This tutorial uses synthetic functions to illustrate Bayesian optimization using a multi-task Gaussian Process in Ax. A typical use case is optimizing an expensive-to-evaluate (online) system with supporting (offline) simulations of that system.
Bayesian optimization with a multi-task kernel (Multi-task Bayesian optimization) is described by Swersky et al. (2013). Letham and Bakshy (2019) describe using multi-task Bayesian optimization to tune a ranking system with a mix of online and offline (simulator) experiments.
This tutorial produces the results of Online Appendix 2 from that paper.
The synthetic problem used here is to maximize the Hartmann 6 function, a classic optimization test problem in 6 dimensions. The objective is treated as unknown and are modeled with separate GPs. The objective is noisy.
Throughout the optimization we can make nosiy observations directly of the objective (an online observation), and we can make noisy observations of a biased version of the objective (offline observations). Bias is simulated by passing the function values through a piecewise linear function. Offline observations are much less time-consuming than online observations, so we wish to use them to improve our ability to optimize the online objective.
from copy import deepcopy
import numpy as np
import pandas as pd
from scipy.stats import norm
import time
from ax.core.data import Data
from ax.core.observation import ObservationFeatures, observations_from_data
from ax.core.optimization_config import OptimizationConfig
from ax.core.search_space import SearchSpace
from ax.core.objective import Objective
from ax.runners.synthetic import SyntheticRunner
from ax.modelbridge.random import RandomModelBridge
from ax.core.types import ComparisonOp
from ax.core.parameter import RangeParameter, ParameterType
from ax.core.multi_type_experiment import MultiTypeExperiment
from ax.metrics.hartmann6 import Hartmann6Metric
from ax.metrics.l2norm import L2NormMetric
from ax.modelbridge.factory import get_sobol, get_GPEI, get_MTGP
from ax.core.generator_run import GeneratorRun
from ax.plot.diagnostic import interact_batch_comparison
from ax.plot.trace import optimization_trace_all_methods
from ax.utils.notebook.plotting import init_notebook_plotting, render
init_notebook_plotting()
[INFO 08-10 23:29:21] ax.utils.notebook.plotting: Injecting Plotly library into cell. Do not overwrite or delete cell.
For this example, the online system is optimizing a Hartmann6 function. The Metric objects for these are directly imported above. We create analagous offline versions of this metrics which are identical but have a transform applied (a piecewise linear function). We construct Metric objects for each of them.
# Create metric with artificial offline bias, for the objective
# by passing the true values through a piecewise linear function.
class OfflineHartmann6Metric(Hartmann6Metric):
def f(self, x: np.ndarray) -> float:
raw_res = super().f(x)
m = -0.35
if raw_res < m:
return (1.5* (raw_res - m)) + m
else:
return (6.0 * (raw_res - m)) + m
A MultiTypeExperiment is used for managing online and offline trials together. It is constructed in several steps:
Finally, because this is a synthetic benchmark problem where the true function values are known, we will also register metrics with the true (noiseless) function values for plotting below.
def get_experiment(include_true_metric=True):
noise_sd = 0.1 # Observations will have this much Normal noise added to them
# 1. Create simple search space for [0,1]^d, d=6
param_names = [f"x{i}" for i in range(6)]
parameters=[
RangeParameter(
name=param_names[i], parameter_type=ParameterType.FLOAT, lower=0.0, upper=1.0
)
for i in range(6)
]
search_space=SearchSpace(parameters=parameters)
# 2. Specify optimization config
online_objective = Hartmann6Metric("objective", param_names=param_names, noise_sd=noise_sd)
opt_config = OptimizationConfig(objective=Objective(online_objective, minimize=True))
# 3. Init experiment
exp = MultiTypeExperiment(
name="mt_exp",
search_space=search_space,
default_trial_type="online",
default_runner=SyntheticRunner(),
optimization_config=opt_config,
)
# 4. Establish offline trial_type, and how those trials are deployed
exp.add_trial_type("offline", SyntheticRunner())
# 5. Add offline metrics that provide biased estimates of the online metrics
offline_objective = OfflineHartmann6Metric("offline_objective", param_names=param_names, noise_sd=noise_sd)
# Associate each offline metric with corresponding online metric
exp.add_tracking_metric(metric=offline_objective, trial_type="offline", canonical_name="objective")
return exp
These figures compare the online measurements to the offline measurements on a random set of points, for the objective metric. You can see the offline measurements are biased but highly correlated. This produces Fig. S3 from the paper.
# Generate 50 points from a Sobol sequence
exp = get_experiment(include_true_metric=False)
s = get_sobol(exp.search_space, scramble=False)
gr = s.gen(50)
# Deploy them both online and offline
exp.new_batch_trial(trial_type="online", generator_run=gr).run()
exp.new_batch_trial(trial_type="offline", generator_run=gr).run()
# Fetch data
data = exp.fetch_data()
observations = observations_from_data(exp, data)
# Plot the arms in batch 0 (online) vs. batch 1 (offline)
render(interact_batch_comparison(observations, exp, 1, 0))
Here we construct a Bayesian optimization loop that interleaves online and offline batches. The loop defined here is described in Algorithm 1 of the paper. We compare multi-task Bayesian optimization to regular Bayesian optimization using only online observations.
Here we measure performance over 3 repetitions of the loop. Each one takes 1-2 hours so the whole benchmark run will take several hours to complete.
