standard BO.

A single-task variational GP using relatively strong priors on the Kernel hyperparameters, which work best when covariates are normalized to the unit cube and outcomes are standardized (zero mean, unit variance).

This model works in batch mode (each batch having its own hyperparameters). When the training observations include multiple outputs, this model will use batching to model outputs independently. However, batches of multi-output models are not supported at this time, if you need to use those, please use a ModelListGP.

Use this model if you have a lot of data or if your responses are non-Gaussian.

To train this model, you should use gpytorch.mlls.VariationalELBO and not the exact marginal log likelihood.

Example

>>> import torch
>>> from botorch.models import SingleTaskVariationalGP
>>> from gpytorch.mlls import VariationalELBO
>>>
>>> train_X = torch.rand(20, 2)
>>> model = SingleTaskVariationalGP(train_X)
>>> mll = VariationalELBO(
>>>     model.likelihood, model.model, num_data=train_X.shape[-2]
>>> )

Parameters:

• train_X (Tensor) – Training inputs (due to the ability of the SVGP to sub-sample this does not have to be all of the training inputs).

• train_Y (Optional[Tensor]) – Training targets (optional).

• likelihood (Optional[Likelihood]) – Instance of a GPyTorch likelihood. If omitted, uses a either a GaussianLikelihood (if num_outputs=1) or a MultitaskGaussianLikelihood`(if `num_outputs>1).

• num_outputs (int) – Number of output responses per input (default: 1).

• covar_module (Optional[Kernel]) – Kernel function. If omitted, uses a MaternKernel.

• mean_module (Optional[Mean]) – Mean of GP model. If omitted, uses a ConstantMean.

• variational_distribution (Optional[_VariationalDistribution]) – Type of variational distribution to use (default: CholeskyVariationalDistribution), the properties of the variational distribution will encourage scalability or ease of optimization.

• variational_strategy (Type[_VariationalStrategy]) – Type of variational strategy to use (default: VariationalStrategy). The default setting uses “whitening” of the variational distribution to make training easier.

• inducing_points (Optional[Union[Tensor, int]]) – The number or specific locations of the inducing points.

• inducing_point_allocator (Optional[InducingPointAllocator]) – The InducingPointAllocator used to initialize the inducing point locations. If omitted, uses GreedyVarianceReduction.

• learn_inducing_points (bool) –

• outcome_transform (Optional[OutcomeTransform]) –

• input_transform (Optional[InputTransform]) –

likelihood: Likelihood¶

training: bool¶

property batch_shape: Size¶

The batch shape of the model.

This is a batch shape from an I/O perspective. For a model with m outputs, a test_batch_shape x q x d-shaped input X to the posterior method returns a Posterior object over an output of shape broadcast(test_batch_shape, model.batch_shape) x q x m.

init_inducing_points(inputs)[source]¶

Reinitialize the inducing point locations in-place with the current kernel applied to inputs through the model’s inducing point allocation strategy. The variational distribution and variational strategy caches are reset.

Parameters:

inputs (Tensor) – (*batch_shape, n, d)-dim input data tensor.

Returns:

(*batch_shape, m, d)-dim tensor of selected inducing point locations.

Return type:

Tensor

Fully Bayesian GP Models¶

Gaussian Process Regression models with fully Bayesian inference.

Fully Bayesian models use Bayesian inference over model hyperparameters, such as lengthscales and noise variance, learning a posterior distribution for the hyperparameters using the No-U-Turn-Sampler (NUTS). This is followed by sampling a small set of hyperparameters (often ~16) from the posterior that we will use for model predictions and for computing acquisition function values. By contrast, our “standard” models (e.g. SingleTaskGP) learn only a single best value for each hyperparameter using MAP. The fully Bayesian method generally results in a better and more well-calibrated model, but is more computationally intensive. For a full description, see [Eriksson2021saasbo].

We use a lightweight PyTorch implementation of a Matern-5/2 kernel as there are some performance issues with running NUTS on top of standard GPyTorch models. The resulting hyperparameter samples are loaded into a batched GPyTorch model after fitting.

References:

botorch.models.fully_bayesian.matern52_kernel(X, lengthscale)[source]¶

Matern-5/2 kernel.

Parameters:

• X (Tensor) –

• lengthscale (Tensor) –

Return type:

Tensor

botorch.models.fully_bayesian.compute_dists(X, lengthscale)[source]¶

Compute kernel distances.

Parameters:

• X (Tensor) –

• lengthscale (Tensor) –

Return type:

Tensor