#!/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.
import logging
from math import ceil
from typing import cast, Optional, Tuple, Type, Union
from ax.core.objective import MultiObjective
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 Winsorize
from ax.utils.common.logger import get_logger
logger: logging.Logger = get_logger(__name__)
DEFAULT_BAYESIAN_PARALLELISM = 3
MAX_DISCRETE_COMBINATIONS = 65
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,
) -> 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},
)
def _make_botorch_step(
num_trials: int = -1,
min_trials_observed: Optional[int] = None,
enforce_num_trials: bool = True,
max_parallelism: Optional[int] = None,
model: Models = Models.GPEI,
winsorize: bool = False,
winsorization_limits: Optional[Tuple[Optional[float], Optional[float]]] = None,
) -> GenerationStep:
"""Shortcut for creating a BayesOpt generation step."""
if (winsorize and winsorization_limits is None) or (
winsorization_limits is not None and not winsorize
):
raise ValueError( # pragma: no cover
"To apply winsorization, specify `winsorize=True` and provide the "
"winsorization limits."
)
model_kwargs = None
if winsorize:
assert winsorization_limits is not None
model_kwargs = {
"transforms": [cast(Type[Transform], Winsorize)] + Cont_X_trans + Y_trans,
"transform_configs": {
"Winsorize": {
"winsorization_lower": winsorization_limits[0],
"winsorization_upper": winsorization_limits[1],
}
},
}
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=model_kwargs,
)
def _suggest_gp_model(
search_space: SearchSpace,
num_trials: Optional[int] = None,
optimization_config: Optional[OptimizationConfig] = None,
) -> 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 less distinct points in the search space
than the known intended number of total iterations.
2. We use BO_MIXED if there are less continuous parameters in the search
space than the sum of options for the *unordered* choice parameters.
3. We us MOO if `optimization_config` has multiple objectives.
4. In all other cases we use GPEI.
"""
num_continuous_parameters, num_discrete_choices = 0, 0
num_discrete_combinations, num_possible_points = 1, 1
all_range_parameters_are_int = True
for parameter in search_space.parameters.values():
if isinstance(parameter, ChoiceParameter):
num_discrete_choices += len(parameter.values)
num_discrete_combinations *= len(parameter.values)
num_possible_points *= len(parameter.values)
elif isinstance(parameter, RangeParameter):
num_continuous_parameters += 1
if parameter.parameter_type != ParameterType.INT:
all_range_parameters_are_int = False
else:
num_possible_points *= int(parameter.upper - parameter.lower)
if ( # If number of trials is known and it enough to try all possible points,
num_trials is not None # we should use Sobol and not BO.
and all_range_parameters_are_int
and num_possible_points <= num_trials
):
logger.info("Using Sobol since we can enumerate the search space.")
return None
is_moo_problem = (
optimization_config
and optimization_config.objective
and isinstance(optimization_config.objective, MultiObjective)
)
if num_continuous_parameters > num_discrete_choices:
logger.info(
"Using GPEI (Bayesian optimization) since there are more continuous "
"parameters than there are categories for the unordered categorical "
"parameters."
)
if is_moo_problem:
return Models.MOO
else:
return Models.GPEI
elif not is_moo_problem and num_discrete_combinations <= MAX_DISCRETE_COMBINATIONS:
logger.info(
"Using Bayesian optimization with a categorical kernel for improved "
"performance with a large number of unordered categorical parameters."
)
return Models.BO_MIXED
else:
logger.info(
f"Using Sobol since there are more than {MAX_DISCRETE_COMBINATIONS} "
"combinations for the categorical parameters. Consider removing a few "
"categorical parameters for improved performance. If possible, turn "
"all ordered categorical variables into RangeParameters"
)
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,
winsorize_botorch_model: bool = False,
winsorization_limits: Optional[Tuple[Optional[float], Optional[float]]] = 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,
) -> 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.
winsorize_botorch_model: Whether to apply the winsorization transform
prior to applying other transforms for fitting the BoTorch model.
winsorization_limits: Bounds for winsorization, if winsorizing, expressed
as percentile. Usually only the upper winsorization trim is used when
minimizing, and only the lower 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_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.
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`.
"""
suggested_model = _suggest_gp_model(
search_space=search_space,
num_trials=num_trials,
optimization_config=optimization_config,
)
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
else: # 1-arm trials.
num_initialization_trials = max(5, len(search_space.parameters))
# 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
gs = GenerationStrategy(
steps=[
_make_sobol_step(
num_trials=num_initialization_trials,
enforce_num_trials=enforce_sequential_optimization,
seed=random_seed,
max_parallelism=sobol_parallelism,
),
_make_botorch_step(
model=suggested_model,
winsorize=winsorize_botorch_model,
winsorization_limits=winsorization_limits,
max_parallelism=bo_parallelism,
),
]
)
logger.info(
f"Using Bayesian Optimization generation strategy: {gs}. Iterations after"
f" {num_initialization_trials} will take longer to generate due to "
" model-fitting."
)
return gs
logger.info("Using Sobol generation strategy.")
return GenerationStrategy(steps=[_make_sobol_step(seed=random_seed)])
