# Source code for ax.modelbridge.dispatch_utils

```
#!/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.
import logging
import warnings
from math import ceil
from typing import Any, cast, Dict, Optional, Type, Union
import torch
from ax.core.experiment import Experiment
from ax.core.optimization_config import OptimizationConfig
from ax.core.parameter import ChoiceParameter, ParameterType, RangeParameter
from ax.core.search_space import SearchSpace
from ax.modelbridge.generation_strategy import GenerationStep, GenerationStrategy
from ax.modelbridge.registry import Cont_X_trans, Models, Y_trans
from ax.modelbridge.transforms.base import Transform
from ax.modelbridge.transforms.winsorize import WinsorizationConfig, Winsorize
from ax.models.types import TConfig
from ax.utils.common.logger import get_logger
from ax.utils.common.typeutils import not_none
logger: logging.Logger = get_logger(__name__)
DEFAULT_BAYESIAN_PARALLELISM = 3
# `BO_MIXED` optimizes all range parameters once for each combination of choice
# parameters, then takes the optimum of those optima. The cost associated with this
# method grows with the number of combinations, and so it is only used when the
# number of enumerated discrete combinations is below some maximum value.
MAX_DISCRETE_ENUMERATIONS_MIXED = 65
MAX_DISCRETE_ENUMERATIONS_NO_CONTINUOUS_OPTIMIZATION = 1e4
SAASBO_INCOMPATIBLE_MESSAGE = (
"SAASBO is incompatible with {} generation strategy. "
"Disregarding user input `use_saasbo = True`."
)
def _make_sobol_step(
num_trials: int = -1,
min_trials_observed: Optional[int] = None,
enforce_num_trials: bool = True,
max_parallelism: Optional[int] = None,
seed: Optional[int] = None,
should_deduplicate: bool = False,
) -> GenerationStep:
"""Shortcut for creating a Sobol generation step."""
return GenerationStep(
model=Models.SOBOL,
num_trials=num_trials,
# NOTE: ceil(-1 / 2) = 0, so this is safe to do when num trials is -1.
min_trials_observed=min_trials_observed or ceil(num_trials / 2),
enforce_num_trials=enforce_num_trials,
max_parallelism=max_parallelism,
model_kwargs={"deduplicate": True, "seed": seed},
should_deduplicate=should_deduplicate,
)
def _make_botorch_step(
num_trials: int = -1,
optimization_config: Optional[OptimizationConfig] = None,
min_trials_observed: Optional[int] = None,
enforce_num_trials: bool = True,
max_parallelism: Optional[int] = None,
model: Models = Models.GPEI,
model_kwargs: Optional[Dict[str, Any]] = None,
winsorization_config: Optional[
Union[WinsorizationConfig, Dict[str, WinsorizationConfig]]
] = None,
no_winsorization: bool = False,
should_deduplicate: bool = False,
verbose: Optional[bool] = None,
disable_progbar: Optional[bool] = None,
) -> GenerationStep:
"""Shortcut for creating a BayesOpt generation step."""
winsorization_transform_config = _get_winsorization_transform_config(
winsorization_config=winsorization_config,
optimization_config=optimization_config,
no_winsorization=no_winsorization,
)
model_kwargs = model_kwargs or {}
if winsorization_transform_config is not None:
model_kwargs.update(
{
"transforms": [cast(Type[Transform], Winsorize)]
+ Cont_X_trans
+ Y_trans,
"transform_configs": {"Winsorize": winsorization_transform_config},
}
)
if verbose is not None:
model_kwargs.update({"verbose": verbose})
if disable_progbar is not None:
model_kwargs.update({"disable_progbar": disable_progbar})
return GenerationStep(
model=model,
num_trials=num_trials,
# NOTE: ceil(-1 / 2) = 0, so this is safe to do when num trials is -1.
min_trials_observed=min_trials_observed or ceil(num_trials / 2),
enforce_num_trials=enforce_num_trials,
max_parallelism=max_parallelism,
# `model_kwargs` should default to `None` if empty
model_kwargs=model_kwargs if len(model_kwargs) > 0 else None,
should_deduplicate=should_deduplicate,
)
def _suggest_gp_model(
search_space: SearchSpace,
num_trials: Optional[int] = None,
optimization_config: Optional[OptimizationConfig] = None,
use_saasbo: bool = False,
) -> Union[None, Models]:
"""Suggest a model based on the search space. None means we use Sobol.
1. We use Sobol if the number of total iterations in the optimization is
known in advance and there are fewer distinct points in the search space
than the known intended number of total iterations.
