# 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.
from typing import Callable, List, Optional, Union
import torch
from botorch.acquisition.logei import qLogNoisyExpectedImprovement, TAU_MAX, TAU_RELU
from botorch.acquisition.multi_objective.monte_carlo import (
MultiObjectiveMCAcquisitionFunction,
)
from botorch.acquisition.multi_objective.objective import MCMultiOutputObjective
from botorch.acquisition.objective import GenericMCObjective
from botorch.models.model import Model
from botorch.posteriors.fully_bayesian import MCMC_DIM
from botorch.sampling.base import MCSampler
from botorch.utils.multi_objective.scalarization import get_chebyshev_scalarization
from botorch.utils.sampling import sample_simplex
from botorch.utils.transforms import is_ensemble
from torch import Tensor
[docs]
class qLogNParEGO(qLogNoisyExpectedImprovement, MultiObjectiveMCAcquisitionFunction):
def __init__(
self,
model: Model,
X_baseline: Tensor,
scalarization_weights: Optional[Tensor] = None,
sampler: Optional[MCSampler] = None,
objective: Optional[MCMultiOutputObjective] = None,
constraints: Optional[List[Callable[[Tensor], Tensor]]] = None,
X_pending: Optional[Tensor] = None,
eta: Union[Tensor, float] = 1e-3,
fat: bool = True,
prune_baseline: bool = False,
cache_root: bool = True,
tau_relu: float = TAU_RELU,
tau_max: float = TAU_MAX,
) -> None:
r"""q-LogNParEGO supporting m >= 2 outcomes. This acquisition function
utilizes qLogNEI to compute the expected improvement over Chebyshev
scalarization of the objectives.
This is adapted from qNParEGO proposed in [Daulton2020qehvi]_ to utilize
log-improvement acquisition functions of [Ament2023logei]_. See [Knowles2005]_
for the original ParEGO algorithm.
This implementation assumes maximization of all objectives. If any of the model
outputs are to be minimized, either an `objective` should be used to negate the
model outputs or the `scalarization_weights` should be provided with negative
weights for the outputs to be minimized.
Args:
model: A fitted multi-output model, producing outputs for `m` objectives
and any number of outcome constraints.
NOTE: The model posterior must have a `mean` attribute.
X_baseline: A `batch_shape x r x d`-dim Tensor of `r` design points
that have already been observed. These points are considered as
the potential best design point.
scalarization_weights: A `m`-dim Tensor of weights to be used in the
Chebyshev scalarization. If omitted, samples from the unit simplex.
sampler: The sampler used to draw base samples. See `MCAcquisitionFunction`
more details.
objective: The MultiOutputMCAcquisitionObjective under which the samples are
evaluated before applying Chebyshev scalarization.
Defaults to `IdentityMultiOutputObjective()`.
constraints: A list of constraint callables which map a Tensor of posterior
samples of dimension `sample_shape x batch-shape x q x m'`-dim to a
`sample_shape x batch-shape x q`-dim Tensor. The associated constraints
are satisfied if `constraint(samples) < 0`.
X_pending: A `batch_shape x q' x d`-dim Tensor of `q'` design points
that have points that have been submitted for function evaluation
but have not yet been evaluated. Concatenated into `X` upon
forward call. Copied and set to have no gradient.
eta: Temperature parameter(s) governing the smoothness of the sigmoid
approximation to the constraint indicators. See the docs of
`compute_(log_)smoothed_constraint_indicator` for details.
fat: Toggles the logarithmic / linear asymptotic behavior of the smooth
approximation to the ReLU.
prune_baseline: If True, remove points in `X_baseline` that are
highly unlikely to be the best point. This can significantly
improve performance and is generally recommended. In order to
customize pruning parameters, instead manually call
`botorch.acquisition.utils.prune_inferior_points` on `X_baseline`
before instantiating the acquisition function.
cache_root: A boolean indicating whether to cache the root
decomposition over `X_baseline` and use low-rank updates.
tau_max: Temperature parameter controlling the sharpness of the smooth
approximations to max.
tau_relu: Temperature parameter controlling the sharpness of the smooth
approximations to ReLU.
"""
MultiObjectiveMCAcquisitionFunction.__init__(
self,
model=model,
sampler=sampler,
objective=objective,
constraints=constraints,
eta=eta,
)
org_objective = self.objective
# Create the composite objective.
with torch.no_grad():
Y_baseline = org_objective(model.posterior(X_baseline).mean)
if is_ensemble(model):
Y_baseline = torch.mean(Y_baseline, dim=MCMC_DIM)
scalarization_weights = (
scalarization_weights
if scalarization_weights is not None
else sample_simplex(
d=Y_baseline.shape[-1], device=X_baseline.device, dtype=X_baseline.dtype
).view(-1)
)
chebyshev_scalarization = get_chebyshev_scalarization(
weights=scalarization_weights,
Y=Y_baseline,
)
composite_objective = GenericMCObjective(
objective=lambda samples, X=None: chebyshev_scalarization(
org_objective(samples=samples, X=X), X=X
),
)
qLogNoisyExpectedImprovement.__init__(
self,
model=model,
X_baseline=X_baseline,
sampler=sampler,
# This overwrites self.objective with the composite objective.
objective=composite_objective,
X_pending=X_pending,
constraints=constraints,
eta=eta,
fat=fat,
prune_baseline=prune_baseline,
cache_root=cache_root,
tau_max=tau_max,
tau_relu=tau_relu,
)
# Set these after __init__ calls so that they're not overwritten / deleted.
# These are intended mainly for easier debugging & transparency.
self._org_objective: MCMultiOutputObjective = org_objective
self.chebyshev_scalarization: Callable[[Tensor, Optional[Tensor]], Tensor] = (
chebyshev_scalarization
)
self.scalarization_weights: Tensor = scalarization_weights
self.Y_baseline: Tensor = Y_baseline
