Implement qLogNParEGO (#2364)

saitcakmak · facebook-github-bot · commit 43a19fe2bfa6 · 2024-06-05T14:52:35.000-07:00
Summary:

Adds an implementation of qLogNParEGO that is compatible with Ax MBM. This constructs the Chebyshev scalarization before deferring to qLogNEI for remaining computations. The construction of the Chebyshev objective mirrors what was done in `_get_acqusition_func` for the legacy Ax model.

Differential Revision: D58122015
diff --git a/botorch/acquisition/input_constructors.py b/botorch/acquisition/input_constructors.py
@@ -76,6 +76,7 @@
     qLogNoisyExpectedHypervolumeImprovement,
 )
 from botorch.acquisition.multi_objective.objective import IdentityMCMultiOutputObjective
+from botorch.acquisition.multi_objective.parego import qLogNParEGO
 from botorch.acquisition.multi_objective.utils import get_default_partitioning_alpha
 from botorch.acquisition.objective import (
     ConstrainedMCObjective,
@@ -1115,6 +1116,84 @@ def construct_inputs_qLogNEHVI(
     }
 
 
+@acqf_input_constructor(qLogNParEGO)
+def construct_inputs_qLogNParEGO(
+    model: Model,
+    training_data: MaybeDict[SupervisedDataset],
+    scalarization_weights: Optional[Tensor] = None,
+    objective: Optional[MCMultiOutputObjective] = None,
+    X_pending: Optional[Tensor] = None,
+    sampler: Optional[MCSampler] = None,
+    X_baseline: Optional[Tensor] = None,
+    prune_baseline: Optional[bool] = True,
+    cache_root: Optional[bool] = True,
+    constraints: Optional[List[Callable[[Tensor], Tensor]]] = None,
+    eta: Union[Tensor, float] = 1e-3,
+    fat: bool = True,
+    tau_max: float = TAU_MAX,
+    tau_relu: float = TAU_RELU,
+):
+    r"""Construct kwargs for the `qLogNoisyExpectedImprovement` constructor.
+
+    Args:
+        model: The model to be used in the acquisition function.
+        training_data: Dataset(s) used to train the model.
+        scalarization_weights: A `m`-dim Tensor of weights to be used in the
+            Chebyshev scalarization. If omitted, samples from the unit simplex.
+        objective: The MultiOutputMCAcquisitionObjective under which the samples are
+            evaluated before applying Chebyshev scalarization.
+            Defaults to `IdentityMultiOutputObjective()`.
+        X_pending: A `m x d`-dim Tensor of `m` design points that have been
+            submitted for function evaluation but have not yet been evaluated.
+            Concatenated into X upon forward call.
+        sampler: The sampler used to draw base samples. If omitted, uses
+            the acquisition functions's default sampler.
+        X_baseline: A `batch_shape x r x d`-dim Tensor of `r` design points
+            that have already been observed. These points are considered as
+            the potential best design point. If omitted, checks that all
+            training_data have the same input features and take the first `X`.
+        prune_baseline: If True, remove points in `X_baseline` that are
+            highly unlikely to be the best point. This can significantly
+            improve performance and is generally recommended.
+        constraints: A list of constraint callables which map a Tensor of posterior
+            samples of dimension `sample_shape x batch-shape x q x m`-dim to a
+            `sample_shape x batch-shape x q`-dim Tensor. The associated constraints
+            are considered satisfied if the output is less than zero.
+        eta: Temperature parameter(s) governing the smoothness of the sigmoid
+            approximation to the constraint indicators. For more details, on this
+            parameter, see the docs of `compute_smoothed_feasibility_indicator`.
+        fat: Toggles the use of the fat-tailed non-linearities to smoothly approximate
+            the constraints indicator function.
+        tau_max: Temperature parameter controlling the sharpness of the smooth
+            approximations to max.
+        tau_relu: Temperature parameter controlling the sharpness of the smooth
+            approximations to ReLU.
+
+    Returns:
+        A dict mapping kwarg names of the constructor to values.
