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High Order GP model, multi-step look-ahead acquisition function

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@Balandat Balandat released this 23 Feb 21:33

Compatibility

  • Require PyTorch >=1.7.1 (#714).
  • Require GPyTorch >=1.4 (#714).

New Features

  • HigherOrderGP - High-Order Gaussian Process (HOGP) model for
    high-dimensional output regression (#631, #646, #648, #680).
  • qMultiStepLookahead acquisition function for general look-ahead
    optimization approaches (#611, #659).
  • ScalarizedPosteriorMean and project_to_sample_points for more
    advanced MFKG functionality (#645).
  • Large-scale Thompson sampling tutorial (#654, #713).
  • Tutorial for optimizing mixed continuous/discrete domains (application
    to multi-fidelity KG with discrete fidelities) (#716).
  • GPDraw utility for sampling from (exact) GP priors (#655).
  • Add X as optional arg to call signature of MCAcqusitionObjective (#487).
  • OSY synthetic test problem (#679).

Bug Fixes

  • Fix matrix multiplication in scalarize_posterior (#638).
  • Set X_pending in get_acquisition_function in qEHVI (#662).
  • Make contextual kernel device-aware (#666).
  • Do not use an MCSampler in MaxPosteriorSampling (#701).
  • Add ability to subset outcome transforms (#711).

Performance Improvements

  • Batchify box decomposition for 2d case (#642).

Other Changes

  • Use scipy distribution in MES quantile bisect (#633).
  • Use new closure definition for GPyTorch priors (#634).
  • Allow enabling of approximate root decomposition in posterior calls (#652).
  • Support for upcoming 21201-dimensional PyTorch SobolEngine (#672, #674).
  • Refactored various MOO utilities to allow future additions (#656, #657, #658, #661).
  • Support input_transform in PairwiseGP (#632).
  • Output shape checks for t_batch_mode_transform (#577).
  • Check for NaN in gen_candidates_scipy (#688).
  • Introduce base_sample_shape property to Posterior objects (#718).