Merge pull request #5 from fmfn/master

update from main

.github/workflows/run_tests.yml

@@ -1,7 +1,6 @@
 # This workflow will install Python dependencies, run tests and lint with a single version of Python
 # For more information see: https://help.github.com/actions/language-and-framework-guides/using-python-with-github-actions
 
-
 name: tests
 
 on:
@@ -27,14 +26,21 @@ jobs:
       uses: actions/setup-python@v3
       with:
         python-version: ${{ matrix.python-version }}
-    - name: Install dependencies
+    - name: Install test dependencies
       run: |
         python -m pip install --upgrade pip
         pip install pytest
         pip install pytest-cov
         pip install coverage
+    - name: Install notebook dependencies
+      run: |
+        pip install nbformat
+        pip install nbconvert
+        pip install jupyter
+        pip install matplotlib
+    - name: Install package
+      run: |
         pip install -e .
-
     - name: Test with pytest
       run: |
         pytest --cov-report xml --cov=bayes_opt/

README.md

@@ -253,7 +253,7 @@ optimizer.maximize(
 )
 ```
 
-By default the previous data in the json file is removed. If you want to keep working with the same logger, the `reset` paremeter in `JSONLogger` should be set to False.
+By default the previous data in the json file is removed. If you want to keep working with the same logger, the `reset` parameter in `JSONLogger` should be set to False.
 
 ### 4.2 Loading progress
 

bayes_opt/bayesian_optimization.py

@@ -95,7 +95,7 @@ class BayesianOptimization(Observable):
         If True, the optimizer will allow duplicate points to be registered.
         This behavior may be desired in high noise situations where repeatedly probing
         the same point will give different answers. In other situations, the acquisition
-        may occasionaly generate a duplicate point.
+        may occasionally generate a duplicate point.
 
     Methods
     -------
@@ -226,7 +226,7 @@ def suggest(self, utility_function):
         suggestion = acq_max(ac=utility_function.utility,
                              gp=self._gp,
                              constraint=self.constraint,
-                             y_max=self._space.target.max(),
+                             y_max=self._space._target_max(),
                              bounds=self._space.bounds,
                              random_state=self._random_state)
 
@@ -276,7 +276,7 @@ def maximize(self,
             An instance of bayes_opt.util.UtilityFunction.
             If nothing is passed, a default using ucb is used
 
-        All other parameters are unused, and are only available to ensure backwards compatability - these
+        All other parameters are unused, and are only available to ensure backwards compatibility - these
         will be removed in a future release
         """
         self._prime_subscriptions()

bayes_opt/domain_reduction.py

@@ -19,7 +19,7 @@ def transform(self, target_space: TargetSpace):
 
 class SequentialDomainReductionTransformer(DomainTransformer):
     """
-    A sequential domain reduction transformer bassed on the work by Stander, N. and Craig, K:
+    A sequential domain reduction transformer based on the work by Stander, N. and Craig, K:
     "On the robustness of a simple domain reduction scheme for simulation‐based optimization"
     """
 
@@ -68,8 +68,8 @@ def initialize(self, target_space: TargetSpace) -> None:
 
         self.r = self.contraction_rate * self.r
 
-        # check if the minimum window fits in the orignal bounds
-        self._window_bounds_compatiblity(self.original_bounds)
+        # check if the minimum window fits in the original bounds
+        self._window_bounds_compatibility(self.original_bounds)
 
     def _update(self, target_space: TargetSpace) -> None:
 
@@ -121,7 +121,7 @@ def _trim(self, new_bounds: np.array, global_bounds: np.array) -> np.array:
                 new_bounds[i, 1] += ddw_r
         return new_bounds
 
-    def _window_bounds_compatiblity(self, global_bounds: np.array) -> bool:
+    def _window_bounds_compatibility(self, global_bounds: np.array) -> bool:
         """Checks if global bounds are compatible with the minimum window sizes."""
         for i, entry in enumerate(global_bounds):
             global_window_width = abs(entry[1] - entry[0])