+    """
+    base_inputs = construct_inputs_qLogNEI(
+        model=model,
+        training_data=training_data,
+        objective=objective,
+        X_pending=X_pending,
+        sampler=sampler,
+        X_baseline=X_baseline,
+        prune_baseline=prune_baseline,
+        cache_root=cache_root,
+        constraints=constraints,
+        eta=eta,
+        fat=fat,
+        tau_max=tau_max,
+        tau_relu=tau_relu,
+    )
+    base_inputs.pop("posterior_transform", None)
+    return {
+        **base_inputs,
+        "scalarization_weights": scalarization_weights,
+    }
+
+
 @acqf_input_constructor(qMaxValueEntropy)
 def construct_inputs_qMES(
     model: Model,
diff --git a/botorch/acquisition/multi_objective/parego.py b/botorch/acquisition/multi_objective/parego.py
@@ -0,0 +1,144 @@
+# 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 Callable, List, Optional, Union
+
+import torch
+from botorch.acquisition.logei import qLogNoisyExpectedImprovement, TAU_MAX, TAU_RELU
+from botorch.acquisition.multi_objective.monte_carlo import (
+    MultiObjectiveMCAcquisitionFunction,
+)
+from botorch.acquisition.multi_objective.objective import MCMultiOutputObjective
+from botorch.acquisition.objective import GenericMCObjective
+from botorch.models.model import Model
+from botorch.posteriors.fully_bayesian import MCMC_DIM
+from botorch.sampling.base import MCSampler
+from botorch.utils.multi_objective.scalarization import get_chebyshev_scalarization
+from botorch.utils.sampling import sample_simplex
+from botorch.utils.transforms import is_ensemble
+from torch import Tensor
+
+
+class qLogNParEGO(qLogNoisyExpectedImprovement, MultiObjectiveMCAcquisitionFunction):
+    def __init__(
+        self,
+        model: Model,
+        X_baseline: Tensor,
+        scalarization_weights: Optional[Tensor] = None,
+        sampler: Optional[MCSampler] = None,
+        objective: Optional[MCMultiOutputObjective] = None,
+        constraints: Optional[List[Callable[[Tensor], Tensor]]] = None,
+        X_pending: Optional[Tensor] = None,
+        eta: Union[Tensor, float] = 1e-3,
+        fat: bool = True,
+        prune_baseline: bool = False,
+        cache_root: bool = True,
+        tau_relu: float = TAU_RELU,
+        tau_max: float = TAU_MAX,
+    ) -> None:
+        r"""q-LogNParEGO supporting m >= 2 outcomes. This acquisition function
+        utilizes qLogNEI to compute the expected improvement over Chebyshev
+        scalarization of the objectives.
+
+        This is adapted from qNParEGO proposed in [Daulton2020qehvi]_ to utilize
+        log-improvement acquisition functions of [Ament2023logei]_. See [Knowles2005]_
+        for the original ParEGO algorithm.
+
+        This implementation assumes maximization of all objectives. If any of the model
+        outputs are to be minimized, either an `objective` should be used to negate the
+        model outputs or the `scalarization_weights` should be provided with negative
+        weights for the outputs to be minimized.
+
+         Args:
+            model: A fitted multi-output model, producing outputs for `m` objectives
+                and any number of outcome constraints.
+                NOTE: The model posterior must have a `mean` attribute.
+            X_baseline: A `batch_shape x r x d`-dim Tensor of `r` design points
+                that have already been observed. These points are considered as
+                the potential best design point.
+            scalarization_weights: A `m`-dim Tensor of weights to be used in the
+                Chebyshev scalarization. If omitted, samples from the unit simplex.
+            sampler: The sampler used to draw base samples. See `MCAcquisitionFunction`
+                more details.
+            objective: The MultiOutputMCAcquisitionObjective under which the samples are
+                evaluated before applying Chebyshev scalarization.
+                Defaults to `IdentityMultiOutputObjective()`.
+            constraints: A list of constraint callables which map a Tensor of posterior
+                samples of dimension `sample_shape x batch-shape x q x m'`-dim to a
+                `sample_shape x batch-shape x q`-dim Tensor. The associated constraints
+                are satisfied if `constraint(samples) < 0`.
+            X_pending: A `batch_shape x q' x d`-dim Tensor of `q'` design points
+                that have points that have been submitted for function evaluation
+                but have not yet been evaluated. Concatenated into `X` upon
+                forward call. Copied and set to have no gradient.
+            eta: Temperature parameter(s) governing the smoothness of the sigmoid
+                approximation to the constraint indicators. See the docs of
+                `compute_(log_)smoothed_constraint_indicator` for details.
+            fat: Toggles the logarithmic / linear asymptotic behavior of the smooth
+                approximation to the ReLU.
+            prune_baseline: If True, remove points in `X_baseline` that are
+                highly unlikely to be the best point. This can significantly
+                improve performance and is generally recommended. In order to
+                customize pruning parameters, instead manually call
+                `botorch.acquisition.utils.prune_inferior_points` on `X_baseline`
+                before instantiating the acquisition function.
+            cache_root: A boolean indicating whether to cache the root
+                decomposition over `X_baseline` and use low-rank updates.
+            tau_max: Temperature parameter controlling the sharpness of the smooth
+                approximations to max.
+            tau_relu: Temperature parameter controlling the sharpness of the smooth
+                approximations to ReLU.
+        """
+        MultiObjectiveMCAcquisitionFunction.__init__(
+            self,
+            model=model,
+            sampler=sampler,
+            objective=objective,
+            constraints=constraints,
+            eta=eta,
+        )
+        org_objective = self.objective
+        # Create the composite objective.
+        with torch.no_grad():
+            Y_baseline = org_objective(model.posterior(X_baseline).mean)
+        if is_ensemble(model):
+            Y_baseline = torch.mean(Y_baseline, dim=MCMC_DIM)
+        scalarization_weights = (
+            scalarization_weights
+            if scalarization_weights is not None
+            else sample_simplex(d=Y_baseline.shape[-1]).view(-1)
+        )
+        chebyshev_scalarization = get_chebyshev_scalarization(
+            weights=scalarization_weights,
+            Y=Y_baseline,
+        )
+        composite_objective = GenericMCObjective(
+            objective=lambda samples, X=None: chebyshev_scalarization(
+                org_objective(samples=samples, X=X), X=X
+            ),
+        )
+        qLogNoisyExpectedImprovement.__init__(
+            self,
+            model=model,
+            X_baseline=X_baseline,
+            sampler=sampler,
+            objective=composite_objective,
+            X_pending=X_pending,
+            constraints=constraints,
+            eta=eta,
+            fat=fat,
+            prune_baseline=prune_baseline,
+            cache_root=cache_root,
+            tau_max=tau_max,
+            tau_relu=tau_relu,
+        )
+        # Set these after __init__ calls so that they're not overwritten / deleted.
+        # These are intended mainly for easier debugging & transparency.
+        self._org_objective: MCMultiOutputObjective = org_objective
+        self.chebyshev_scalarization: Callable[[Tensor, Optional[Tensor]], Tensor] = (
+            chebyshev_scalarization
+        )
+        self.scalarization_weights: Tensor = scalarization_weights
+        self.Y_baseline: Tensor = Y_baseline
diff --git a/sphinx/source/acquisition.rst b/sphinx/source/acquisition.rst
@@ -108,6 +108,11 @@ Multi-Objective Predictive Entropy Search Acquisition Functions
 .. automodule:: botorch.acquisition.multi_objective.predictive_entropy_search
     :members:
 
+ParEGO: Multi-Objective Acquisition Function with Chebyshev Scalarization
+~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
+.. automodule:: botorch.acquisition.multi_objective.parego
+    :members:
+
 The One-Shot Knowledge Gradient
 ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
 .. automodule:: botorch.acquisition.knowledge_gradient
diff --git a/test/acquisition/multi_objective/test_parego.py b/test/acquisition/multi_objective/test_parego.py
@@ -0,0 +1,111 @@
+# 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, Dict, Optional
+
+import torch
+from botorch.acquisition.multi_objective.objective import (
+    IdentityMCMultiOutputObjective,
+    WeightedMCMultiOutputObjective,
+)
+from botorch.acquisition.multi_objective.parego import qLogNParEGO
+from botorch.models.fully_bayesian import SaasFullyBayesianSingleTaskGP
+from botorch.models.gp_regression import SingleTaskGP
+from botorch.models.model import Model
+from botorch.models.model_list_gp_regression import ModelListGP
+from botorch.utils.testing import BotorchTestCase
+
+
+class TestqLogNParEGO(BotorchTestCase):
+    def base_test_parego(
+        self,
+        with_constraints: bool = False,
+        with_scalarization_weights: bool = False,
+        with_objective: bool = False,
+        model: Optional[Model] = None,
+    ) -> None:
+        if with_constraints:
+            assert with_objective, "Objective must be specified if constraints are."
