#!/usr/bin/env python3
# Copyright (c) Facebook, Inc. and its affiliates.
# All rights reserved.
# This source code is licensed under the license found in the
# LICENSE file in the root directory of this source tree.
from __future__ import annotations
import time
from typing import Any, Dict, Optional
import numpy as np
import torch
from numpy.random import choice
from aepsych.config import Config
from aepsych.generators.base import AEPsychGenerator
from aepsych.models.base import ModelProtocol
from aepsych.utils_logging import getLogger
from botorch.acquisition.preference import AnalyticExpectedUtilityOfBestOption
from torch.quasirandom import SobolEngine
from botorch.utils.sampling import draw_sobol_samples, manual_seed
from botorch.acquisition import (
AcquisitionFunction,
NoisyExpectedImprovement,
qNoisyExpectedImprovement,
LogNoisyExpectedImprovement,
qLogNoisyExpectedImprovement,
)
logger = getLogger()
[docs]class AcqfThompsonSamplerGenerator(AEPsychGenerator):
"""Generator that chooses points by minimizing an acquisition function."""
baseline_requiring_acqfs = [
NoisyExpectedImprovement,
LogNoisyExpectedImprovement,
qNoisyExpectedImprovement,
qLogNoisyExpectedImprovement,
]
def __init__(
self,
acqf: AcquisitionFunction,
acqf_kwargs: Optional[Dict[str, Any]] = None,
samps: int = 1000,
stimuli_per_trial: int = 1,
) -> None:
"""Initialize OptimizeAcqfGenerator.
Args:
acqf (AcquisitionFunction): Acquisition function to use.
acqf_kwargs (Dict[str, object], optional): Extra arguments to
pass to acquisition function. Defaults to no arguments.
samps (int): Number of samples for quasi-random initialization of the acquisition function optimizer.
"""
if acqf_kwargs is None:
acqf_kwargs = {}
self.acqf = acqf
self.acqf_kwargs = acqf_kwargs
self.samps = samps
self.stimuli_per_trial = stimuli_per_trial
def _instantiate_acquisition_fn(self, model: ModelProtocol):
if self.acqf == AnalyticExpectedUtilityOfBestOption:
return self.acqf(pref_model=model)
if self.acqf in self.baseline_requiring_acqfs:
return self.acqf(model, model.train_inputs[0], **self.acqf_kwargs)
else:
return self.acqf(model=model, **self.acqf_kwargs)
[docs] def gen(self, num_points: int, model: ModelProtocol, **gen_options) -> torch.Tensor:
"""Query next point(s) to run by optimizing the acquisition function.
Args:
num_points (int, optional): Number of points to query.
model (ModelProtocol): Fitted model of the data.
Returns:
np.ndarray: Next set of point(s) to evaluate, [num_points x dim].
"""
if self.stimuli_per_trial == 2:
qbatch_points = self._gen(
num_points=num_points * 2, model=model, **gen_options
)
# output of super() is (q, dim) but the contract is (num_points, dim, 2)
# so we need to split q into q and pairs and then move the pair dim to the end
return qbatch_points.reshape(num_points, 2, -1).swapaxes(-1, -2)
else:
return self._gen(num_points=num_points, model=model, **gen_options)
def _gen(
self, num_points: int, model: ModelProtocol, **gen_options
) -> torch.Tensor:
# eval should be inherited from superclass
model.eval() # type: ignore
acqf = self._instantiate_acquisition_fn(model)
logger.info("Starting gen...")
starttime = time.time()
seed = gen_options.get("seed")
bounds = torch.tensor(np.c_[model.lb, model.ub]).T.cpu()
bounds_cpu = bounds.cpu()
effective_dim = bounds.shape[-1] * num_points
if effective_dim <= SobolEngine.MAXDIM:
X_rnd = draw_sobol_samples(
bounds=bounds_cpu, n=self.samps, q=num_points, seed=seed
)
else:
with manual_seed(seed):
X_rnd_nlzd = torch.rand(
self.samps, num_points, bounds_cpu.shape[-1], dtype=bounds.dtype
)
X_rnd = bounds_cpu[0] + (bounds_cpu[1] - bounds_cpu[0]) * X_rnd_nlzd
acqf_vals = acqf(X_rnd).to(torch.float64)
acqf_vals -= acqf_vals.min()
probability_dist = acqf_vals / acqf_vals.sum()
candidate_idx = choice(
np.arange(X_rnd.shape[0]), size=1, p=probability_dist.detach().numpy()
)
new_candidate = X_rnd[candidate_idx].squeeze(0)
logger.info(f"Gen done, time={time.time()-starttime}")
return new_candidate
[docs] @classmethod
def from_config(cls, config: Config):
classname = cls.__name__
acqf = config.getobj(classname, "acqf", fallback=None)
extra_acqf_args = cls._get_acqf_options(acqf, config)
stimuli_per_trial = config.getint(classname, "stimuli_per_trial")
samps = config.getint(classname, "samps", fallback=1000)
return cls(
acqf=acqf,
acqf_kwargs=extra_acqf_args,
samps=samps,
stimuli_per_trial=stimuli_per_trial,
)
