#!/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 (
_convert_nonlinear_inequality_constraints,
_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,
nonlinear_constraint_is_feasible,
)
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[Tuple[Callable, bool]]] = 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 tuples representing the nonlinear
inequality constraints. The first element in the tuple is a callable
representing a constraint of the form `callable(x) >= 0`. In case of an
intra-point constraint, `callable()`takes in an one-dimensional tensor of
shape `d` and returns a scalar. In case of an inter-point constraint,
`callable()` takes a two dimensional tensor of shape `q x d` and again
returns a scalar. The second element is a boolean, indicating if it is an
intra-point or inter-point constraint (`True` for intra-point. `False` for
inter-point). For more information on intra-point vs inter-point
constraints, see the docstring of the `inequality_constraints` argument to
`optimize_acqf()`. The constraints will later be passed to the scipy
solver.
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 nonlinear_inequality_constraints:
if not isinstance(nonlinear_inequality_constraints, list):
raise ValueError(
"`nonlinear_inequality_constraints` must be a list of tuples, "
f"got {type(nonlinear_inequality_constraints)}."
)
nonlinear_inequality_constraints = _convert_nonlinear_inequality_constraints(
nonlinear_inequality_constraints
)
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[0] == 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,
shapeX=shapeX,
)
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:
for con, is_intrapoint in nonlinear_inequality_constraints:
if not nonlinear_constraint_is_feasible(
con, is_intrapoint=is_intrapoint, x=candidates
):
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.",
OptimizationWarning,
stacklevel=2,
)
break
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,
stacklevel=3,
)
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,
stacklevel=3,
)
