qLogNEI (#1937)

Summary:
Pull Request resolved: #1937

This commit introduces `qLogNoisyExpectedImprovement` (`qLogNEI`) a cousin of `qLogEI`. Similar to `qLogEI` and in contrast to `q(N)EI`, it generally exhibits strong and smooth gradients, leading to better acquisition function optimization and Bayesian optimization as a result.

Reviewed By: Balandat

Differential Revision: D47439161

fbshipit-source-id: 79c0930659ae344561c315211253680c9e43ffb8

botorch/acquisition/__init__.py

@@ -37,6 +37,7 @@
 from botorch.acquisition.logei import (
     LogImprovementMCAcquisitionFunction,
     qLogExpectedImprovement,
+    qLogNoisyExpectedImprovement,
 )
 from botorch.acquisition.max_value_entropy_search import (
     MaxValueBase,
@@ -96,6 +97,7 @@
     "qExpectedImprovement",
     "LogImprovementMCAcquisitionFunction",
     "qLogExpectedImprovement",
+    "qLogNoisyExpectedImprovement",
     "qKnowledgeGradient",
     "MaxValueBase",
     "qMultiFidelityKnowledgeGradient",

botorch/acquisition/input_constructors.py

@@ -47,7 +47,12 @@
     qKnowledgeGradient,
     qMultiFidelityKnowledgeGradient,
 )
-from botorch.acquisition.logei import qLogExpectedImprovement
+from botorch.acquisition.logei import (
+    qLogExpectedImprovement,
+    qLogNoisyExpectedImprovement,
+    TAU_MAX,
+    TAU_RELU,
+)
 from botorch.acquisition.max_value_entropy_search import (
     qMaxValueEntropy,
     qMultiFidelityMaxValueEntropy,
@@ -450,7 +455,7 @@ def construct_inputs_qSimpleRegret(
     )
 
 
-@acqf_input_constructor(qExpectedImprovement, qLogExpectedImprovement)
+@acqf_input_constructor(qExpectedImprovement)
 def construct_inputs_qEI(
     model: Model,
     training_data: MaybeDict[SupervisedDataset],
@@ -508,6 +513,72 @@ def construct_inputs_qEI(
     return {**base_inputs, "best_f": best_f, "constraints": constraints, "eta": eta}
 
 
+@acqf_input_constructor(qLogExpectedImprovement)
+def construct_inputs_qLogEI(
+    model: Model,
+    training_data: MaybeDict[SupervisedDataset],
+    objective: Optional[MCAcquisitionObjective] = None,
+    posterior_transform: Optional[PosteriorTransform] = None,
+    X_pending: Optional[Tensor] = None,
+    sampler: Optional[MCSampler] = None,
+    best_f: Optional[Union[float, Tensor]] = None,
+    constraints: Optional[List[Callable[[Tensor], Tensor]]] = None,
+    eta: Union[Tensor, float] = 1e-3,
+    fat: bool = True,
+    tau_max: float = TAU_MAX,
+    tau_relu: float = TAU_RELU,
+    **ignored: Any,
+) -> Dict[str, Any]:
+    r"""Construct kwargs for the `qExpectedImprovement` constructor.
+
+    Args:
+        model: The model to be used in the acquisition function.
+        training_data: Dataset(s) used to train the model.
+        objective: The objective to be used in the acquisition function.
+        posterior_transform: The posterior transform to be used in the
+            acquisition function.
+        X_pending: A `m x d`-dim Tensor of `m` design points that have been
+            submitted for function evaluation but have not yet been evaluated.
+            Concatenated into X upon forward call.
+        sampler: The sampler used to draw base samples. If omitted, uses
+            the acquisition functions's default sampler.
+        best_f: Threshold above (or below) which improvement is defined.
+        constraints: A list of constraint callables which map a Tensor of posterior
+            samples of dimension `sample_shape x batch-shape x q x m`-dim to a
+            `sample_shape x batch-shape x q`-dim Tensor. The associated constraints
+            are considered satisfied if the output is less than zero.
+        eta: Temperature parameter(s) governing the smoothness of the sigmoid
+            approximation to the constraint indicators. For more details, on this
+            parameter, see the docs of `compute_smoothed_feasibility_indicator`.
+        fat: Toggles the logarithmic / linear asymptotic behavior of the smooth
+            approximation to the ReLU.
+        tau_max: Temperature parameter controlling the sharpness of the smooth
+            approximations to max.
+        tau_relu: Temperature parameter controlling the sharpness of the smooth
+            approximations to ReLU.
+        ignored: Not used.
+
+    Returns:
+        A dict mapping kwarg names of the constructor to values.
+    """
+    return {
+        **construct_inputs_qEI(
+            model=model,
+            training_data=training_data,
+            objective=objective,
+            posterior_transform=posterior_transform,
+            X_pending=X_pending,
+            sampler=sampler,
+            best_f=best_f,
+            constraints=constraints,
+            eta=eta,
+        ),
+        "fat": fat,
+        "tau_max": tau_max,
+        "tau_relu": tau_relu,
+    }
+
+
 @acqf_input_constructor(qNoisyExpectedImprovement)
 def construct_inputs_qNEI(
     model: Model,
@@ -570,7 +641,6 @@ def construct_inputs_qNEI(
             assert_shared=True,
             first_only=True,
         )
-
     return {
         **base_inputs,
         "X_baseline": X_baseline,
@@ -581,6 +651,82 @@ def construct_inputs_qNEI(
     }
 
