Return weights from Acquisition.optimize (#2314)

Summary:
Pull Request resolved: #2314

see title. This allows for controlling the relative allocation per arm within the Acquisition.

Reviewed By: Balandat

Differential Revision: D54912788

fbshipit-source-id: 0ad53d695f067c678a636d1c42f438f6e35f8b38

ax/models/torch/botorch_modular/acquisition.py

@@ -382,7 +382,7 @@ def optimize(
         fixed_features: Optional[Dict[int, float]] = None,
         rounding_func: Optional[Callable[[Tensor], Tensor]] = None,
         optimizer_options: Optional[Dict[str, Any]] = None,
-    ) -> Tuple[Tensor, Tensor]:
+    ) -> Tuple[Tensor, Tensor, Tensor]:
         """Generate a set of candidates via multi-start optimization. Obtains
         candidates and their associated acquisition function values.
 
@@ -409,8 +409,9 @@ def optimize(
                 down these options while constructing a generation strategy.
 
         Returns:
-            A two-element tuple containing an `n x d`-dim tensor of generated candidates
-            and a tensor with the associated acquisition value.
+            A three-element tuple containing an `n x d`-dim tensor of generated
+            candidates, a tensor with the associated acquisition values, and a tensor
+            with the weight for each candidate.
         """
         # NOTE: Could make use of `optimizer_class` when it's added to BoTorch
         # instead of calling `optimizer_acqf` or `optimize_acqf_discrete` etc.
@@ -434,13 +435,15 @@ def optimize(
             for i in fixed_features:
                 if not 0 <= i < len(ssd.feature_names):
                     raise ValueError(f"Invalid fixed_feature index: {i}")
-
+        # Return a weight of 1 for each arm by default. This can be
+        # customized in subclasses if necessary.
+        arm_weights = torch.ones(n, dtype=self.dtype)
         # 1. Handle the fully continuous search space.
         if (
             optimizer_options_with_defaults.pop("force_use_optimize_acqf", False)
             or not discrete_features
         ):
-            return optimize_acqf(
+            candidates, acqf_values = optimize_acqf(
                 acq_function=self.acqf,
                 bounds=bounds,
                 q=n,
@@ -449,6 +452,7 @@ def optimize(
                 post_processing_func=post_processing_func,
                 **optimizer_options_with_defaults,
             )
+            return candidates, acqf_values, arm_weights
 
         # 2. Handle search spaces with discrete features.
         discrete_choices = mk_discrete_choices(ssd=ssd, fixed_features=fixed_features)
@@ -468,14 +472,15 @@ def optimize(
                     torch.tensor(c, device=self.device, dtype=self.dtype)
                     for c in discrete_choices.values()
                 ]
-                return optimize_acqf_discrete_local_search(
+                candidates, acqf_values = optimize_acqf_discrete_local_search(
                     acq_function=self.acqf,
                     q=n,
                     discrete_choices=discrete_choices,
                     inequality_constraints=inequality_constraints,
                     X_avoid=X_observed,
                     **optimizer_options_with_defaults,
                 )
+                return candidates, acqf_values, arm_weights
 
             # Enumerate all possible choices
             all_choices = (discrete_choices[i] for i in range(len(discrete_choices)))
@@ -520,12 +525,13 @@ def optimize(
                 optimizer_options=optimizer_options,
                 optimizer_is_discrete=True,
             )
-            return optimize_acqf_discrete(
+            candidates, acqf_values = optimize_acqf_discrete(
                 acq_function=self.acqf, q=n, choices=all_choices, **discrete_opt_options
             )
+            return candidates, acqf_values, arm_weights
 
         # 2b. Handle mixed search spaces that have discrete and continuous features.
-        return optimize_acqf_mixed(
+        candidates, acqf_values = optimize_acqf_mixed(
             acq_function=self.acqf,
             bounds=bounds,
             q=n,
@@ -539,6 +545,7 @@ def optimize(
             post_processing_func=post_processing_func,
             **optimizer_options_with_defaults,
         )
+        return candidates, acqf_values, arm_weights
 
     def evaluate(self, X: Tensor) -> Tensor:
         """Evaluate the acquisition function on the candidate set `X`.

ax/models/torch/botorch_modular/model.py

@@ -427,7 +427,7 @@ def gen(
             acq_options=acq_options,
         )
         botorch_rounding_func = get_rounding_func(torch_opt_config.rounding_func)
-        candidates, expected_acquisition_value = acqf.optimize(
+        candidates, expected_acquisition_value, weights = acqf.optimize(
             n=n,
             search_space_digest=search_space_digest,
             inequality_constraints=_to_inequality_constraints(
@@ -444,7 +444,7 @@ def gen(
         )
         return TorchGenResults(
             points=candidates.detach().cpu(),
-            weights=torch.ones(n, dtype=self.dtype),
+            weights=weights,
             gen_metadata=gen_metadata,
         )
 

ax/models/torch/botorch_modular/sebo.py

@@ -214,7 +214,7 @@ def optimize(
         fixed_features: Optional[Dict[int, float]] = None,
         rounding_func: Optional[Callable[[Tensor], Tensor]] = None,
         optimizer_options: Optional[Dict[str, Any]] = None,
-    ) -> Tuple[Tensor, Tensor]:
+    ) -> Tuple[Tensor, Tensor, Tensor]:
         """Generate a set of candidates via multi-start optimization. Obtains
         candidates and their associated acquisition function values.
 
@@ -232,23 +232,30 @@ def optimize(
                 transformations).
             optimizer_options: Options for the optimizer function, e.g. ``sequential``
                 or ``raw_samples``.
+
+        Returns:
+            A three-element tuple containing an `n x d`-dim tensor of generated
+            candidates, a tensor with the associated acquisition values, and a tensor
+            with the weight for each candidate.
         """
         if self.penalty_name == "L0_norm":
             if inequality_constraints is not None:
                 raise NotImplementedError(
                     "Homotopy does not support optimization with inequality "
                     + "constraints. Use L1 penalty norm instead."
                 )
-            candidates, expected_acquisition_value = self._optimize_with_homotopy(
-                n=n,
-                search_space_digest=search_space_digest,
-                fixed_features=fixed_features,
-                rounding_func=rounding_func,
-                optimizer_options=optimizer_options,
+            candidates, expected_acquisition_value, weights = (
+                self._optimize_with_homotopy(
+                    n=n,
+                    search_space_digest=search_space_digest,
+                    fixed_features=fixed_features,
+                    rounding_func=rounding_func,
+                    optimizer_options=optimizer_options,
+                )
             )
         else:
             # if L1 norm use standard moo-opt
-            candidates, expected_acquisition_value = super().optimize(
+            candidates, expected_acquisition_value, weights = super().optimize(
                 n=n,
                 search_space_digest=search_space_digest,
                 inequality_constraints=inequality_constraints,
@@ -265,7 +272,7 @@ def optimize(
             device=self.device,
             dtype=self.dtype,
         )
-        return candidates, expected_acquisition_value
+        return candidates, expected_acquisition_value, weights
 
     def _optimize_with_homotopy(
         self,
@@ -274,7 +281,7 @@ def _optimize_with_homotopy(
         fixed_features: Optional[Dict[int, float]] = None,
         rounding_func: Optional[Callable[[Tensor], Tensor]] = None,
         optimizer_options: Optional[Dict[str, Any]] = None,
-    ) -> Tuple[Tensor, Tensor]:
+    ) -> Tuple[Tensor, Tensor, Tensor]:
         """Optimize SEBO ACQF with L0 norm using homotopy."""
         # extend to fixed a no homotopy_schedule schedule
         _tensorize = partial(torch.tensor, dtype=self.dtype, device=self.device)
@@ -346,7 +353,11 @@ def callback():  # pyre-ignore
             batch_initial_conditions=batch_initial_conditions,
         )
 
-        return candidates, expected_acquisition_value
+        return (
+            candidates,
+            expected_acquisition_value,
+            torch.ones(n, dtype=candidates.dtype),
+        )
 
 
 def L1_norm_func(X: Tensor, init_point: Tensor) -> Tensor:

ax/models/torch/botorch_modular/surrogate.py

@@ -670,7 +670,7 @@ def best_out_of_sample_point(
             torch_opt_config=torch_opt_config,
             options=acqf_options,
         )
-        candidates, acqf_values = acqf.optimize(
+        candidates, acqf_values, _ = acqf.optimize(
             n=1,
             search_space_digest=search_space_digest,
             inequality_constraints=_to_inequality_constraints(

ax/models/torch/tests/test_acquisition.py

@@ -299,7 +299,7 @@ def test_init_with_subset_model_false(
                 outcome_constraints=self.outcome_constraints
             )
 
