0.2.5

Trial Evaluation

There are 3 paradigms for evaluating trials in Ax. Note: ensure that you are using the appropriate type of trials for your experiment, before proceeding to trial evaluation.

Service API

The AxClient exposes get_next_trial, as well as complete_trial. The user is responsible for evaluating the trial parameters and passing the results to complete_trial.

...
for i in range(25):
    parameters, trial_index = ax_client.get_next_trial()
    raw_data = evaluate_trial(parameters)
    ax_client.complete_trial(trial_index=trial_index, raw_data=raw_data)

Evaluating Trial Parameters

In the Service API, the complete_trial requires raw_data evaluated from the parameters suggested by get_next_trial.

The data can be in the form of:

  • A dictionary of metric names to tuples of (mean and SEM)
  • A single (mean, SEM) tuple
  • A single mean

In the second case, Ax will assume that the mean and the SEM are for the experiment objective (if the evaluations are noiseless, simply provide an SEM of 0.0). In the third case, Ax will assume that observations are corrupted by Gaussian noise with zero mean and unknown SEM, and infer the SEM from the data (this is equivalent to specifying an SEM of None). Note that if the observation noise is non-zero (either provided or inferred), the "best arm" suggested by Ax may not always be the one whose evaluation returned the best observed value (as the "best arm" is selected based on the model-predicted mean).

For example, this evaluation function computes mean and SEM for Hartmann6 function and for the L2-norm. We return 0.0 for SEM since the observations are noiseless:

from ax.utils.measurement.synthetic_functions import hartmann6
def hartmann_evaluation_function(parameterization):
    x = np.array([parameterization.get(f"x{i+1}") for i in range(6)])
    # Standard error is 0, since we are computing a synthetic function.
    return {"hartmann6": (hartmann6(x), 0.0), "l2norm": (np.sqrt((x ** 2).sum()), 0.0)}

This function computes just the objective mean and SEM, assuming the Branin function is the objective on the experiment:

from ax.utils.measurement.synthetic_functions import branin
def branin_evaluation_function(parameterization):
    # Standard error is 0, since we are computing a synthetic function.
    return (branin(parameterization.get("x1"), parameterization.get("x2")), 0.0)

Alternatively, if the SEM is unknown, we could use the following form:

lambda parameterization: branin(parameterization.get("x1"), parameterization.get("x2"))

This is equivalent to returning None for the SEM:

from ax.utils.measurement.synthetic_functions import branin
def branin_evaluation_function_unknown_sem(parameterization):
    return (branin(parameterization.get("x1"), parameterization.get("x2")), None)

Loop API

The optimize function requires an evaluation_function, which accepts parameters and returns raw data in the format described above. It can also accept a weight parameter, a nullable float representing the fraction of available data on which the parameterization should be evaluated. For example, this could be a downsampling rate in case of hyperparameter optimization (what portion of data the ML model should be trained on for evaluation) or the percentage of users exposed to a given configuration in A/B testing. This weight is not used in unweighted experiments and defaults to None.

Developer API

The Developer API is supported by the Experiment class. In this paradigm, the user specifies:

  • Runner: Defines how to deploy the experiment.
  • List of Metrics: Each defining how to compute/fetch data for a given objective or outcome.

The experiment requires a generator_run to create a new trial or batch trial. A generator run can be generated by a model. The trial then has its own run and mark_complete methods.

...
sobol = Models.SOBOL(exp.search_space)
for i in range(5):
    trial = exp.new_trial(generator_run=sobol.gen(1))
    trial.run()
    trial.mark_completed()

for i in range(15):
    gpei = Models.GPEI(experiment=exp, data=exp.fetch_data())
    generator_run = gpei.gen(1)
    trial = exp.new_trial(generator_run=generator_run)
    trial.run()
    trial.mark_completed()

Custom Metrics

Similar to trial evaluation in the Service API, a custom metric computes a mean and SEM for each arm of a trial. However, the metric's fetch_trial_data method will be called automatically by the experiment's fetch_data method. If there are multiple objetives or outcomes that need to be optimized for, each needs its own metric.

class MyMetric(Metric):
    def fetch_trial_data(self, trial):
        records = []
        for arm_name, arm in trial.arms_by_name.items():
            params = arm.parameters
            records.append({
                "arm_name": arm_name,
                "metric_name": self.name,
                "mean": self.foo(params["x1"], params["x2"]),
                "sem": 0.0,
                "trial_index": trial.index,
            })
        return Data(df=pd.DataFrame.from_records(records))

Adding Your Own Runner

In order to control how the experiment is deployed, you can add your own runner. To do so, subclass Runner and implement the run method and staging_required property.

The run method accepts a Trial and returns a JSON-serializable dictionary of any necessary tracking info to fetch data later from this external system. A unique identifier or name for this trial in the external system should be stored in this dictionary with the key "name", and this can later be accessed via trial.deployed_name.

The staging_required indicates whether the trial requires an intermediate staging period before evaluation begins. This property returns False by default.

An example implementation is given below:

from foo_system import deploy_to_foo
from ax import Runner

class FooRunner(Runner):
    def __init__(self, foo_param):
        self.foo_param = foo_param

    def run(self, trial):
        name_to_params = {
            arm.name: arm.params for arm in trial.arms
        }
        run_metadata = deploy_to_foo(self.foo_param, name_to_params)
        return run_metadata

    @property
    def staging_required(self):
        return False

This is then invoked by calling:

exp = Experiment(...)
exp.runner = FooRunner(foo_param="foo")
trial = exp.new_batch_trial()

# This calls runner's run method and stores metadata output
# in the trial.run_metadata field
trial.run()
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