bayes_opt/logger.py

@@ -106,7 +106,7 @@ def _header(self, instance):
         return line + "\n" + ("-" * self._header_length)
 
     def _is_new_max(self, instance):
-        if instance.max["target"] is None:
+        if instance.max is None:
             # During constrained optimization, there might not be a maximum
             # value since the optimizer might've not encountered any points
             # that fulfill the constraints.

bayes_opt/observer.py

@@ -23,8 +23,12 @@ def __init__(self):
     def _update_tracker(self, event, instance):
         if event == Events.OPTIMIZATION_STEP:
             self._iterations += 1
+
+            if instance.max is None:
+                return
 
             current_max = instance.max
+
             if (self._previous_max is None
                     or current_max["target"] > self._previous_max):
                 self._previous_max = current_max["target"]

bayes_opt/target_space.py

@@ -1,5 +1,3 @@
-import warnings
-
 import numpy as np
 from .util import ensure_rng, NotUniqueError
 from .util import Colours
@@ -214,7 +212,7 @@ def register(self, params, target, constraint_value=None):
 
     def probe(self, params):
         """
-        Evaulates a single point x, to obtain the value y and then records them
+        Evaluates a single point x, to obtain the value y and then records them
         as observations.
 
         Notes
@@ -265,44 +263,46 @@ def random_sample(self):
             data.T[col] = self.random_state.uniform(lower, upper, size=1)
         return data.ravel()
 
+    def _target_max(self):
+        """Get maximum target value found.
+        
+        If there is a constraint present, the maximum value that fulfills the
+        constraint is returned."""
+        if len(self.target) == 0:
+            return None
+
+        if self._constraint is None:
+            return self.target.max()
+
+        allowed = self._constraint.allowed(self._constraint_values)
+        if allowed.any():
+            return self.target[allowed].max()
+
+        return None
+
     def max(self):
         """Get maximum target value found and corresponding parameters.
         
         If there is a constraint present, the maximum value that fulfills the
         constraint is returned."""
-        if self._constraint is None:
-            try:
-                res = {
-                    'target': self.target.max(),
-                    'params': dict(
-                        zip(self.keys, self.params[self.target.argmax()])
-                    )
-                }
-            except ValueError:
-                res = {}
-            return res
-        else:
-            allowed = self._constraint.allowed(self._constraint_values)
-            if allowed.any():
-                # Getting of all points that fulfill the constraints, find the
-                # one with the maximum value for the target function.
-                sorted = np.argsort(self.target)
-                idx = sorted[allowed[sorted]][-1]
-                # there must be a better way to do this, right?
-                res = {
-                    'target': self.target[idx],
-                    'params': dict(
-                        zip(self.keys, self.params[idx])
-                    ),
-                    'constraint': self._constraint_values[idx]
-                }
-            else:
-                res = {
-                    'target': None,
-                    'params': None,
-                    'constraint': None
-                }
-            return res
+        target_max = self._target_max()
+
+        if target_max is None:
+            return None
+
+        target_max_idx = np.where(self.target == target_max)[0][0]
+
+        res = {
+                'target': target_max,
+                'params': dict(
+                zip(self.keys, self.params[target_max_idx])
+            )
+        }
+
+        if self._constraint is not None:
+            res['constraint'] = self._constraint_values[target_max_idx]
+
+        return res
 
     def res(self):
         """Get all target values and constraint fulfillment for all parameters.

bayes_opt/util.py

@@ -44,38 +44,53 @@ def acq_max(ac, gp, y_max, bounds, random_state, constraint=None, n_warmup=10000
     :return: x_max, The arg max of the acquisition function.
     """
 
+    # We need to adjust the acquisition function to deal with constraints when there is some
+    if constraint is not None:
+        def adjusted_ac(x):
+            """Acquisition function adjusted to fulfill the constraint when necessary"""
+
+            # Transforms the problem in a minimization problem, this is necessary
+            # because the solver we are using later on is a minimizer
+            values = -ac(x.reshape(-1, bounds.shape[0]), gp=gp, y_max=y_max)
+            p_constraints = constraint.predict(x.reshape(-1, bounds.shape[0]))
+
+            # Slower fallback for the case where any values are negative
+            if np.any(values > 0):
+                # TODO: This is not exactly how Gardner et al do it.
+                # Their way would require the result of the acquisition function
+                # to be strictly positive, which is not the case here. For a
+                # positive target value, we use Gardner's version. If the target
+                # is negative, we instead slightly rescale the target depending
+                # on the probability estimate to fulfill the constraint.
+                return np.array(
+                    [
+                        value / (0.5 + 0.5 * p) if value > 0 else value * p
+                        for value, p in zip(values, p_constraints)
+                    ]
+                )
+
+            # Faster, vectorized version of Gardner et al's method
+            return values * p_constraints
+
+    else:
+        # Transforms the problem in a minimization problem, this is necessary
+        # because the solver we are using later on is a minimizer
+        adjusted_ac = lambda x: -ac(x.reshape(-1, bounds.shape[0]), gp=gp, y_max=y_max)
+
     # Warm up with random points
     x_tries = random_state.uniform(bounds[:, 0], bounds[:, 1],
                                    size=(n_warmup, bounds.shape[0]))
-    ys = ac(x_tries, gp=gp, y_max=y_max)
+    ys = -adjusted_ac(x_tries)
     x_max = x_tries[ys.argmax()]
     max_acq = ys.max()
 
-    # Explore the parameter space more throughly
+    # Explore the parameter space more thoroughly
     x_seeds = random_state.uniform(bounds[:, 0], bounds[:, 1],
                                    size=(n_iter, bounds.shape[0]))
 
-    if constraint is not None:
-        def to_minimize(x):
-            target = -ac(x.reshape(1, -1), gp=gp, y_max=y_max)
-            p_constraint = constraint.predict(x.reshape(1, -1))
-
-            # TODO: This is not exactly how Gardner et al do it.
-            # Their way would require the result of the acquisition function
-            # to be strictly positive (or negative), which is not the case
-            # here. For a negative target value, we use Gardner's version. If
-            # the target is positive, we instead slightly rescale the target
-            # depending on the probability estimate to fulfill the constraint.
-            if target < 0:
-                return target * p_constraint
-            else:
-                return target / (0.5 + p_constraint)
-    else:
-        to_minimize = lambda x: -ac(x.reshape(1, -1), gp=gp, y_max=y_max)
-
     for x_try in x_seeds:
         # Find the minimum of minus the acquisition function
-        res = minimize(lambda x: to_minimize(x),
+        res = minimize(adjusted_ac,
                        x_try,
                        bounds=bounds,
                        method="L-BFGS-B")

examples/advanced-tour.ipynb

@@ -33,7 +33,7 @@
    "metadata": {},
    "outputs": [],
    "source": [
-    "# Let's start by defining our function, bounds, and instanciating an optimization object.\n",
+    "# Let's start by defining our function, bounds, and instantiating an optimization object.\n",
     "def black_box_function(x, y):\n",
     "    return -x ** 2 - (y - 1) ** 2 + 1"
    ]
@@ -347,12 +347,13 @@
    ]
   },
   {
+   "attachments": {},
    "cell_type": "markdown",
    "metadata": {},
    "source": [
     "### 3.3 Changing kernels\n",
     "\n",
-    "By default this package uses the Mattern 2.5 kernel. Depending on your use case you may find that tunning the GP kernel could be beneficial. You're on your own here since these are very specific solutions to very specific problems."
