#!/usr/bin/env python3
# Copyright (c) Facebook, Inc. and its affiliates.
#
# This source code is licensed under the MIT license found in the
# LICENSE file in the root directory of this source tree.
from dataclasses import dataclass
from typing import Any, Callable, Dict, List, Optional, Set, Tuple
import numpy as np
from ax.core.observation import ObservationData, ObservationFeatures
from ax.core.optimization_config import (
OptimizationConfig,
)
from ax.core.outcome_constraint import ScalarizedOutcomeConstraint
from ax.core.search_space import SearchSpace
from ax.core.types import TCandidateMetadata, TConfig, TGenMetadata
from ax.modelbridge.base import ModelBridge
from ax.modelbridge.modelbridge_utils import (
array_to_observation_data,
extract_objective_weights,
extract_outcome_constraints,
extract_parameter_constraints,
extract_search_space_digest,
get_fixed_features,
observation_data_to_array,
observation_features_to_array,
parse_observation_features,
pending_observations_as_array,
transform_callback,
SearchSpaceDigest,
)
from ax.utils.common.typeutils import not_none
FIT_MODEL_ERROR = "Model must be fit before {action}."
[docs]@dataclass
class ArrayModelGenArgs:
search_space_digest: SearchSpaceDigest
objective_weights: np.ndarray
outcome_constraints: Optional[Tuple[np.ndarray, np.ndarray]]
linear_constraints: Optional[Tuple[np.ndarray, np.ndarray]]
fixed_features: Optional[Dict[int, float]]
pending_observations: Optional[List[np.ndarray]]
rounding_func: Callable[[np.ndarray], np.ndarray]
extra_model_gen_kwargs: Dict[str, Any]
# pyre-fixme[13]: Attribute `model` is never initialized.
# pyre-fixme[13]: Attribute `outcomes` is never initialized.
# pyre-fixme[13]: Attribute `parameters` is never initialized.
[docs]class ArrayModelBridge(ModelBridge):
"""A model bridge for using array-based models.
Requires that all non-task parameters have been transformed to RangeParameters.
If there are any (non-task) discrete parameters (e.g. as obtained via a
ChoiceEncode transform), those need to be of integer type with parameter
space normalized to `{0, 1, ..., num_choices-1}`. The `num_choices` information
is passed to the model and optimization needs to take this into account and return
only candidates that take values in this parameter space (specifically, there is
no relaxation and no rounding is applied).
All other parameters need to be of float type on a regular (non-log) scale.
This will convert all parameter types to float and put data into arrays.
"""
model: Any
outcomes: List[str]
parameters: List[str]
def _fit(
self,
model: Any,
search_space: SearchSpace,
observation_features: List[ObservationFeatures],
observation_data: List[ObservationData],
) -> None:
# Convert observations to arrays
self.parameters = list(search_space.parameters.keys())
all_metric_names: Set[str] = set()
for od in observation_data:
all_metric_names.update(od.metric_names)
self.outcomes = sorted(all_metric_names) # Deterministic order
# Convert observations to arrays
Xs_array, Ys_array, Yvars_array, candidate_metadata = _convert_observations(
observation_data=observation_data,
observation_features=observation_features,
outcomes=self.outcomes,
parameters=self.parameters,
)
# Get all relevant information on the parameters
search_space_digest = extract_search_space_digest(
search_space=search_space, param_names=self.parameters
)
# Fit
self._model_fit(
model=model,
Xs=Xs_array,
Ys=Ys_array,
Yvars=Yvars_array,
search_space_digest=search_space_digest,
metric_names=self.outcomes,
candidate_metadata=candidate_metadata,
)
def _model_fit(
self,
model: Any,
Xs: List[np.ndarray],
Ys: List[np.ndarray],
Yvars: List[np.ndarray],
search_space_digest: SearchSpaceDigest,
metric_names: List[str],
candidate_metadata: Optional[List[List[TCandidateMetadata]]],
) -> None:
"""Fit the model, given numpy types."""
self.model = model
self.model.fit(
Xs=Xs,
Ys=Ys,
Yvars=Yvars,
search_space_digest=search_space_digest,
metric_names=metric_names,
candidate_metadata=candidate_metadata,
)
def _update(
self,
search_space: SearchSpace,
observation_features: List[ObservationFeatures],
observation_data: List[ObservationData],
) -> None:
"""Apply terminal transform for update data, and pass along to model."""
