#!/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 __future__ import annotations
import itertools
from typing import Any, Callable, Dict, List, Optional, Tuple, Type
import torch
from ax.core.search_space import SearchSpaceDigest
from ax.core.types import TConfig
from ax.models.model_utils import (
mk_discrete_choices,
enumerate_discrete_combinations,
)
from ax.models.torch.botorch_modular.default_options import (
get_default_optimizer_options,
)
from ax.models.torch.botorch_modular.surrogate import Surrogate
from ax.models.torch.botorch_moo_defaults import infer_objective_thresholds
from ax.models.torch.utils import (
_get_X_pending_and_observed,
get_botorch_objective,
subset_model,
)
from ax.utils.common.base import Base
from ax.utils.common.constants import Keys
from ax.utils.common.docutils import copy_doc
from ax.utils.common.typeutils import not_none
from botorch.acquisition.acquisition import AcquisitionFunction
from botorch.acquisition.analytic import AnalyticAcquisitionFunction
from botorch.acquisition.input_constructors import get_acqf_input_constructor
from botorch.acquisition.objective import AcquisitionObjective
from botorch.models.model import Model
from botorch.optim.optimize import optimize_acqf
from botorch.optim.optimize import optimize_acqf_mixed, optimize_acqf_discrete
from torch import Tensor
[docs]class Acquisition(Base):
"""
**All classes in 'botorch_modular' directory are under
construction, incomplete, and should be treated as alpha
versions only.**
Ax wrapper for BoTorch `AcquisitionFunction`, subcomponent
of `BoTorchModel` and is not meant to be used outside of it.
Args:
surrogate: Surrogate model, with which this acquisition function
will be used.
search_space_digest: A SearchSpaceDigest object containing
metadata about the search space (e.g. bounds, parameter types).
objective_weights: The objective is to maximize a weighted sum of
the columns of f(x). These are the weights.
botorch_acqf_class: Type of BoTorch `AcquistitionFunction` that
should be used. Subclasses of `Acquisition` often specify
these via `default_botorch_acqf_class` attribute, in which
case specifying one here is not required.
options: Optional mapping of kwargs to the underlying `Acquisition
Function` in BoTorch.
pending_observations: A list of tensors, each of which contains
points whose evaluation is pending (i.e. that have been
submitted for evaluation) for a given outcome. A list
of m (k_i x d) feature tensors X for m outcomes and k_i,
pending observations for outcome i.
outcome_constraints: A tuple of (A, b). For k outcome constraints
and m outputs at f(x), A is (k x m) and b is (k x 1) such that
A f(x) <= b. (Not used by single task models)
linear_constraints: A tuple of (A, b). For k linear constraints on
d-dimensional x, A is (k x d) and b is (k x 1) such that
A x <= b. (Not used by single task models)
fixed_features: A map {feature_index: value} for features that
should be fixed to a particular value during generation.
"""
surrogate: Surrogate
acqf: AcquisitionFunction
def __init__(
self,
surrogate: Surrogate,
search_space_digest: SearchSpaceDigest,
objective_weights: Tensor,
botorch_acqf_class: Type[AcquisitionFunction],
options: Optional[Dict[str, Any]] = None,
pending_observations: Optional[List[Tensor]] = None,
outcome_constraints: Optional[Tuple[Tensor, Tensor]] = None,
linear_constraints: Optional[Tuple[Tensor, Tensor]] = None,
fixed_features: Optional[Dict[int, float]] = None,
objective_thresholds: Optional[Tensor] = None,
) -> None:
self.surrogate = surrogate
self.options = options or {}
X_pending, X_observed = _get_X_pending_and_observed(
Xs=self.surrogate.training_data.Xs,
objective_weights=objective_weights,
bounds=search_space_digest.bounds,
pending_observations=pending_observations,
outcome_constraints=outcome_constraints,
linear_constraints=linear_constraints,
fixed_features=fixed_features,
)
# store objective thresholds for all outcomes (including non-objectives)
self._objective_thresholds = objective_thresholds
full_objective_weights = objective_weights
full_outcome_constraints = outcome_constraints
# Subset model only to the outcomes we need for the optimization.
if self.options.get(Keys.SUBSET_MODEL, True):
subset_model_results = subset_model(
model=self.surrogate.model,
objective_weights=objective_weights,
outcome_constraints=outcome_constraints,
objective_thresholds=objective_thresholds,
)
model = subset_model_results.model
objective_weights = subset_model_results.objective_weights
outcome_constraints = subset_model_results.outcome_constraints
objective_thresholds = subset_model_results.objective_thresholds
subset_idcs = subset_model_results.indices
else:
model = self.surrogate.model
subset_idcs = None
# If objective weights suggest multiple objectives but objective
# thresholds are not specified, infer them using the model that
# has already been subset to avoid re-subsetting it within
# `inter_objective_thresholds`.
if (
objective_weights.nonzero().numel() > 1 # pyre-ignore [16]
and self._objective_thresholds is None
):
self._objective_thresholds = infer_objective_thresholds(
model=model,
objective_weights=full_objective_weights,
outcome_constraints=full_outcome_constraints,
X_observed=X_observed,
subset_idcs=subset_idcs,
)
objective_thresholds = (
not_none(self._objective_thresholds)[subset_idcs]
if subset_idcs is not None
else self._objective_thresholds
)
objective = self.get_botorch_objective(
botorch_acqf_class=botorch_acqf_class,
model=model,
objective_weights=objective_weights,
objective_thresholds=objective_thresholds,
outcome_constraints=outcome_constraints,
X_observed=X_observed,
)
model_deps = self.compute_model_dependencies(
surrogate=surrogate,
search_space_digest=search_space_digest,
objective_weights=objective_weights,
pending_observations=pending_observations,
outcome_constraints=outcome_constraints,
linear_constraints=linear_constraints,
fixed_features=fixed_features,
options=self.options,
)
input_constructor_kwargs = {
"X_baseline": X_observed,
"X_pending": X_pending,
"objective_thresholds": objective_thresholds,
"outcome_constraints": outcome_constraints,
**model_deps,
**self.options,
}
input_constructor = get_acqf_input_constructor(botorch_acqf_class)
acqf_inputs = input_constructor(
model=model,
training_data=self.surrogate.training_data,
objective=objective,
**input_constructor_kwargs,
)
self.acqf = botorch_acqf_class(**acqf_inputs) # pyre-ignore [45]
@property
def botorch_acqf_class(self) -> Type[AcquisitionFunction]:
"""BoTorch ``AcquisitionFunction`` class underlying this ``Acquisition``."""
return self.acqf.__class__
@property
def dtype(self) -> torch.dtype:
"""Torch data type of the tensors in the training data used in the model,
of which this ``Acquisition`` is a subcomponent.
"""
return self.surrogate.dtype
@property
def device(self) -> torch.device:
"""Torch device type of the tensors in the training data used in the model,
of which this ``Acquisition`` is a subcomponent.
"""
return self.surrogate.device
@property
def objective_thresholds(self) -> Optional[Tensor]:
"""The objective thresholds for all outcomes.
For non-objective outcomes, the objective thresholds are nans.
"""
return self._objective_thresholds
[docs] def optimize(
self,
n: int,
search_space_digest: SearchSpaceDigest,
inequality_constraints: Optional[List[Tuple[Tensor, Tensor, float]]] = None,
fixed_features: Optional[Dict[int, float]] = None,
rounding_func: Optional[Callable[[Tensor], Tensor]] = None,
optimizer_options: Optional[Dict[str, Any]] = None,
) -> Tuple[Tensor, Tensor]:
"""Generate a set of candidates via multi-start optimization. Obtains
candidates and their associated acquisition function values.
Args:
n: The number of candidates to generate.
search_space_digest: A ``SearchSpaceDigest`` object containing search space
properties, e.g. ``bounds`` for optimization.
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``.
fixed_features: A map `{feature_index: value}` for features that
should be fixed to a particular value during generation.
rounding_func: A function that post-processes an optimization
result appropriately (i.e., according to `round-trip`
transformations).
optimizer_options: Options for the optimizer function, e.g. ``sequential``
or ``raw_samples``.
"""
# NOTE: Could make use of `optimizer_class` when its added to BoTorch
# instead of calling `optimizer_acqf` or `optimize_acqf_discrete` etc.
optimizer_options_with_defaults = {
**get_default_optimizer_options(acqf_class=self.botorch_acqf_class),
**(optimizer_options or {}),
}
ssd = search_space_digest
tkwargs = {"dtype": self.dtype, "device": self.device}
# pyre-fixme[6]: Expected `Optional[torch.dtype]` for 2nd param but got
# `Union[torch.device, torch.dtype]`.
bounds = torch.tensor(ssd.bounds, **tkwargs).transpose(0, 1)
discrete_features = sorted(ssd.ordinal_features + ssd.categorical_features)
if fixed_features is not None:
for i in fixed_features:
if not 0 <= i < len(ssd.feature_names):
raise ValueError(f"Invalid fixed_feature index: {i}")
# 1. Handle the fully continuous search space.
if not discrete_features:
return optimize_acqf(
acq_function=self.acqf,
bounds=bounds,
q=n,
inequality_constraints=inequality_constraints,
fixed_features=fixed_features,
post_processing_func=rounding_func,
**optimizer_options_with_defaults,
)
# 2. Handle search spaces with discrete features.
discrete_choices = mk_discrete_choices(ssd=ssd, fixed_features=fixed_features)
# 2a. Handle the fully discrete search space.
if len(discrete_choices) == len(ssd.feature_names):
# For now we just enumerate all possible discrete combinations. This is not
# scalable and and only works for a reasonably small number of choices.
all_choices = (discrete_choices[i] for i in range(len(discrete_choices)))