-    @mock.patch(f"{ACQUISITION_PATH}.optimize_acqf")
+    @mock.patch(f"{ACQUISITION_PATH}.optimize_acqf", return_value=(Mock(), Mock()))
     def test_optimize(self, mock_optimize_acqf: Mock) -> None:
         acquisition = self.get_acquisition_function(fixed_features=self.fixed_features)
         acquisition.optimize(
@@ -421,7 +421,7 @@ def test_optimize_discrete(self) -> None:
         # 2 candidates have acqf value 8, but [1, 3, 4] is pending and thus should
         # not be selected. [2, 3, 4] is the best point, but has already been picked
         acquisition = self.get_acquisition_function()
-        X_selected, _ = acquisition.optimize(
+        X_selected, _, weights = acquisition.optimize(
             n=2,
             search_space_digest=ssd1,
             rounding_func=self.rounding_func,
@@ -431,6 +431,7 @@ def test_optimize_discrete(self) -> None:
         self.assertTrue(
             all((x.unsqueeze(0) == expected).all(dim=-1).any() for x in X_selected)
         )
+        self.assertTrue(torch.equal(weights, torch.ones(2)))
         # check with fixed feature
         # Since parameter 1 is fixed to 2, the best 3 candidates are
         # [4, 2, 4], [3, 2, 4], [4, 2, 3]
@@ -444,7 +445,7 @@ def test_optimize_discrete(self) -> None:
             #  int]]]` but got `Dict[int, List[int]]`.
             discrete_choices={k: [0, 1, 2, 3, 4] for k in range(3)},
         )
-        X_selected, _ = acquisition.optimize(
+        X_selected, _, weights = acquisition.optimize(
             n=3,
             search_space_digest=ssd2,
             fixed_features=self.fixed_features,
@@ -455,9 +456,10 @@ def test_optimize_discrete(self) -> None:
         self.assertTrue(
             all((x.unsqueeze(0) == expected).all(dim=-1).any() for x in X_selected)
         )
+        self.assertTrue(torch.equal(weights, torch.ones(3)))
         # check with a constraint that -1 * x[0]  -1 * x[1] >= 0 which should make
         # [0, 0, 4] the best candidate.
-        X_selected, _ = acquisition.optimize(
+        X_selected, _, weights = acquisition.optimize(
             n=1,
             search_space_digest=ssd2,
             rounding_func=self.rounding_func,
@@ -467,8 +469,9 @@ def test_optimize_discrete(self) -> None:
         )
         expected = torch.tensor([[0, 0, 4]]).to(self.X)
         self.assertTrue(torch.equal(expected, X_selected))
+        self.assertTrue(torch.equal(weights, torch.tensor([1.0], dtype=self.X.dtype)))
         # Same thing but use two constraints instead
-        X_selected, _ = acquisition.optimize(
+        X_selected, _, weights = acquisition.optimize(
             n=1,
             search_space_digest=ssd2,
             rounding_func=self.rounding_func,
@@ -479,8 +482,12 @@ def test_optimize_discrete(self) -> None:
         )
         expected = torch.tensor([[0, 0, 4]]).to(self.X)
         self.assertTrue(torch.equal(expected, X_selected))
+        self.assertTrue(torch.equal(weights, torch.tensor([1.0])))
 
-    @mock.patch(f"{ACQUISITION_PATH}.optimize_acqf_discrete_local_search")
+    @mock.patch(
+        f"{ACQUISITION_PATH}.optimize_acqf_discrete_local_search",
+        return_value=(Mock(), Mock()),
+    )
     def test_optimize_acqf_discrete_local_search(
         self,
         mock_optimize_acqf_discrete_local_search: Mock,
@@ -524,7 +531,9 @@ def test_optimize_acqf_discrete_local_search(
             all((X_avoid_true == x).all(dim=-1).any().item() for x in kwargs["X_avoid"])
         )
 
