FullyBayesian LogEI (#2058)

Summary:
Pull Request resolved: #2058

This commit adds support for combining LogEI acquisition functions with fully Bayesian models. In particular, the commit adds the option to compute
```
LogEI(x) = log( E_SAAS[ E_f[ f_SAAS(x) ] ] ),
```
by replacing `mean` with `logsumexp` in `t_batch_mode_transform`, where `f` is the GP with hyper-parameters `SAAS` evaluated at `x`. Without the change, the acqf would compute
```
ELogEI(x) = E_SAAS[ log( E_f[ f_SAAS(x)] ) ].
```

Reviewed By: dme65, Balandat

Differential Revision: D50413044

fbshipit-source-id: ec5342d8affd7f6d49dd5af9849166974473022e

botorch/acquisition/acquisition.py

@@ -32,6 +32,8 @@ class AcquisitionFunction(Module, ABC):
     :meta private:
     """
 
+    _log: bool = False  # whether the acquisition utilities are in log-space
+
     def __init__(self, model: Model) -> None:
         r"""Constructor for the AcquisitionFunction base class.
 

botorch/acquisition/analytic.py

@@ -135,6 +135,8 @@ class LogProbabilityOfImprovement(AnalyticAcquisitionFunction):
         >>> log_pi = LogPI(test_X)
     """
 
+    _log: bool = True
+
     def __init__(
         self,
         model: Model,
@@ -375,6 +377,8 @@ class LogExpectedImprovement(AnalyticAcquisitionFunction):
         >>> ei = LogEI(test_X)
     """
 
+    _log: bool = True
+
     def __init__(
         self,
         model: Model,
@@ -442,6 +446,8 @@ class LogConstrainedExpectedImprovement(AnalyticAcquisitionFunction):
         >>> cei = LogCEI(test_X)
     """
 
+    _log: bool = True
+
     def __init__(
         self,
         model: Model,
@@ -591,6 +597,8 @@ class LogNoisyExpectedImprovement(AnalyticAcquisitionFunction):
         >>> nei = LogNEI(test_X)
     """
 
+    _log: bool = True
+
     def __init__(
         self,
         model: GPyTorchModel,

botorch/acquisition/multi_objective/logei.py

@@ -48,6 +48,9 @@
 class qLogExpectedHypervolumeImprovement(
     MultiObjectiveMCAcquisitionFunction, SubsetIndexCachingMixin
 ):
+
+    _log: bool = True
+
     def __init__(
         self,
         model: Model,
@@ -318,6 +321,9 @@ class qLogNoisyExpectedHypervolumeImprovement(
     NoisyExpectedHypervolumeMixin,
     qLogExpectedHypervolumeImprovement,
 ):
+
+    _log: bool = True
+
     def __init__(
         self,
         model: Model,

botorch/utils/transforms.py

@@ -15,6 +15,7 @@
 from typing import Any, Callable, List, Optional, TYPE_CHECKING
 
 import torch
+from botorch.utils.safe_math import logmeanexp
 from torch import Tensor
 
 if TYPE_CHECKING:
@@ -255,7 +256,10 @@ def decorated(
             X = X if X.dim() > 2 else X.unsqueeze(0)
             output = method(acqf, X, *args, **kwargs)
             if hasattr(acqf, "model") and is_fully_bayesian(acqf.model):
-                output = output.mean(dim=-1)
+                # IDEA: this could be wrapped into SampleReducingMCAcquisitionFunction
+                output = (
+                    output.mean(dim=-1) if not acqf._log else logmeanexp(output, dim=-1)
+                )
             if assert_output_shape and not _verify_output_shape(
                 acqf=acqf,
                 X=X,

test/acquisition/test_logei.py

@@ -13,15 +13,25 @@
 import torch
 from botorch import settings
 from botorch.acquisition import (
+    AcquisitionFunction,
     LogImprovementMCAcquisitionFunction,
     qLogExpectedImprovement,
     qLogNoisyExpectedImprovement,
 )
+from botorch.acquisition.analytic import (
+    ExpectedImprovement,
+    LogExpectedImprovement,
+    LogNoisyExpectedImprovement,
+    NoisyExpectedImprovement,
+)
 from botorch.acquisition.input_constructors import ACQF_INPUT_CONSTRUCTOR_REGISTRY
 from botorch.acquisition.monte_carlo import (
     qExpectedImprovement,
     qNoisyExpectedImprovement,
 )
+from botorch.acquisition.multi_objective.logei import (
+    qLogNoisyExpectedHypervolumeImprovement,
+)
 
 from botorch.acquisition.objective import (
     ConstrainedMCObjective,
@@ -33,7 +43,8 @@
 from botorch.acquisition.utils import prune_inferior_points
 from botorch.exceptions import BotorchWarning, UnsupportedError
 from botorch.exceptions.errors import BotorchError
-from botorch.models import SingleTaskGP
+from botorch.models import ModelListGP, SingleTaskGP
+from botorch.models.gp_regression import FixedNoiseGP
 from botorch.sampling.normal import IIDNormalSampler, SobolQMCNormalSampler
 from botorch.utils.low_rank import sample_cached_cholesky
 from botorch.utils.testing import BotorchTestCase, MockModel, MockPosterior
@@ -717,3 +728,44 @@ def test_cache_root(self):
                         best_feas_f, torch.full_like(obj[..., [0]], -infcost.item())
                     )
         # TODO: Test different objectives (incl. constraints)
+
+
+class TestIsLog(BotorchTestCase):
+    def test_is_log(self):
+        # the flag is False by default
+        self.assertFalse(AcquisitionFunction._log)
+
+        # single objective case
+        X, Y = torch.rand(3, 2), torch.randn(3, 1)
+        model = FixedNoiseGP(train_X=X, train_Y=Y, train_Yvar=torch.rand_like(Y))
+
+        # (q)LogEI
+        for acqf_class in [LogExpectedImprovement, qLogExpectedImprovement]:
+            acqf = acqf_class(model=model, best_f=0.0)
+            self.assertTrue(acqf._log)
+
+        # (q)EI
+        for acqf_class in [ExpectedImprovement, qExpectedImprovement]:
+            acqf = acqf_class(model=model, best_f=0.0)
+            self.assertFalse(acqf._log)
+
+        # (q)LogNEI
+        for acqf_class in [LogNoisyExpectedImprovement, qLogNoisyExpectedImprovement]:
+            # avoiding keywords since they differ: X_observed vs. X_baseline
+            acqf = acqf_class(model, X)
+            self.assertTrue(acqf._log)
+
+        # (q)NEI
+        for acqf_class in [NoisyExpectedImprovement, qNoisyExpectedImprovement]:
+            acqf = acqf_class(model, X)
+            self.assertFalse(acqf._log)
+
+        # multi-objective case
+        model_list = ModelListGP(model, model)
+        ref_point = [4, 2]  # the meaning of life
+
+        # qLogNEHVI
+        acqf = qLogNoisyExpectedHypervolumeImprovement(
+            model=model_list, X_baseline=X, ref_point=ref_point
+        )
+        self.assertTrue(acqf._log)

test/models/test_fully_bayesian.py

@@ -7,11 +7,12 @@
 
 import itertools
 from unittest import mock
+from unittest.mock import patch
 
 import pyro
 
 import torch
-from botorch import fit_fully_bayesian_model_nuts
+from botorch import fit_fully_bayesian_model_nuts, utils
 from botorch.acquisition.analytic import (
     ExpectedImprovement,
     PosteriorMean,
@@ -34,6 +35,10 @@
     qExpectedHypervolumeImprovement,
     qNoisyExpectedHypervolumeImprovement,
 )
+from botorch.acquisition.multi_objective.logei import (
+    qLogExpectedHypervolumeImprovement,
+    qLogNoisyExpectedHypervolumeImprovement,
+)
 from botorch.acquisition.utils import prune_inferior_points
 from botorch.models import ModelList, ModelListGP
 from botorch.models.deterministic import GenericDeterministicModel
@@ -51,6 +56,7 @@
 from botorch.utils.multi_objective.box_decompositions.non_dominated import (
     NondominatedPartitioning,
 )
+from botorch.utils.safe_math import logmeanexp
 from botorch.utils.testing import BotorchTestCase
 from gpytorch.distributions import MultivariateNormal
 from gpytorch.kernels import MaternKernel, ScaleKernel
@@ -438,13 +444,13 @@ def test_acquisition_functions(self):
             qExpectedImprovement(
                 model=model, best_f=train_Y.max(), sampler=simple_sampler
             ),
-            qLogNoisyExpectedImprovement(
+            qNoisyExpectedImprovement(
                 model=model,
                 X_baseline=train_X,
                 sampler=simple_sampler,
                 cache_root=False,
             ),
-            qNoisyExpectedImprovement(
+            qLogNoisyExpectedImprovement(
                 model=model,
                 X_baseline=train_X,
                 sampler=simple_sampler,
@@ -462,6 +468,13 @@ def test_acquisition_functions(self):
                 sampler=list_gp_sampler,
                 cache_root=False,
             ),
+            qLogNoisyExpectedHypervolumeImprovement(
+                model=list_gp,
+                X_baseline=train_X,
+                ref_point=torch.zeros(2, **tkwargs),
+                sampler=list_gp_sampler,
+                cache_root=False,
+            ),
             qExpectedHypervolumeImprovement(
                 model=list_gp,
                 ref_point=torch.zeros(2, **tkwargs),
@@ -470,6 +483,14 @@ def test_acquisition_functions(self):
                     ref_point=torch.zeros(2, **tkwargs), Y=train_Y.repeat([1, 2])
                 ),
             ),
+            qLogExpectedHypervolumeImprovement(
+                model=list_gp,
+                ref_point=torch.zeros(2, **tkwargs),
+                sampler=list_gp_sampler,
+                partitioning=NondominatedPartitioning(
+                    ref_point=torch.zeros(2, **tkwargs), Y=train_Y.repeat([1, 2])
+                ),
+            ),
             # qEHVI/qNEHVI with mixed models
             qNoisyExpectedHypervolumeImprovement(
                 model=mixed_list,
@@ -478,6 +499,13 @@ def test_acquisition_functions(self):
                 sampler=mixed_list_sampler,
                 cache_root=False,
             ),
+            qLogNoisyExpectedHypervolumeImprovement(
+                model=mixed_list,
+                X_baseline=train_X,
+                ref_point=torch.zeros(2, **tkwargs),
+                sampler=mixed_list_sampler,
+                cache_root=False,
+            ),
             qExpectedHypervolumeImprovement(
                 model=mixed_list,
                 ref_point=torch.zeros(2, **tkwargs),
@@ -486,12 +514,29 @@ def test_acquisition_functions(self):
                     ref_point=torch.zeros(2, **tkwargs), Y=train_Y.repeat([1, 2])
                 ),
             ),
+            qLogExpectedHypervolumeImprovement(
+                model=mixed_list,
+                ref_point=torch.zeros(2, **tkwargs),
+                sampler=mixed_list_sampler,
+                partitioning=NondominatedPartitioning(
+                    ref_point=torch.zeros(2, **tkwargs), Y=train_Y.repeat([1, 2])
+                ),
+            ),
         ]
 
         for acqf in acquisition_functions:
             for batch_shape in [[5], [6, 5, 2]]:
                 test_X = torch.rand(*batch_shape, 1, 4, **tkwargs)
-                self.assertEqual(acqf(test_X).shape, torch.Size(batch_shape))
+                # Testing that the t_batch_mode_transform works correctly for
+                # fully Bayesian models with log-space acquisition functions.
+                with patch.object(
+                    utils.transforms, "logmeanexp", wraps=logmeanexp
+                ) as mock:
+                    self.assertEqual(acqf(test_X).shape, torch.Size(batch_shape))
+                    if acqf._log:
+                        mock.assert_called_once()
+                    else:
+                        mock.assert_not_called()
 
         # Test prune_inferior_points
         X_pruned = prune_inferior_points(model=model, X=train_X)