Xs_array, Ys_array, Yvars_array, candidate_metadata = _convert_observations(
observation_data=observation_data,
observation_features=observation_features,
outcomes=self.outcomes,
parameters=self.parameters,
)
search_space_digest = extract_search_space_digest(
search_space=search_space, param_names=self.parameters
)
# Update in-design status for these new points.
self._model_update(
Xs=Xs_array,
Ys=Ys_array,
Yvars=Yvars_array,
search_space_digest=search_space_digest,
metric_names=self.outcomes,
candidate_metadata=candidate_metadata,
)
def _model_update(
self,
Xs: List[np.ndarray],
Ys: List[np.ndarray],
Yvars: List[np.ndarray],
search_space_digest: SearchSpaceDigest,
metric_names: List[str],
candidate_metadata: Optional[List[List[TCandidateMetadata]]],
) -> None:
self.model.update(
Xs=Xs,
Ys=Ys,
Yvars=Yvars,
search_space_digest=search_space_digest,
metric_names=self.outcomes,
candidate_metadata=candidate_metadata,
)
def _predict(
self, observation_features: List[ObservationFeatures]
) -> List[ObservationData]:
X = observation_features_to_array(self.parameters, observation_features)
f, cov = self._model_predict(X=X)
# Convert arrays to observations
return array_to_observation_data(f=f, cov=cov, outcomes=self.outcomes)
def _model_predict(
self, X: np.ndarray
) -> Tuple[np.ndarray, np.ndarray]: # pragma: no cover
return self.model.predict(X=X)
def _get_extra_model_gen_kwargs(
self, optimization_config: OptimizationConfig
) -> Dict[str, Any]:
return {}
def _get_transformed_model_gen_args(
self,
search_space: SearchSpace,
pending_observations: Dict[str, List[ObservationFeatures]],
fixed_features: ObservationFeatures,
model_gen_options: Optional[TConfig] = None,
optimization_config: Optional[OptimizationConfig] = None,
) -> ArrayModelGenArgs:
# Validation
if not self.parameters: # pragma: no cover
raise ValueError(FIT_MODEL_ERROR.format(action="_gen"))
# Extract search space info
search_space_digest = extract_search_space_digest(
search_space=search_space, param_names=self.parameters
)
if optimization_config is None:
raise ValueError(
"ArrayModelBridge requires an OptimizationConfig to be specified"
)
if self.outcomes is None or len(self.outcomes) == 0: # pragma: no cover
raise ValueError("No outcomes found during model fit--data are missing.")
validate_optimization_config(optimization_config, self.outcomes)
objective_weights = extract_objective_weights(
objective=optimization_config.objective, outcomes=self.outcomes
)
outcome_constraints = extract_outcome_constraints(
outcome_constraints=optimization_config.outcome_constraints,
outcomes=self.outcomes,
)
extra_model_gen_kwargs = self._get_extra_model_gen_kwargs(
optimization_config=optimization_config
)
linear_constraints = extract_parameter_constraints(
search_space.parameter_constraints, self.parameters
)
fixed_features_dict = get_fixed_features(fixed_features, self.parameters)
pending_array = pending_observations_as_array(
pending_observations, self.outcomes, self.parameters
)
return ArrayModelGenArgs(
search_space_digest=search_space_digest,
objective_weights=objective_weights,
outcome_constraints=outcome_constraints,
linear_constraints=linear_constraints,
fixed_features=fixed_features_dict,
pending_observations=pending_array,
rounding_func=transform_callback(self.parameters, self.transforms),
extra_model_gen_kwargs=extra_model_gen_kwargs,
)
def _gen(
self,
n: int,
search_space: SearchSpace,
pending_observations: Dict[str, List[ObservationFeatures]],
fixed_features: ObservationFeatures,
model_gen_options: Optional[TConfig] = None,
optimization_config: Optional[OptimizationConfig] = None,
) -> Tuple[
List[ObservationFeatures],
List[float],
Optional[ObservationFeatures],
TGenMetadata,
]:
"""Generate new candidates according to search_space and
optimization_config.
