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Multi-Objective Bayesian Optimization

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@sdaulton sdaulton released this 06 Jul 21:31

New Features

  • Multi-Objective Acquisition Functions (#466)
    • q-Expected Hypervolume Improvement
    • q-ParEGO
    • Analytic Expected Hypervolume Improvement with auto-differentiation
  • Multi-Objective Utilities (#466)
    • Pareto Computation
    • Hypervolume Calculation
    • Box Decomposition algorithm
  • Multi-Objective Test Functions (#466)
    • Suite of synthetic test functions for multi-objective, constrained
      optimzation
  • Multi-Objective Tutorial (#468)
  • Abstract ConstrainedBaseTestProblem (#454)
  • Add optimize_acqf_list method for sequentially, greedily optimizing 1 candidate
    from each provided acquisition function (d10aec9)

Bug fixes

  • Fixed re-arranging mean in MultiTask multi-output models (#450).

Other changes

  • Move gpt_posterior_settings into models.utils (#449)
  • Allow specifications of batch dims to collapse in samplers (#457)
  • Remove outcome transform before model-fitting for sequential model fitting
    in multi-output models (#458)