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Victor/krigingbeliever #428

Merged
merged 159 commits into from
Dec 8, 2021
Merged

Victor/krigingbeliever #428

merged 159 commits into from
Dec 8, 2021

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vpicheny
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This PR implements the "kriging believer" / "fantasize greedy" strategy. In short, this strategy 1) greedily optimises an acquisition function, 2) "fantasize" a value at the chosen query points (either by using the GP mean at this qp, or by generating a GP sample), 3) update the posterior of the GP, conditioning on this fantasized data, 4) iterate over 1-3.

We do this by introducing a FantasizedGPRModel wrapper. This model can only do predict, not optimize/update.

@vpicheny
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vpicheny commented Dec 7, 2021

Introduces two breaking changes:

  • ModelStack is renamed TrainableModelStack
  • file local_penalisation is renamed greedy_batch

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@uri-granta uri-granta left a comment

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Looks good. Just a couple of small comments.

@hstojic
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hstojic commented Dec 8, 2021

Introduces two breaking changes:

  • ModelStack is renamed TrainableModelStack
  • file local_penalisation is renamed greedy_batch

LocalPenalizationAcquisitionFunction has been renamed to LocalPenalization

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Few final minor comments, after that good to go!

To follow up with:

  1. Add integration tests
  2. Test that it works with async BO

@vpicheny vpicheny merged commit f3c529b into develop Dec 8, 2021
@vpicheny vpicheny deleted the victor/krigingbeliever branch December 8, 2021 16:35
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5 participants