+        tkwargs: Dict[str, Any] = {"device": self.device, "dtype": torch.double}
+        num_objectives = 2
+        num_constraints = 1 if with_constraints else 0
+        num_outputs = num_objectives + num_constraints
+        model = model or SingleTaskGP(
+            train_X=torch.rand(5, 2, **tkwargs),
+            train_Y=torch.rand(5, num_outputs, **tkwargs),
+        )
+        scalarization_weights = (
+            torch.rand(num_objectives, **tkwargs)
+            if with_scalarization_weights
+            else None
+        )
+        objective = (
+            WeightedMCMultiOutputObjective(
+                weights=torch.tensor([2.0, -0.5], **tkwargs), outcomes=[0, 1]
+            )
+            if with_objective
+            else None
+        )
+        constraints = [lambda samples: samples[..., -1]] if with_constraints else None
+        acqf = qLogNParEGO(
+            model=model,
+            X_baseline=torch.rand(3, 2, **tkwargs),
+            scalarization_weights=scalarization_weights,
+            objective=objective,
+            constraints=constraints,
+            prune_baseline=True,
+        )
+        self.assertEqual(acqf.Y_baseline.shape, torch.Size([3, 2]))
+        # Scalarization weights should be set if given and sampled otherwise.
+        if scalarization_weights is not None:
+            self.assertIs(acqf.scalarization_weights, scalarization_weights)
+        else:
+            self.assertEqual(
+                acqf.scalarization_weights.shape, torch.Size([num_objectives])
+            )
+            # Should sum to 1 since they're sampled from simplex.
+            self.assertAlmostEqual(acqf.scalarization_weights.sum().item(), 1.0)
+        # Original objective should default to identity.
+        if with_objective:
+            self.assertIs(acqf._org_objective, objective)
+        else:
+            self.assertIsInstance(acqf._org_objective, IdentityMCMultiOutputObjective)
+        # Acqf objective should be the chebyshev scalarization compounded
+        # with the original objective.
+        test_samples = torch.rand(32, 5, num_outputs, **tkwargs)
+        expected_objective = acqf.chebyshev_scalarization(
+            acqf._org_objective(test_samples)
+        )
+        self.assertEqual(expected_objective.shape, torch.Size([32, 5]))
+        self.assertAllClose(acqf.objective(test_samples), expected_objective)
+        # Evaluate the acquisition function.
+        self.assertEqual(acqf(torch.rand(5, 2, **tkwargs)).shape, torch.Size([1]))
+        self.assertEqual(acqf(torch.rand(32, 5, 2, **tkwargs)).shape, torch.Size([32]))
+
+    def test_parego_simple(self) -> None:
+        self.base_test_parego()
+
+    def test_parego_with_constraints_objective_weights(self) -> None:
+        self.base_test_parego(
+            with_constraints=True, with_objective=True, with_scalarization_weights=True
+        )
+
+    def test_parego_with_ensemble_model(self) -> None:
+        tkwargs: Dict[str, Any] = {"device": self.device, "dtype": torch.double}
+        models = []
+        for _ in range(2):
+            model = SaasFullyBayesianSingleTaskGP(
+                train_X=torch.rand(5, 2, **tkwargs),
+                train_Y=torch.randn(5, 1, **tkwargs),
+                train_Yvar=torch.rand(5, 1, **tkwargs) * 0.05,
+            )
+            mcmc_samples = {
+                "lengthscale": torch.rand(4, 1, 2, **tkwargs),
+                "outputscale": torch.rand(4, **tkwargs),
+                "mean": torch.randn(4, **tkwargs),
+            }
+            model.load_mcmc_samples(mcmc_samples)
+            models.append(model)
+        self.base_test_parego(model=ModelListGP(*models))
diff --git a/test/acquisition/test_input_constructors.py b/test/acquisition/test_input_constructors.py
