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Tutorial for Robust Gaussian Processes via Relevance Pursuit (#2707)
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Summary:
This commit adds a tutorial of the robust Relevance Pursuit model, specifically using the `RobustRelevancePursuitSingleTaskGP` and the Twitter flash crash examples, as well as a synthetic regression example that showcases both usage patterns, as well as ways of analyzing the results of the model.

## Twitter Flash Crash

<img width="1007" alt="Screenshot 2025-01-29 at 1 18 10 PM" src="https://github.com/user-attachments/assets/da292e69-eb67-4f49-b6c1-cfc1583a057a" />
<img width="1009" alt="Screenshot 2025-01-29 at 1 18 24 PM" src="https://github.com/user-attachments/assets/da3b578d-18e6-4889-ba4c-34828a152cc1" />

## Synthetic Example

<img width="990" alt="Screenshot 2025-01-29 at 1 19 01 PM" src="https://github.com/user-attachments/assets/cacb09ca-d2e3-448d-9715-bfc70fc6a41a" />
<img width="1010" alt="Screenshot 2025-01-29 at 1 19 10 PM" src="https://github.com/user-attachments/assets/020596cb-096d-4923-b405-93433f95bbf2" />
<img width="1000" alt="Screenshot 2025-01-29 at 1 19 22 PM" src="https://github.com/user-attachments/assets/0f968610-c2b2-421f-9dc6-16aebf68024d" />

Pull Request resolved: #2707

Reviewed By: Balandat

Differential Revision: D68353581

Pulled By: SebastianAment

fbshipit-source-id: 61dd0259765f09bfc421df8498990752ea89b345
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SebastianAment authored and facebook-github-bot committed Jan 30, 2025
1 parent f463b52 commit 472de87
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5 changes: 2 additions & 3 deletions botorch/models/robust_relevance_pursuit_model.py
Original file line number Diff line number Diff line change
Expand Up @@ -61,7 +61,6 @@
from gpytorch.module import Module
from torch import Tensor


# default fractions of outliers to consider during relevance pursuit
FRACTIONS_OF_OUTLIERS = [
0.0,
Expand Down Expand Up @@ -117,8 +116,8 @@ def __init__(
dim=dim,
convex_parameterization=convex_parameterization,
)
self.bmc_support_size: Tensor | None = None
self.bmc_probability: Tensor | None = None
self.bmc_support_sizes: Tensor | None = None
self.bmc_probabilities: Tensor | None = None
self.cache_model_trace = cache_model_trace
self.model_trace: list[SingleTaskGP] | None = None
self.prior_mean_of_support: float = (
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