The outcome constraints should be transformed to no longer be relative.
"""
array_model_gen_args = self._get_transformed_model_gen_args(
search_space=search_space,
pending_observations=pending_observations,
fixed_features=fixed_features,
model_gen_options=model_gen_options,
optimization_config=optimization_config,
)
# Generate the candidates
search_space_digest = array_model_gen_args.search_space_digest
# TODO: pass array_model_gen_args to _model_gen
X, w, gen_metadata, candidate_metadata = self._model_gen(
n=n,
bounds=search_space_digest.bounds,
objective_weights=array_model_gen_args.objective_weights,
outcome_constraints=array_model_gen_args.outcome_constraints,
linear_constraints=array_model_gen_args.linear_constraints,
fixed_features=array_model_gen_args.fixed_features,
pending_observations=array_model_gen_args.pending_observations,
model_gen_options=model_gen_options,
rounding_func=array_model_gen_args.rounding_func,
target_fidelities=search_space_digest.target_fidelities,
**array_model_gen_args.extra_model_gen_kwargs,
)
# Transform array to observations
observation_features = parse_observation_features(
X=X, param_names=self.parameters, candidate_metadata=candidate_metadata
)
xbest = self._model_best_point(
bounds=search_space_digest.bounds,
objective_weights=array_model_gen_args.objective_weights,
outcome_constraints=array_model_gen_args.outcome_constraints,
linear_constraints=array_model_gen_args.linear_constraints,
fixed_features=array_model_gen_args.fixed_features,
model_gen_options=model_gen_options,
target_fidelities=search_space_digest.target_fidelities,
)
best_obsf = (
None
if xbest is None
else ObservationFeatures(
parameters={p: float(xbest[i]) for i, p in enumerate(self.parameters)}
)
)
return observation_features, w.tolist(), best_obsf, gen_metadata
def _model_gen(
self,
n: int,
bounds: List[Tuple[float, float]],
objective_weights: np.ndarray,
outcome_constraints: Optional[Tuple[np.ndarray, np.ndarray]],
linear_constraints: Optional[Tuple[np.ndarray, np.ndarray]],
fixed_features: Optional[Dict[int, float]],
pending_observations: Optional[List[np.ndarray]],
model_gen_options: Optional[TConfig],
rounding_func: Callable[[np.ndarray], np.ndarray],
target_fidelities: Optional[Dict[int, float]] = None,
) -> Tuple[
np.ndarray, np.ndarray, TGenMetadata, List[TCandidateMetadata]
]: # pragma: no cover
if target_fidelities:
raise NotImplementedError(
"target_fidelities not supported by ArrayModelBridge"
)
return self.model.gen(
n=n,
bounds=bounds,
objective_weights=objective_weights,
outcome_constraints=outcome_constraints,
linear_constraints=linear_constraints,
fixed_features=fixed_features,
pending_observations=pending_observations,
model_gen_options=model_gen_options,
rounding_func=rounding_func,
)
def _model_best_point(
self,
bounds: List[Tuple[float, float]],
objective_weights: np.ndarray,
outcome_constraints: Optional[Tuple[np.ndarray, np.ndarray]],
linear_constraints: Optional[Tuple[np.ndarray, np.ndarray]],
fixed_features: Optional[Dict[int, float]],
model_gen_options: Optional[TConfig],
target_fidelities: Optional[Dict[int, float]] = None,
) -> Optional[np.ndarray]: # pragma: no cover
if target_fidelities:
raise NotImplementedError(
"target_fidelities not supported by ArrayModelBridge"
)
try:
return self.model.best_point(
bounds=bounds,
objective_weights=objective_weights,
outcome_constraints=outcome_constraints,
linear_constraints=linear_constraints,
fixed_features=fixed_features,
model_gen_options=model_gen_options,
)
except NotImplementedError:
return None
def _cross_validate(
self,
search_space: SearchSpace,
obs_feats: List[ObservationFeatures],
obs_data: List[ObservationData],
cv_test_points: List[ObservationFeatures],
) -> List[ObservationData]:
"""Make predictions at cv_test_points using only the data in obs_feats
and obs_data.