 
+@acqf_input_constructor(qLogNoisyExpectedImprovement)
+def construct_inputs_qLogNEI(
+    model: Model,
+    training_data: MaybeDict[SupervisedDataset],
+    objective: Optional[MCAcquisitionObjective] = None,
+    posterior_transform: Optional[PosteriorTransform] = None,
+    X_pending: Optional[Tensor] = None,
+    sampler: Optional[MCSampler] = None,
+    X_baseline: Optional[Tensor] = None,
+    prune_baseline: Optional[bool] = True,
+    cache_root: Optional[bool] = True,
+    constraints: Optional[List[Callable[[Tensor], Tensor]]] = None,
+    eta: Union[Tensor, float] = 1e-3,
+    fat: bool = True,
+    tau_max: float = TAU_MAX,
+    tau_relu: float = TAU_RELU,
+    **ignored: Any,
+):
+    r"""Construct kwargs for the `qNoisyExpectedImprovement` constructor.
+
+    Args:
+        model: The model to be used in the acquisition function.
+        training_data: Dataset(s) used to train the model.
+        objective: The objective to be used in the acquisition function.
+        posterior_transform: The posterior transform to be used in the
+            acquisition function.
+        X_pending: A `m x d`-dim Tensor of `m` design points that have been
+            submitted for function evaluation but have not yet been evaluated.
+            Concatenated into X upon forward call.
+        sampler: The sampler used to draw base samples. If omitted, uses
+            the acquisition functions's default sampler.
+        X_baseline: A `batch_shape x r x d`-dim Tensor of `r` design points
+            that have already been observed. These points are considered as
+            the potential best design point. If omitted, checks that all
+            training_data have the same input features and take the first `X`.
+        prune_baseline: If True, remove points in `X_baseline` that are
+            highly unlikely to be the best point. This can significantly
+            improve performance and is generally recommended.
+        constraints: A list of constraint callables which map a Tensor of posterior
+            samples of dimension `sample_shape x batch-shape x q x m`-dim to a
+            `sample_shape x batch-shape x q`-dim Tensor. The associated constraints
+            are considered satisfied if the output is less than zero.
+        eta: Temperature parameter(s) governing the smoothness of the sigmoid
+            approximation to the constraint indicators. For more details, on this
+            parameter, see the docs of `compute_smoothed_feasibility_indicator`.
+        fat: Toggles the logarithmic / linear asymptotic behavior of the smooth
+            approximation to the ReLU.
+        tau_max: Temperature parameter controlling the sharpness of the smooth
+            approximations to max.
+        tau_relu: Temperature parameter controlling the sharpness of the smooth
+            approximations to ReLU.
+        ignored: Not used.
+
+    Returns:
+        A dict mapping kwarg names of the constructor to values.
+    """
+    return {
+        **construct_inputs_qNEI(
+            model=model,
+            training_data=training_data,
+            objective=objective,
+            posterior_transform=posterior_transform,
+            X_pending=X_pending,
+            sampler=sampler,
+            X_baseline=X_baseline,
+            prune_baseline=prune_baseline,
+            cache_root=cache_root,
+            constraint=constraints,
+            eta=eta,
+        ),
+        "fat": fat,
+        "tau_max": tau_max,
+        "tau_relu": tau_relu,
+    }
+
+
 @acqf_input_constructor(qProbabilityOfImprovement)
 def construct_inputs_qPI(
     model: Model,