# pyre-fixme[6]: Expected `Optional[torch.dtype]` for 2nd param but got
# `Union[torch.device, torch.dtype]`.
all_choices = torch.tensor(list(itertools.product(*all_choices)), **tkwargs)
return optimize_acqf_discrete(
acq_function=self.acqf,
q=n,
choices=all_choices,
**optimizer_options_with_defaults,
)
# 2b. Handle mixed search spaces that have discrete and continuous features.
return optimize_acqf_mixed(
acq_function=self.acqf,
bounds=bounds,
q=n,
# For now we just enumerate all possible discrete combinations. This is not
# scalable and and only works for a reasonably small number of choices. A
# slowdown warning is logged in `enumerate_discrete_combinations` if needed.
fixed_features_list=enumerate_discrete_combinations(
discrete_choices=discrete_choices
),
inequality_constraints=inequality_constraints,
post_processing_func=rounding_func,
**optimizer_options_with_defaults,
)
[docs] def evaluate(self, X: Tensor) -> Tensor:
"""Evaluate the acquisition function on the candidate set `X`.
Args:
X: A `batch_shape x q x d`-dim Tensor of t-batches with `q` `d`-dim design
points each.
Returns:
A `batch_shape'`-dim Tensor of acquisition values at the given
design points `X`, where `batch_shape'` is the broadcasted batch shape of
model and input `X`.
"""
# NOTE: `AcquisitionFunction.__call__` calls `forward`,
# so below is equivalent to `self.acqf.forward(X=X)`.
return self.acqf(X=X)
[docs] @copy_doc(Surrogate.best_in_sample_point)
def best_point(
self,
search_space_digest: SearchSpaceDigest,
objective_weights: Tensor,
outcome_constraints: Optional[Tuple[Tensor, Tensor]] = None,
linear_constraints: Optional[Tuple[Tensor, Tensor]] = None,
fixed_features: Optional[Dict[int, float]] = None,
options: Optional[TConfig] = None,
) -> Tuple[Tensor, float]:
return self.surrogate.best_in_sample_point(
search_space_digest=search_space_digest,
objective_weights=objective_weights,
outcome_constraints=outcome_constraints,
linear_constraints=linear_constraints,
fixed_features=fixed_features,
options=options,
)
[docs] def compute_model_dependencies(
self,
surrogate: Surrogate,
search_space_digest: SearchSpaceDigest,
objective_weights: Tensor,
pending_observations: Optional[List[Tensor]] = None,
outcome_constraints: Optional[Tuple[Tensor, Tensor]] = None,
linear_constraints: Optional[Tuple[Tensor, Tensor]] = None,
fixed_features: Optional[Dict[int, float]] = None,
options: Optional[Dict[str, Any]] = None,
) -> Dict[str, Any]:
"""Computes inputs to acquisition function class based on the given
surrogate model.
NOTE: When subclassing `Acquisition` from a superclass where this
method returns a non-empty dictionary of kwargs to `AcquisitionFunction`,
call `super().compute_model_dependencies` and then update that
dictionary of options with the options for the subclass you are creating
(unless the superclass' model dependencies should not be propagated to
the subclass). See `MultiFidelityKnowledgeGradient.compute_model_dependencies`
for an example.
Args:
surrogate: The surrogate object containing the BoTorch `Model`,
with which this `Acquisition` is to be used.
search_space_digest: A SearchSpaceDigest object containing
metadata about the search space (e.g. bounds, parameter types).
objective_weights: The objective is to maximize a weighted sum of
the columns of f(x). These are the weights.
pending_observations: A list of tensors, each of which contains
points whose evaluation is pending (i.e. that have been
submitted for evaluation) for a given outcome. A list
of m (k_i x d) feature tensors X for m outcomes and k_i,
pending observations for outcome i.
outcome_constraints: A tuple of (A, b). For k outcome constraints
and m outputs at f(x), A is (k x m) and b is (k x 1) such that
A f(x) <= b. (Not used by single task models)
linear_constraints: A tuple of (A, b). For k linear constraints on
d-dimensional x, A is (k x d) and b is (k x 1) such that
A x <= b. (Not used by single task models)
fixed_features: A map {feature_index: value} for features that
should be fixed to a particular value during generation.
options: The `options` kwarg dict, passed on initialization of
the `Acquisition` object.
Returns: A dictionary of surrogate model-dependent options, to be passed
as kwargs to BoTorch`AcquisitionFunction` constructor.
"""
return {}
[docs] def get_botorch_objective(
self,
botorch_acqf_class: Type[AcquisitionFunction],
model: Model,
objective_weights: Tensor,
objective_thresholds: Optional[Tensor] = None,
outcome_constraints: Optional[Tuple[Tensor, Tensor]] = None,
X_observed: Optional[Tensor] = None,
) -> AcquisitionObjective:
return get_botorch_objective(
model=model,
objective_weights=objective_weights,
use_scalarized_objective=issubclass(
botorch_acqf_class, AnalyticAcquisitionFunction
),
outcome_constraints=outcome_constraints,
objective_thresholds=objective_thresholds,
X_observed=X_observed,
)
