FullyBayesian LogEI (#2058)

Summary:

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)] ) ].
```

Differential Revision: D50413044

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

@@ -134,6 +134,8 @@ class LogProbabilityOfImprovement(AnalyticAcquisitionFunction):
         >>> log_pi = LogPI(test_X)
     """
 
+    _log: bool = True
+
     def __init__(
         self,
         model: Model,
@@ -374,6 +376,8 @@ class LogExpectedImprovement(AnalyticAcquisitionFunction):
         >>> ei = LogEI(test_X)
     """
 
+    _log: bool = True
+
     def __init__(
         self,
         model: Model,
@@ -441,6 +445,8 @@ class LogConstrainedExpectedImprovement(AnalyticAcquisitionFunction):
         >>> cei = LogCEI(test_X)
     """
 
+    _log: bool = True
+
     def __init__(
         self,
         model: Model,
@@ -589,6 +595,8 @@ 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

@@ -255,7 +255,10 @@ 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 output.logsumexp(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,
@@ -32,7 +42,8 @@
 )
 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
@@ -690,3 +701,44 @@ 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

@@ -34,6 +34,10 @@
     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
@@ -438,54 +442,78 @@ def test_acquisition_functions(self):
             qExpectedImprovement(
                 model=model, best_f=train_Y.max(), sampler=simple_sampler
             ),
-            qLogNoisyExpectedImprovement(
-                model=model,
-                X_baseline=train_X,
-                sampler=simple_sampler,
-                cache_root=False,
-            ),
-            qNoisyExpectedImprovement(
-                model=model,
-                X_baseline=train_X,
-                sampler=simple_sampler,
-                cache_root=False,
-            ),
+            *[
+                qnei_class(
+                    model=model,
+                    X_baseline=train_X,
+                    sampler=simple_sampler,
+                    cache_root=False,
+                )
+                for qnei_class in [
+                    qNoisyExpectedImprovement,
+                    qLogNoisyExpectedImprovement,
+                ]
+            ],
             qProbabilityOfImprovement(
                 model=model, best_f=train_Y.max(), sampler=simple_sampler
             ),
             qSimpleRegret(model=model, sampler=simple_sampler),
             qUpperConfidenceBound(model=model, beta=4, sampler=simple_sampler),
-            qNoisyExpectedHypervolumeImprovement(
-                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),
-                sampler=list_gp_sampler,
-                partitioning=NondominatedPartitioning(
-                    ref_point=torch.zeros(2, **tkwargs), Y=train_Y.repeat([1, 2])
-                ),
-            ),
+            *[
+                qnehvi_class(
+                    model=list_gp,
+                    X_baseline=train_X,
+                    ref_point=torch.zeros(2, **tkwargs),
+                    sampler=list_gp_sampler,
+                    cache_root=False,
+                )
+                for qnehvi_class in [
+                    qNoisyExpectedHypervolumeImprovement,
+                    qLogNoisyExpectedHypervolumeImprovement,
+                ]
+            ],
+            *[
+                qehvi_class(
+                    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])
+                    ),
+                )
+                for qehvi_class in [
+                    qExpectedHypervolumeImprovement,
+                    qLogExpectedHypervolumeImprovement,
+                ]
+            ],
             # qEHVI/qNEHVI with mixed models
-            qNoisyExpectedHypervolumeImprovement(
-                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),
-                sampler=mixed_list_sampler,
-                partitioning=NondominatedPartitioning(
-                    ref_point=torch.zeros(2, **tkwargs), Y=train_Y.repeat([1, 2])
-                ),
-            ),
+            *[
+                qnehvi_class(
+                    model=mixed_list,
+                    X_baseline=train_X,
+                    ref_point=torch.zeros(2, **tkwargs),
+                    sampler=mixed_list_sampler,
+                    cache_root=False,
+                )
+                for qnehvi_class in [
+                    qNoisyExpectedHypervolumeImprovement,
+                    qLogNoisyExpectedHypervolumeImprovement,
+                ]
+            ],
+            *[
+                qehvi_class(
+                    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 qehvi_class in [
+                    qExpectedHypervolumeImprovement,
+                    qLogExpectedHypervolumeImprovement,
+                ]
+            ],
         ]
 
         for acqf in acquisition_functions: