smac - ignore fail trial during initialize

src/Microsoft.ML.AutoML/Tuner/SmacTuner.cs

@@ -111,6 +111,12 @@ public Parameter Propose(TrialSettings settings)
             }
         }
 
+        // test purpose
+        internal Queue<Parameter> Candidates => _candidates;
+
+        // test purpose
+        internal List<TrialResult> Histories => _histories;
+
         private FastForestRegressionModelParameters FitModel(IEnumerable<TrialResult> history)
         {
             Single[] losses = new Single[history.Count()];
@@ -357,7 +363,10 @@ private double ComputeEI(double bestLoss, double[] forestStatistics)
 
         public void Update(TrialResult result)
         {
-            _histories.Add(result);
+            if (!double.IsNaN(result.Loss) && !double.IsInfinity(result.Loss))
+            {
+                _histories.Add(result);
+            }
         }
     }
 }

test/Microsoft.ML.AutoML.Tests/TunerTests.cs

@@ -66,6 +66,39 @@ public void tuner_e2e_test()
             }
         }
 
+        [Fact]
+        public void Smac_should_ignore_fail_trials_during_initialize()
+        {
+            // fix for https://github.com/dotnet/machinelearning-modelbuilder/issues/2721
+            var context = new MLContext(1);
+            var searchSpace = new SearchSpace<LbfgsOption>();
+            var tuner = new SmacTuner(context, searchSpace, seed: 1);
+            for (int i = 0; i != 1000; ++i)
+            {
+                var trialSettings = new TrialSettings()
+                {
+                    TrialId = i,
+                };
+
+                var param = tuner.Propose(trialSettings);
+                trialSettings.Parameter = param;
+                var option = param.AsType<LbfgsOption>();
+
+                option.L1Regularization.Should().BeInRange(0.03125f, 32768.0f);
+                option.L2Regularization.Should().BeInRange(0.03125f, 32768.0f);
+
+                tuner.Update(new TrialResult()
+                {
+                    DurationInMilliseconds = i * 1000,
+                    Loss = double.NaN,
+                    TrialSettings = trialSettings,
+                });
+            }
+
+            tuner.Candidates.Count.Should().Be(0);
+            tuner.Histories.Count.Should().Be(0);
+        }
+
         [Fact]
         public void CFO_should_be_recoverd_if_history_provided()
         {