"""
Xs_train, Ys_train, Yvars_train, candidate_metadata = _convert_observations(
observation_data=obs_data,
observation_features=obs_feats,
outcomes=self.outcomes,
parameters=self.parameters,
)
search_space_digest = extract_search_space_digest(
search_space=search_space, param_names=self.parameters
)
X_test = np.array(
[[obsf.parameters[p] for p in self.parameters] for obsf in cv_test_points]
)
# Use the model to do the cross validation
f_test, cov_test = self._model_cross_validate(
Xs_train=Xs_train,
Ys_train=Ys_train,
Yvars_train=Yvars_train,
X_test=X_test,
search_space_digest=search_space_digest,
metric_names=self.outcomes,
)
# Convert array back to ObservationData
return array_to_observation_data(f=f_test, cov=cov_test, outcomes=self.outcomes)
def _model_cross_validate(
self,
Xs_train: List[np.ndarray],
Ys_train: List[np.ndarray],
Yvars_train: List[np.ndarray],
X_test: np.ndarray,
search_space_digest: SearchSpaceDigest,
metric_names: List[str],
) -> Tuple[np.ndarray, np.ndarray]: # pragma: no cover
return self.model.cross_validate(
Xs_train=Xs_train,
Ys_train=Ys_train,
Yvars_train=Yvars_train,
X_test=X_test,
search_space_digest=search_space_digest,
metric_names=metric_names,
)
def _evaluate_acquisition_function(
self, observation_features: List[ObservationFeatures]
) -> List[float]:
X = observation_features_to_array(self.parameters, observation_features)
return self._model_evaluate_acquisition_function(X=X).tolist()
def _model_evaluate_acquisition_function(self, X: np.ndarray) -> np.ndarray:
raise NotImplementedError # pragma: no cover
def _transform_callback(self, x: np.ndarray) -> np.ndarray: # pragma: no cover
"""A function that performs the `round trip` transformations.
This function is passed to _model_gen.
"""
# apply reverse terminal transform to turn array to ObservationFeatures
observation_features = [
ObservationFeatures(
parameters={p: float(x[i]) for i, p in enumerate(self.parameters)}
)
]
# reverse loop through the transforms and do untransform
for t in reversed(self.transforms.values()):
observation_features = t.untransform_observation_features(
observation_features
)
# forward loop through the transforms and do transform
for t in self.transforms.values():
observation_features = t.transform_observation_features(
observation_features
)
new_x: List[float] = [
# pyre-fixme[6]: Expected `Union[_SupportsIndex, bytearray, bytes, str,
# typing.SupportsFloat]` for 1st param but got `Union[None, bool, float,
# int, str]`.
float(observation_features[0].parameters[p])
for p in self.parameters
]
# turn it back into an array
return np.array(new_x)
[docs] def feature_importances(self, metric_name: str) -> Dict[str, float]:
importances_tensor = not_none(self.model).feature_importances()
importances_dict = dict(zip(self.outcomes, importances_tensor))
importances_arr = importances_dict[metric_name].flatten()
return dict(zip(self.parameters, importances_arr))
def _transform_observation_data(
self, observation_data: List[ObservationData]
) -> Any: # TODO(jej): Make return type parametric
"""Apply terminal transform to given observation data and return result.
