#!/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.
from typing import Any, Callable, Dict, List, Optional, Tuple
import numpy as np
from ax.core.search_space import SearchSpaceDigest
from ax.core.types import TCandidateMetadata, TGenMetadata
from ax.models.base import Model
from ax.models.types import TConfig
[docs]class NumpyModel(Model):
"""This class specifies the interface for a numpy-based model.
These methods should be implemented to have access to all of the features
of Ax.
"""
[docs] def fit(
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,
) -> None:
"""Fit model to m outcomes.
Args:
Xs: A list of m (k_i x d) feature matrices X. Number of rows k_i
can vary from i=1,...,m.
Ys: The corresponding list of m (k_i x 1) outcome arrays Y, for
each outcome.
Yvars: The variances of each entry in Ys, same shape.
search_space_digest: A SearchSpaceDigest object containing
metadata on the features in X.
metric_names: Names of each outcome Y in Ys.
candidate_metadata: Model-produced metadata for candidates, in
the order corresponding to the Xs.
"""
pass
[docs] def predict(self, X: np.ndarray) -> Tuple[np.ndarray, np.ndarray]:
"""Predict
Args:
X: (j x d) array of the j points at which to make predictions.
Returns:
2-element tuple containing
- (j x m) array of outcome predictions at X.
- (j x m x m) array of predictive covariances at X.
`cov[j, m1, m2]` is `Cov[m1@j, m2@j]`.
"""
raise NotImplementedError
[docs] def gen(
self,
n: int,
bounds: List[Tuple[float, float]],
objective_weights: np.ndarray,
outcome_constraints: Optional[Tuple[np.ndarray, np.ndarray]] = None,
linear_constraints: Optional[Tuple[np.ndarray, np.ndarray]] = None,
fixed_features: Optional[Dict[int, float]] = None,
pending_observations: Optional[List[np.ndarray]] = None,
model_gen_options: Optional[TConfig] = None,
rounding_func: Optional[Callable[[np.ndarray], np.ndarray]] = None,
) -> Tuple[
np.ndarray, np.ndarray, TGenMetadata, Optional[List[TCandidateMetadata]]
]:
"""
Generate new candidates.
Args:
n: Number of candidates to generate.
bounds: A list of (lower, upper) tuples for each column of X.
objective_weights: The objective is to maximize a weighted sum of
the columns of f(x). These are the weights.
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.
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.
fixed_features: A map {feature_index: value} for features that
should be fixed to a particular value during generation.
pending_observations: A list of m (k_i x d) feature arrays X
for m outcomes and k_i pending observations for outcome i.
model_gen_options: A config dictionary that can contain
model-specific options.
rounding_func: A function that rounds an optimization result (xbest)
appropriately (i.e., according to `round-trip` transformations)
Returns:
4-element tuple containing
- (n x d) tensor of generated points.
- n-tensor of weights for each point.
- Generation metadata
- Dictionary of model-specific metadata for the given
generation candidates
"""
raise NotImplementedError
[docs] def best_point(
self,
bounds: List[Tuple[float, float]],
objective_weights: np.ndarray,
outcome_constraints: Optional[Tuple[np.ndarray, np.ndarray]] = None,
linear_constraints: Optional[Tuple[np.ndarray, np.ndarray]] = None,
fixed_features: Optional[Dict[int, float]] = None,
model_gen_options: Optional[TConfig] = None,
) -> Optional[np.ndarray]:
"""
Identify the current best point, satisfying the constraints in the same
format as to gen.
Return None if no such point can be identified.
Args:
bounds: A list of (lower, upper) tuples for each column of X.
objective_weights: The objective is to maximize a weighted sum of
the columns of f(x). These are the weights.
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.
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.
fixed_features: A map {feature_index: value} for features that
should be fixed to a particular value in the best point.
model_gen_options: A config dictionary that can contain
model-specific options.
Returns:
A d-array of the best point.
"""
return None
[docs] def cross_validate(
self,
Xs_train: List[np.ndarray],
Ys_train: List[np.ndarray],
Yvars_train: List[np.ndarray],
X_test: np.ndarray,
) -> Tuple[np.ndarray, np.ndarray]:
"""Do cross validation with the given training and test sets.
Training set is given in the same format as to fit. Test set is given
in the same format as to predict.
Args:
Xs_train: A list of m (k_i x d) feature matrices X. Number of rows
k_i can vary from i=1,...,m.
Ys_train: The corresponding list of m (k_i x 1) outcome arrays Y,
for each outcome.
Yvars_train: The variances of each entry in Ys, same shape.
X_test: (j x d) array of the j points at which to make predictions.
Returns:
2-element tuple containing
- (j x m) array of outcome predictions at X.
- (j x m x m) array of predictive covariances at X.
cov[j, m1, m2] is Cov[m1@j, m2@j].
"""
raise NotImplementedError
[docs] def update(
self,
Xs: List[np.ndarray],
Ys: List[np.ndarray],
Yvars: List[np.ndarray],
candidate_metadata: Optional[List[List[TCandidateMetadata]]] = None,
**kwargs: Any,
) -> None:
"""Update the model.
Updating the model requires both existing and additional data.
The data passed into this method will become the new training data.
Args:
Xs: Existing + additional data for the model,
in the same format as for `fit`.
Ys: Existing + additional data for the model,
in the same format as for `fit`.
Yvars: Existing + additional data for the model,
in the same format as for `fit`.
candidate_metadata: Model-produced metadata for candidates, in
the order corresponding to the Xs.
"""
raise NotImplementedError
