Source code for ax.models.discrete.eb_thompson

#!/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
from typing import List, Tuple

import numpy as np
from ax.models.discrete.thompson import ThompsonSampler
from ax.utils.common.logger import get_logger
from ax.utils.stats.statstools import positive_part_james_stein

logger: logging.Logger = get_logger(__name__)

[docs]class EmpiricalBayesThompsonSampler(ThompsonSampler): """Generator for Thompson sampling using Empirical Bayes estimates. The generator applies positive-part James-Stein Estimator to the data passed in via `fit` and then performs Thompson Sampling. """ def _fit_Ys_and_Yvars( self, Ys: List[List[float]], Yvars: List[List[float]], outcome_names: List[str] ) -> Tuple[List[List[float]], List[List[float]]]: newYs = [] newYvars = [] for i, (Y, Yvar) in enumerate(zip(Ys, Yvars)): newY, newYvar = self._apply_shrinkage(Y, Yvar, i) newYs.append(newY) newYvars.append(newYvar) return newYs, newYvars def _apply_shrinkage( self, Y: List[float], Yvar: List[float], outcome: int ) -> Tuple[List[float], List[float]]: npY = np.array(Y) npYvar = np.array(Yvar) npYsem = np.sqrt(Yvar) try: npY, npYsem = positive_part_james_stein(means=npY, sems=npYsem) except ValueError as e: logger.warning( str(e) + f" Raw (unshrunk) estimates used for outcome: {outcome}" ) Y = npY.tolist() npYvar = npYsem**2 Yvar = npYvar.tolist() return Y, Yvar