2. We use ``BO_MIXED`` if there are fewer ordered parameters in the search space
than the sum of options for the *unordered* choice parameters, and the number
of discrete enumerations to be performed by the optimizer is less than
``MAX_DISCRETE_ENUMERATIONS_MIXED``, or if there are only choice parameters and
the number of choice combinations to enumerate is less than
``MAX_DISCRETE_ENUMERATIONS_CHOICE_ONLY``. ``BO_MIXED`` is not currently enabled
for multi-objective optimization.
3. We use ``MOO`` if ``optimization_config`` has multiple objectives and
``use_saasbo is False``.
4. We use ``FULLYBAYESIANMOO`` if ``optimization_config`` has multiple objectives
and ``use_saasbo is True``.
5. If none of the above and ``use_saasbo is False``, we use ``GPEI``.
6. If none of the above and ``use_saasbo is True``, we use ``FULLYBAYESIAN``.
"""
# Count tunable parameter types.
num_ordered_parameters = num_unordered_choices = 0
num_enumerated_combinations = num_possible_points = 1
all_range_parameters_are_discrete = True
all_parameters_are_enumerated = True
for parameter in search_space.tunable_parameters.values():
should_enumerate_param = False
num_param_discrete_values = None
if isinstance(parameter, ChoiceParameter):
should_enumerate_param = True
num_param_discrete_values = len(parameter.values)
num_possible_points *= num_param_discrete_values
if parameter.is_ordered is False:
num_unordered_choices += num_param_discrete_values
else:
num_ordered_parameters += 1
elif isinstance(parameter, RangeParameter):
num_ordered_parameters += 1
if parameter.parameter_type == ParameterType.FLOAT:
all_range_parameters_are_discrete = False
else:
num_param_discrete_values = int(parameter.upper - parameter.lower) + 1
num_possible_points *= num_param_discrete_values
if should_enumerate_param:
num_enumerated_combinations *= not_none(num_param_discrete_values)
else:
all_parameters_are_enumerated = False
# Use Sobol if number of trials is known and sufficient to try all possible points.
if (
num_trials is not None
and all_range_parameters_are_discrete
and num_possible_points <= num_trials
):
logger.info("Using Sobol since we can enumerate the search space.")
if use_saasbo:
logger.warning(SAASBO_INCOMPATIBLE_MESSAGE.format("Sobol"))
return None
is_moo_problem = optimization_config and optimization_config.is_moo_problem
if num_ordered_parameters > num_unordered_choices:
logger.info(
"Using Bayesian optimization since there are more ordered parameters than "
"there are categories for the unordered categorical parameters."
)
if is_moo_problem:
return Models.FULLYBAYESIANMOO if use_saasbo else Models.MOO
return Models.FULLYBAYESIAN if use_saasbo else Models.GPEI
# Use mixed Bayesian optimization when appropriate. This logic is currently tied to
# the fact that acquisition function optimization for mixed BayesOpt currently
# enumerates all combinations of choice parameters.
if num_enumerated_combinations <= MAX_DISCRETE_ENUMERATIONS_MIXED or (
all_parameters_are_enumerated
and num_enumerated_combinations
< MAX_DISCRETE_ENUMERATIONS_NO_CONTINUOUS_OPTIMIZATION
):
logger.info(
"Using Bayesian optimization with a categorical kernel for improved "
"performance with a large number of unordered categorical parameters."
)
if use_saasbo:
logger.warning(SAASBO_INCOMPATIBLE_MESSAGE.format("`BO_MIXED`"))
return Models.BO_MIXED
logger.info(
f"Using Sobol since there are more than {MAX_DISCRETE_ENUMERATIONS_MIXED} "
"combinations of enumerated parameters. For improved performance, make sure "
"that all ordered `ChoiceParameter`s are encoded as such (`is_ordered=True`), "
"and use `RangeParameter`s in place of ordered `ChoiceParameter`s where "
"possible. Also, consider removing some or all unordered `ChoiceParameter`s."
)
if use_saasbo:
logger.warning(SAASBO_INCOMPATIBLE_MESSAGE.format("Sobol"))
return None
[docs]def choose_generation_strategy(
search_space: SearchSpace,
use_batch_trials: bool = False,
enforce_sequential_optimization: bool = True,
random_seed: Optional[int] = None,
torch_device: Optional[torch.device] = None,
no_winsorization: bool = False,
winsorization_config: Optional[
Union[WinsorizationConfig, Dict[str, WinsorizationConfig]]
] = None,
no_bayesian_optimization: bool = False,
num_trials: Optional[int] = None,
num_initialization_trials: Optional[int] = None,
max_parallelism_cap: Optional[int] = None,
max_parallelism_override: Optional[int] = None,
optimization_config: Optional[OptimizationConfig] = None,
should_deduplicate: bool = False,
use_saasbo: bool = False,
verbose: Optional[bool] = None,
disable_progbar: Optional[bool] = None,
experiment: Optional[Experiment] = None,
) -> GenerationStrategy:
"""Select an appropriate generation strategy based on the properties of
the search space and expected settings of the experiment, such as number of
arms per trial, optimization algorithm settings, expected number of trials
in the experiment, etc.
Args:
search_space: SearchSpace, based on the properties of which to select the
generation strategy.
use_batch_trials: Whether this generation strategy will be used to generate
batched trials instead of 1-arm trials.
enforce_sequential_optimization: Whether to enforce that 1) the generation
strategy needs to be updated with ``min_trials_observed`` observations for
a given generation step before proceeding to the next one and 2) maximum
number of trials running at once (max_parallelism) if enforced for the
BayesOpt step. NOTE: ``max_parallelism_override`` and
``max_parallelism_cap`` settings will still take their effect on max
parallelism even if ``enforce_sequential_optimization=False``, so if those
settings are specified, max parallelism will be enforced.
random_seed: Fixed random seed for the Sobol generator.
torch_device: The device to use for generation steps implemented in PyTorch
(e.g. via BoTorch). Some generation steps (in particular EHVI-based ones
for multi-objective optimization) can be sped up by running candidate
generation on the GPU. If not specified, uses the default torch device
(usually the CPU).
no_winsorization: Whether to apply the winsorization transform
prior to applying other transforms for fitting the BoTorch model.
winsorization_config: Explicit winsorization settings, if winsorizing. Usually
only `upper_quantile_margin` is set when minimizing, and only
`lower_quantile_margin` when maximizing.
no_bayesian_optimization: If True, Bayesian optimization generation
strategy will not be suggested and quasi-random strategy will be used.
num_trials: Total number of trials in the optimization, if
known in advance.
num_initialization_trials: Specific number of initialization trials, if wanted.
Typically, initialization trials are generated quasi-randomly.
max_parallelism_cap: Integer cap on parallelism in this generation strategy.
If specified, ``max_parallelism`` setting in each generation step will be
set to the minimum of the default setting for that step and the value of
this cap. ``max_parallelism_cap`` is meant to just be a hard limit on
parallelism (e.g. to avoid overloading machine(s) that evaluate the
experiment trials). Specify only if not specifying
``max_parallelism_override``.
max_parallelism_override: Integer, with which to override the default max
parallelism setting for all steps in the generation strategy returned from
this function. Each generation step has a ``max_parallelism`` value, which
restricts how many trials can run simultaneously during a given generation
step. By default, the parallelism setting is chosen as appropriate for the
model in a given generation step. If ``max_parallelism_override`` is -1,
no max parallelism will be enforced for any step of the generation
strategy. Be aware that parallelism is limited to improve performance of
Bayesian optimization, so only disable its limiting if necessary.
optimization_config: used to infer whether to use MOO and will be passed in to
``Winsorize`` via its ``transform_config`` in order to determine default
winsorization behavior when necessary.
should_deduplicate: Whether to deduplicate the parameters of proposed arms
against those of previous arms via rejection sampling. If this is True,
the generation strategy will discard generator runs produced from the
generation step that has `should_deduplicate=True` if they contain arms
already present on the experiment and replace them with new generator runs.
If no generator run with entirely unique arms could be produced in 5
attempts, a `GenerationStrategyRepeatedPoints` error will be raised, as we
assume that the optimization converged when the model can no longer suggest
unique arms.
use_saasbo: Whether to use SAAS prior for any GPEI generation steps.
verbose: Whether GP model should produce verbose logs. If not ``None``, its
value gets added to ``model_kwargs`` during ``generation_strategy``
construction. Defaults to ``True`` for SAASBO, else ``None``. Verbose
outputs are currently only available for SAASBO, so if ``verbose is not
None`` for a different model type, it will be overridden to ``None`` with
a warning.
disable_progbar: Whether GP model should produce a progress bar. If not
``None``, its value gets added to ``model_kwargs`` during
``generation_strategy`` construction. Defaults to ``True`` for SAASBO, else
``None``. Progress bars are currently only available for SAASBO, so if
``disable_probar is not None`` for a different model type, it will be
overridden to ``None`` with a warning.
experiment: If specified, ``_experiment`` attribute of the generation strategy
will be set to this experiment (useful for associating a generation
strategy with a given experiment before it's first used to ``gen`` with
that experiment).