Converts a set of observation data to a tuple of
- an (n x m) array of means
- an (n x m x m) array of covariances
"""
try:
return observation_data_to_array(
outcomes=self.outcomes, observation_data=observation_data
)
except (KeyError, TypeError): # pragma: no cover
raise ValueError("Invalid formatting of observation data.")
def _transform_observation_features(
self, observation_features: List[ObservationFeatures]
) -> Any: # TODO(jej): Make return type parametric
"""Apply terminal transform to given observation features and return result
as an N x D array of points.
"""
try:
return np.array(
[
# pyre-ignore[6]: Except statement below should catch wrongly
# typed parameters.
[float(of.parameters[p]) for p in self.parameters]
for of in observation_features
]
)
except (KeyError, TypeError): # pragma: no cover
raise ValueError("Invalid formatting of observation features.")
def _convert_observations(
observation_data: List[ObservationData],
observation_features: List[ObservationFeatures],
outcomes: List[str],
parameters: List[str],
) -> Tuple[
List[np.ndarray],
List[np.ndarray],
List[np.ndarray],
Optional[List[List[TCandidateMetadata]]],
]:
"""Converts observations to model's `fit` or `update` inputs: Xs, Ys, Yvars, and
candidate metadata.
NOTE: All four outputs are organized as lists over outcomes. E.g. if there are two
outcomes, 'x' and 'y', the Xs are formatted like so: `[Xs_x_ndarray, Xs_y_ndarray]`.
We specifically do not assume that every point is observed for every outcome.
This means that the array for each of those outcomes may be different, and in
particular could have a different length (e.g. if a particular arm was observed
only for half of the outcomes, it would be present in half of the arrays in the
list but not the other half.)
"""
Xs: List[List[List[float]]] = [[] for _ in outcomes]
Ys: List[List[float]] = [[] for _ in outcomes]
Yvars: List[List[float]] = [[] for _ in outcomes]
candidate_metadata: List[List[TCandidateMetadata]] = [[] for _ in outcomes]
any_candidate_metadata_is_not_none = False
for i, of in enumerate(observation_features):
try:
x: List[float] = [
float(of.parameters[p]) for p in parameters # pyre-ignore
]
except (KeyError, TypeError):
raise ValueError("Out of design points cannot be converted.")
for j, m in enumerate(observation_data[i].metric_names):
k = outcomes.index(m)
Xs[k].append(x)
Ys[k].append(observation_data[i].means[j])
Yvars[k].append(observation_data[i].covariance[j, j])
if of.metadata is not None:
any_candidate_metadata_is_not_none = True
candidate_metadata[k].append(of.metadata)
Xs_array = [np.array(x_) for x_ in Xs]
Ys_array = [np.array(y_)[:, None] for y_ in Ys]
Yvars_array = [np.array(var)[:, None] for var in Yvars]
if not any_candidate_metadata_is_not_none:
candidate_metadata = None # pyre-ignore[9]: Change of variable type.
return Xs_array, Ys_array, Yvars_array, candidate_metadata
[docs]def validate_optimization_config(
optimization_config: OptimizationConfig, outcomes: List[str]
) -> None:
"""Validate optimization config against model fitted outcomes.
Args:
optimization_config: Config to validate.
outcomes: List of metric names w/ valid model fits.
Raises:
ValueError if:
1. Relative constraints are found
2. Optimization metrics are not present in model fitted outcomes.
"""
for c in optimization_config.outcome_constraints:
if c.relative:
raise ValueError(f"{c} is a relative constraint.")
if isinstance(c, ScalarizedOutcomeConstraint):
for c_metric in c.metrics:
if c_metric.name not in outcomes: # pragma: no cover
raise ValueError(
f"Scalarized constraint metric component {c.metric.name} "
+ "not found in fitted data."
)
elif c.metric.name not in outcomes: # pragma: no cover
raise ValueError(
f"Outcome constraint metric {c.metric.name} not found in fitted data."
)
obj_metric_names = [m.name for m in optimization_config.objective.metrics]
for obj_metric_name in obj_metric_names:
if obj_metric_name not in outcomes: # pragma: no cover
raise ValueError(
f"Objective metric {obj_metric_name} not found in fitted data."
)