+    "By default this package uses the Matern 2.5 kernel. Depending on your use case you may find that tunning the GP kernel could be beneficial. You're on your own here since these are very specific solutions to very specific problems."
    ]
   },
   {

examples/basic-tour.ipynb

@@ -16,12 +16,13 @@
    ]
   },
   {
+   "attachments": {},
    "cell_type": "markdown",
    "metadata": {},
    "source": [
     "## 1. Specifying the function to be optimized\n",
     "\n",
-    "This is a function optimization package, therefore the first and most important ingreedient is, of course, the function to be optimized.\n",
+    "This is a function optimization package, therefore the first and most important ingredient is, of course, the function to be optimized.\n",
     "\n",
     "**DISCLAIMER:** We know exactly how the output of the function below depends on its parameter. Obviously this is just an example, and you shouldn't expect to know it in a real scenario. However, it should be clear that you don't need to. All you need in order to use this package (and more generally, this technique) is a function `f` that takes a known set of parameters and outputs a real number."
    ]
@@ -43,12 +44,13 @@
    ]
   },
   {
+   "attachments": {},
    "cell_type": "markdown",
    "metadata": {},
    "source": [
     "## 2. Getting Started\n",
     "\n",
-    "All we need to get started is to instanciate a `BayesianOptimization` object specifying a function to be optimized `f`, and its parameters with their corresponding bounds, `pbounds`. This is a constrained optimization technique, so you must specify the minimum and maximum values that can be probed for each parameter in order for it to work"
+    "All we need to get started is to instantiate a `BayesianOptimization` object specifying a function to be optimized `f`, and its parameters with their corresponding bounds, `pbounds`. This is a constrained optimization technique, so you must specify the minimum and maximum values that can be probed for each parameter in order for it to work"
    ]
   },
   {
@@ -306,12 +308,13 @@
    ]
   },
   {
+   "attachments": {},
    "cell_type": "markdown",
    "metadata": {},
    "source": [
     "## 4. Saving, loading and restarting\n",
     "\n",
-    "By default you can follow the progress of your optimization by setting `verbose>0` when instanciating the `BayesianOptimization` object. If you need more control over logging/alerting you will need to use an observer. For more information about observers checkout the advanced tour notebook. Here we will only see how to use the native `JSONLogger` object to save to and load progress from files.\n",
+    "By default you can follow the progress of your optimization by setting `verbose>0` when instantiating the `BayesianOptimization` object. If you need more control over logging/alerting you will need to use an observer. For more information about observers checkout the advanced tour notebook. Here we will only see how to use the native `JSONLogger` object to save to and load progress from files.\n",
     "\n",
     "### 4.1 Saving progress"
    ]
@@ -327,14 +330,15 @@
    ]
   },
   {
+   "attachments": {},
    "cell_type": "markdown",
    "metadata": {},
    "source": [
     "The observer paradigm works by:\n",
     "1. Instantiating an observer object.\n",
     "2. Tying the observer object to a particular event fired by an optimizer.\n",
     "\n",
-    "The `BayesianOptimization` object fires a number of internal events during optimization, in particular, everytime it probes the function and obtains a new parameter-target combination it will fire an `Events.OPTIMIZATION_STEP` event, which our logger will listen to.\n",
+    "The `BayesianOptimization` object fires a number of internal events during optimization, in particular, every time it probes the function and obtains a new parameter-target combination it will fire an `Events.OPTIMIZATION_STEP` event, which our logger will listen to.\n",
     "\n",
     "**Caveat:** The logger will not look back at previously probed points."
    ]
@@ -487,7 +491,7 @@
  ],
  "metadata": {
   "kernelspec": {
-   "display_name": "Python 3",
+   "display_name": "Python 3 (ipykernel)",
    "language": "python",
    "name": "python3"
   },
@@ -501,7 +505,7 @@
    "name": "python",
    "nbconvert_exporter": "python",
    "pygments_lexer": "ipython3",
-   "version": "3.5.2"
+   "version": "3.9.6"
   }
  },
  "nbformat": 4,