"""
suggested_model = _suggest_gp_model(
search_space=search_space,
num_trials=num_trials,
optimization_config=optimization_config,
use_saasbo=use_saasbo,
)
# Determine max parallelism for the generation steps.
if max_parallelism_override == -1:
# `max_parallelism_override` of -1 means no max parallelism enforcement in
# the generation strategy, which means `max_parallelism=None` in gen. steps.
sobol_parallelism = bo_parallelism = None
elif max_parallelism_override is not None:
sobol_parallelism = bo_parallelism = max_parallelism_override
elif max_parallelism_cap is not None: # Max parallelism override is None by now
sobol_parallelism = max_parallelism_cap
bo_parallelism = min(max_parallelism_cap, DEFAULT_BAYESIAN_PARALLELISM)
elif not enforce_sequential_optimization:
# If no max parallelism settings specified and not enforcing sequential
# optimization, do not limit parallelism.
sobol_parallelism = bo_parallelism = None
else: # No additional max parallelism settings, use defaults
sobol_parallelism = None # No restriction on Sobol phase
bo_parallelism = DEFAULT_BAYESIAN_PARALLELISM
if not no_bayesian_optimization and suggested_model is not None:
if not enforce_sequential_optimization and ( # pragma: no cover
max_parallelism_override or max_parallelism_cap
):
logger.info(
"If `enforce_sequential_optimization` is False, max parallelism is "
"not enforced and other max parallelism settings will be ignored."
)
if max_parallelism_override and max_parallelism_cap:
raise ValueError(
"If `max_parallelism_override` specified, cannot also apply "
"`max_parallelism_cap`."
)
# If number of initialization trials is not specified, estimate it.
if num_initialization_trials is None:
if use_batch_trials: # Batched trials.
num_initialization_trials = 1
elif num_trials is not None: # 1-arm trials with specified `num_trials`.
num_initialization_trials = max(
5,
min(
not_none(num_trials) // 5,
2 * len(search_space.tunable_parameters),
),
)
else: # 1-arm trials.
num_initialization_trials = max(
5, 2 * len(search_space.tunable_parameters)
)
# `verbose` and `disable_progbar` defaults and overrides
model_is_saasbo = is_saasbo(suggested_model)
if verbose is None and model_is_saasbo:
verbose = True
elif verbose is not None and not model_is_saasbo:
logger.warning(
f"Overriding `verbose = {verbose}` to `None` for non-SAASBO GP step."
)
verbose = None
if disable_progbar is not None and not model_is_saasbo:
logger.warning(
f"Overriding `disable_progbar = {disable_progbar}` to `None` for "
"non-SAASBO GP step."
)
disable_progbar = None
# Create `generation_strategy`, adding first Sobol step
# if `num_initialization_trials` is > 0.
steps = []
if num_initialization_trials is None or num_initialization_trials > 0:
steps.append(
_make_sobol_step(
num_trials=num_initialization_trials,
enforce_num_trials=enforce_sequential_optimization,
seed=random_seed,
max_parallelism=sobol_parallelism,
should_deduplicate=should_deduplicate,
)
)
steps.append(
_make_botorch_step(
model=suggested_model,
optimization_config=optimization_config,
winsorization_config=winsorization_config,
no_winsorization=no_winsorization,
max_parallelism=bo_parallelism,
model_kwargs={"torch_device": torch_device},
should_deduplicate=should_deduplicate,
verbose=verbose,
disable_progbar=disable_progbar,
),
)
gs = GenerationStrategy(steps=steps)
logger.info(
f"Using Bayesian Optimization generation strategy: {gs}. Iterations after"
f" {num_initialization_trials} will take longer to generate due to "
" model-fitting."
)
else: # `no_bayesian_optimization` is True or we could not suggest BO model
if verbose is not None:
logger.warning(
f"Ignoring `verbose = {verbose}` for `generation_strategy` "
"without a GP step."
)
gs = GenerationStrategy(
steps=[
_make_sobol_step(
seed=random_seed,
should_deduplicate=should_deduplicate,
max_parallelism=sobol_parallelism,
)
]
)
logger.info("Using Sobol generation strategy.")
if experiment:
gs.experiment = experiment
return gs
def _get_winsorization_transform_config(
winsorization_config: Optional[
Union[WinsorizationConfig, Dict[str, WinsorizationConfig]]
],
optimization_config: Optional[OptimizationConfig],
no_winsorization: bool,
) -> Optional[TConfig]:
if no_winsorization or not (winsorization_config or optimization_config):
if winsorization_config is not None:
warnings.warn(
"`no_winsorization = True` but `winsorization_config` has been set. "
"Not winsorizing."
)
return None
transform_config = {}
if winsorization_config:
transform_config["winsorization_config"] = winsorization_config
if optimization_config:
transform_config["optimization_config"] = optimization_config
return transform_config
[docs]def is_saasbo(model: Models) -> bool:
return model.name in ["FULLYBAYESIANMOO", "FULLYBAYESIAN"]
```