# Settings for the optimization benchmark.
# This should be changed to 50 to reproduce the results from the paper.
n_reps = 3 # Number of repeated experiments, each with independent observation noise
n_init_online = 5 # Size of the quasirandom initialization run online
n_init_offline = 20 # Size of the quasirandom initialization run offline
n_opt_online = 5 # Batch size for BO selected points to be run online
n_opt_offline = 20 # Batch size for BO selected to be run offline
n_batches = 3 # Number of optimized BO batches
For the online-only case, we run n_init_online sobol points followed by n_batches batches of n_opt_online points selected by the GP. This is a normal Bayesian optimization loop.
# This function runs a Bayesian optimization loop, making online observations only.
def run_online_only_bo():
t1 = time.time()
### Do BO with online only
## Quasi-random initialization
exp_online = get_experiment()
m = get_sobol(exp_online.search_space, scramble=False)
gr = m.gen(n=n_init_online)
exp_online.new_batch_trial(trial_type="online", generator_run=gr).run()
## Do BO
for b in range(n_batches):
print('Online-only batch', b, time.time() - t1)
# Fit the GP
m = get_GPEI(
experiment=exp_online,
data=exp_online.fetch_data(),
search_space=exp_online.search_space,
)
# Generate the new batch
gr = m.gen(
n=n_opt_online,
search_space=exp_online.search_space,
optimization_config=exp_online.optimization_config,
)
exp_online.new_batch_trial(trial_type="online", generator_run=gr).run()
Here we incorporate offline observations to accelerate the optimization, while using the same total number of online observations as in the loop above. The strategy here is that outlined in Algorithm 1 of the paper.
n_init_online Sobol points online, and n_init_offline Sobol points offline.n_opt_offline candidates using NEI.n_opt_offline candidates offline and observe their offline metrics.n_opt_online of the NEI candidates, after incorporating their offline observations, and run them online.# Online batches are constructed by selecting the maximum utility points from the offline
# batch, after updating the model with the offline results. This function selects the max utility points according
# to the MTGP predictions.
def max_utility_from_GP(n, m, experiment, search_space, gr):
obsf = []
for arm in gr.arms:
params = deepcopy(arm.parameters)
params['trial_type'] = 'online'
obsf.append(ObservationFeatures(parameters=params))
# Make predictions
f, cov = m.predict(obsf)
# Compute expected utility
u = -np.array(f['objective'])
best_arm_indx = np.flip(np.argsort(u))[:n]
gr_new = GeneratorRun(
arms = [
gr.arms[i] for i in best_arm_indx
],
weights = [1.] * n,
)
return gr_new
# This function runs a multi-task Bayesian optimization loop, as outlined in Algorithm 1 and above.
def run_mtbo():
t1 = time.time()
online_trials = []
## 1. Quasi-random initialization, online and offline
exp_multitask = get_experiment()
# Online points
m = get_sobol(exp_multitask.search_space, scramble=False)
gr = m.gen(
n=n_init_online,
)
tr = exp_multitask.new_batch_trial(trial_type="online", generator_run=gr)
tr.run()
online_trials.append(tr.index)
# Offline points
m = get_sobol(exp_multitask.search_space, scramble=False)
gr = m.gen(
n=n_init_offline,
)
exp_multitask.new_batch_trial(trial_type="offline", generator_run=gr).run()
## Do BO
for b in range(n_batches):
print('Multi-task batch', b, time.time() - t1)
# (2 / 7). Fit the MTGP
m = get_MTGP(
experiment=exp_multitask,
data=exp_multitask.fetch_data(),
search_space=exp_multitask.search_space,
)
# 3. Finding the best points for the online task
gr = m.gen(
n=n_opt_offline,
optimization_config=exp_multitask.optimization_config,
fixed_features=ObservationFeatures(parameters={}, trial_index=online_trials[-1]),
)
# 4. But launch them offline
exp_multitask.new_batch_trial(trial_type="offline", generator_run=gr).run()
# 5. Update the model
m = get_MTGP(
experiment=exp_multitask,
data=exp_multitask.fetch_data(),
search_space=exp_multitask.search_space,
)
# 6. Select max-utility points from the offline batch to generate an online batch
gr = max_utility_from_GP(
n=n_opt_online,
m=m,
experiment=exp_multitask,
search_space=exp_multitask.search_space,
gr=gr,
)
tr = exp_multitask.new_batch_trial(trial_type="online", generator_run=gr)
tr.run()
online_trials.append(tr.index)
Run both Bayesian optimization loops and aggregate results.
runners = {
'GP, online only': run_online_only_bo,
'MTGP': run_mtbo,
}
for rep in range(n_reps):
print('Running rep', rep)
for k, r in runners.items():
r()
Running rep 0 Online-only batch 0 0.003736734390258789 Online-only batch 1 2.881654739379883 Online-only batch 2 10.21902847290039 Multi-task batch 0 0.009531497955322266 Multi-task batch 1 62.389803647994995 Multi-task batch 2 166.34559726715088 Running rep 1 Online-only batch 0 0.003335714340209961 Online-only batch 1 1.7845306396484375 Online-only batch 2 9.47388744354248 Multi-task batch 0 0.009569406509399414 Multi-task batch 1 67.50620198249817 Multi-task batch 2 284.2354328632355 Running rep 2 Online-only batch 0 0.0035400390625 Online-only batch 1 2.1461002826690674 Online-only batch 2 6.700790643692017 Multi-task batch 0 0.009426116943359375 Multi-task batch 1 50.79335570335388 Multi-task batch 2 199.1195433139801
Benjamin Letham and Eytan Bakshy. Bayesian optimization for policy search via online-offline experimentation. arXiv preprint arXiv:1603.09326, 2019.
Kevin Swersky, Jasper Snoek, and Ryan P Adams. Multi-task Bayesian optimization. In Advances in Neural Information Processing Systems 26, NIPS, pages 2004–2012, 2013.
Total runtime of script: 20 minutes, 15.88 seconds.