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Super duper thompson sampler #475
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henrymoss
merged 12 commits into
secondmind-labs:develop
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henrymoss:super_duper_thompson_sampler
Jan 26, 2022
Merged
Super duper thompson sampler #475
henrymoss
merged 12 commits into
secondmind-labs:develop
from
henrymoss:super_duper_thompson_sampler
Jan 26, 2022
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uri-granta
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Looks great! Just some minor comments.
uri-granta
approved these changes
Jan 26, 2022
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We can now do continuous Thompson sampling with Trieste!
By continuous, I mean optimizing sample draws (trajectories) using L-BFG-B rather than just choosing the best points over a discrete set (as currently performed by our
DiscreteThompsonSamplingRule
).In order to avoid retracing I added some update/resample logic to our RFF trajectory sampler, inspired by our
AcquisitionFunctionBuilders
. I also changed the expected input shape of trajectories so that they behave more like acquisition functions and so can be optimized using our optimizers.In this PR, we sequentially maximize trajectory samples using our
GreedyAcquisitionFuncton
logic.Future PRs will add (in order)