-    @mock.patch(f"{ACQUISITION_PATH}.optimize_acqf_mixed")
+    @mock.patch(
+        f"{ACQUISITION_PATH}.optimize_acqf_mixed", return_value=(Mock(), Mock())
+    )
     def test_optimize_mixed(self, mock_optimize_acqf_mixed: Mock) -> None:
         tkwargs = {"dtype": self.X.dtype, "device": self.X.device}
         ssd = SearchSpaceDigest(
@@ -564,7 +573,9 @@ def test_optimize_mixed(self, mock_optimize_acqf_mixed: Mock) -> None:
         mock_optimize_acqf_mixed.reset_mock()
         optimizer_options = self.optimizer_options.copy()
         optimizer_options["force_use_optimize_acqf"] = True
-        with mock.patch(f"{ACQUISITION_PATH}.optimize_acqf") as mock_optimize_acqf:
+        with mock.patch(
+            f"{ACQUISITION_PATH}.optimize_acqf", return_value=(Mock(), Mock())
+        ) as mock_optimize_acqf:
             acquisition.optimize(
                 n=3,
                 search_space_digest=ssd,

ax/models/torch/tests/test_model.py

@@ -482,8 +482,9 @@ def _test_gen(
             input_constructor=mock_input_constructor,
         )
         mock_optimize.return_value = (
-            torch.tensor([1.0]),
+            torch.tensor([[1.0]]),
             torch.tensor([2.0]),
+            torch.tensor([1.0]),
         )
         surrogate = Surrogate(botorch_model_class=botorch_model_class)
         model = BoTorchModel(
@@ -824,8 +825,8 @@ def test_model_list_choice(self, _) -> None:  # , mock_extract_training_data):
 
     @mock.patch(
         f"{ACQUISITION_PATH}.Acquisition.optimize",
-        # Dummy candidates and acquisition function value.
-        return_value=(torch.tensor([[2.0]]), torch.tensor([1.0])),
+        # Dummy candidates, acquisition value, and weights
+        return_value=(torch.tensor([[2.0]]), torch.tensor([1.0]), torch.tensor([1.0])),
     )
     def test_MOO(self, _) -> None:
         # Add mock for qLogNEHVI input constructor to catch arguments passed to it.

ax/models/torch/tests/test_sebo.py

@@ -244,7 +244,7 @@ def test_optimize_l0_homotopy(
             feature_names=["a"],
             bounds=[(-10.0, 5.0)],
         )
-        candidate, acqf_val = acquisition._optimize_with_homotopy(
+        candidate, acqf_val, weights = acquisition._optimize_with_homotopy(
             n=1,
             search_space_digest=search_space_digest,
             optimizer_options={
@@ -255,6 +255,7 @@ def test_optimize_l0_homotopy(
         )
         self.assertEqual(candidate, torch.zeros(1, **tkwargs))
         self.assertEqual(acqf_val, 5 * torch.ones(1, **tkwargs))
+        self.assertEqual(weights, torch.ones(1, **tkwargs))
 
     @mock.patch(f"{SEBOACQUISITION_PATH}.optimize_acqf_homotopy")
     def test_optimize_l0(self, mock_optimize_acqf_homotopy: Mock) -> None:

ax/models/torch/tests/test_surrogate.py

@@ -574,7 +574,11 @@ def test_best_in_sample_point(self) -> None:
     @patch(f"{ACQUISITION_PATH}.Acquisition.__init__", return_value=None)
     @patch(
         f"{ACQUISITION_PATH}.Acquisition.optimize",
-        return_value=([torch.tensor([0.0])], [torch.tensor([1.0])]),
+        return_value=(
+            torch.tensor([[0.0]]),
+            torch.tensor([1.0]),
+            torch.tensor([1.0]),
+        ),
     )
     @patch(
         f"{SURROGATE_PATH}.pick_best_out_of_sample_point_acqf_class",
@@ -615,7 +619,7 @@ def test_best_out_of_sample_point(
                 options={Keys.SAMPLER: SobolQMCNormalSampler},
             )
             self.assertTrue(torch.equal(candidate, torch.tensor([0.0])))
-            self.assertTrue(torch.equal(acqf_value, torch.tensor([1.0])))
+            self.assertTrue(torch.equal(acqf_value, torch.tensor(1.0)))
 
     def test_serialize_attributes_as_kwargs(self) -> None:
         for botorch_model_class in [SaasFullyBayesianSingleTaskGP, SingleTaskGP]: