Multi-task Bayesian Optimization¶

import os
import time

from copy import deepcopy
from typing import Optional

import numpy as np

import torch

from ax.core.data import Data
from ax.core.experiment import Experiment
from ax.core.generator_run import GeneratorRun
from ax.core.multi_type_experiment import MultiTypeExperiment
from ax.core.objective import Objective
from ax.core.observation import ObservationFeatures, observations_from_data
from ax.core.optimization_config import OptimizationConfig
from ax.core.parameter import ParameterType, RangeParameter
from ax.core.search_space import SearchSpace
from ax.metrics.hartmann6 import Hartmann6Metric
from ax.modelbridge.factory import get_sobol
from ax.modelbridge.registry import Models, MT_MTGP_trans, ST_MTGP_trans
from ax.modelbridge.torch import TorchModelBridge
from ax.modelbridge.transforms.convert_metric_names import tconfig_from_mt_experiment
from ax.plot.diagnostic import interact_batch_comparison
from ax.runners.synthetic import SyntheticRunner
from ax.utils.common.typeutils import checked_cast
from ax.utils.notebook.plotting import init_notebook_plotting, render

init_notebook_plotting()

SMOKE_TEST = os.environ.get("SMOKE_TEST")

# 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

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

# 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))

# Settings for the optimization benchmark.

# Number of repeated experiments, each with independent observation noise.
# This should be changed to 50 to reproduce the results from the paper.
if SMOKE_TEST:
    n_batches = 1
    n_init_online = 2
    n_init_offline = 2
    n_opt_online = 2
    n_opt_offline = 2
else:
    n_batches = 3  # Number of optimized BO batches
    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

# 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 = Models.BOTORCH_MODULAR(
            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()

def get_MTGP(
    experiment: Experiment,
    data: Data,
    search_space: Optional[SearchSpace] = None,
    trial_index: Optional[int] = None,
    device: torch.device = torch.device("cpu"),
    dtype: torch.dtype = torch.double,
) -> TorchModelBridge:
    """Instantiates a Multi-task Gaussian Process (MTGP) model that generates
    points with EI.

    If the input experiment is a MultiTypeExperiment then a
    Multi-type Multi-task GP model will be instantiated.
    Otherwise, the model will be a Single-type Multi-task GP.
    """

    if isinstance(experiment, MultiTypeExperiment):
        trial_index_to_type = {
            t.index: t.trial_type for t in experiment.trials.values()
        }
        transforms = MT_MTGP_trans
        transform_configs = {
            "TrialAsTask": {"trial_level_map": {"trial_type": trial_index_to_type}},
            "ConvertMetricNames": tconfig_from_mt_experiment(experiment),
        }
    else:
        # Set transforms for a Single-type MTGP model.
        transforms = ST_MTGP_trans
        transform_configs = None

    # Choose the status quo features for the experiment from the selected trial.
    # If trial_index is None, we will look for a status quo from the last
    # experiment trial to use as a status quo for the experiment.
    if trial_index is None:
        trial_index = len(experiment.trials) - 1
    elif trial_index >= len(experiment.trials):
        raise ValueError("trial_index is bigger than the number of experiment trials")

    status_quo = experiment.trials[trial_index].status_quo
    if status_quo is None:
        status_quo_features = None
    else:
        status_quo_features = ObservationFeatures(
            parameters=status_quo.parameters,
            trial_index=trial_index,  # pyre-ignore[6]
        )

    
    return checked_cast(
        TorchModelBridge,
        Models.ST_MTGP(
            experiment=experiment,
            search_space=search_space or experiment.search_space,
            data=data,
            transforms=transforms,
            transform_configs=transform_configs,
            torch_dtype=dtype,
            torch_device=device,
            status_quo_features=status_quo_features,
        ),
    )

# 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=[1.0] * 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)

runners = {
    "GP, online only": run_online_only_bo,
    "MTGP": run_mtbo,
}
for k, r in runners.items():
    r()