import time import functools import random import math import traceback import warnings import numpy as np import torch from torch import nn import gpytorch import botorch from botorch.models import SingleTaskGP from botorch.models.gp_regression import MIN_INFERRED_NOISE_LEVEL from botorch.fit import fit_gpytorch_model from gpytorch.mlls import ExactMarginalLogLikelihood from gpytorch.likelihoods import GaussianLikelihood from gpytorch.priors.torch_priors import GammaPrior, UniformPrior, LogNormalPrior from gpytorch.means import ZeroMean from botorch.models.transforms.input import * from gpytorch.constraints import GreaterThan from . import utils from ..utils import default_device, to_tensor from .prior import Batch from .utils import get_batch_to_dataloader class Warp(gpytorch.Module): r"""A transform that uses learned input warping functions. Each specified input dimension is warped using the CDF of a Kumaraswamy distribution. Typically, MAP estimates of the parameters of the Kumaraswamy distribution, for each input dimension, are learned jointly with the GP hyperparameters. for each output in batched multi-output and multi-task models. For now, ModelListGPs should be used to learn independent warping functions for each output. """ _min_concentration_level = 1e-4 def __init__( self, indices: List[int], transform_on_train: bool = True, transform_on_eval: bool = True, transform_on_fantasize: bool = True, reverse: bool = False, eps: float = 1e-7, concentration1_prior: Optional[Prior] = None, concentration0_prior: Optional[Prior] = None, batch_shape: Optional[torch.Size] = None, ) -> None: r"""Initialize transform. Args: indices: The indices of the inputs to warp. transform_on_train: A boolean indicating whether to apply the transforms in train() mode. Default: True. transform_on_eval: A boolean indicating whether to apply the transform in eval() mode. Default: True. transform_on_fantasize: A boolean indicating whether to apply the transform when called from within a `fantasize` call. Default: True. reverse: A boolean indicating whether the forward pass should untransform the inputs. eps: A small value used to clip values to be in the interval (0, 1). concentration1_prior: A prior distribution on the concentration1 parameter of the Kumaraswamy distribution. concentration0_prior: A prior distribution on the concentration0 parameter of the Kumaraswamy distribution. batch_shape: The batch shape. """ super().__init__() self.register_buffer("indices", torch.tensor(indices, dtype=torch.long)) self.transform_on_train = transform_on_train self.transform_on_eval = transform_on_eval self.transform_on_fantasize = transform_on_fantasize self.reverse = reverse self.batch_shape = batch_shape or torch.Size([]) self._X_min = eps self._X_range = 1 - 2 * eps if len(self.batch_shape) > 0: # Note: this follows the gpytorch shape convention for lengthscales # There is ongoing discussion about the extra `1`. # https://github.com/cornellius-gp/gpytorch/issues/1317 batch_shape = self.batch_shape + torch.Size([1]) else: batch_shape = self.batch_shape for i in (0, 1): p_name = f"concentration{i}" self.register_parameter( p_name, nn.Parameter(torch.full(batch_shape + self.indices.shape, 1.0)), ) if concentration0_prior is not None: def closure(m): #print(m.concentration0) return m.concentration0 self.register_prior( "concentration0_prior", concentration0_prior, closure, lambda m, v: m._set_concentration(i=0, value=v), ) if concentration1_prior is not None: def closure(m): #print(m.concentration1) return m.concentration1 self.register_prior( "concentration1_prior", concentration1_prior, closure, lambda m, v: m._set_concentration(i=1, value=v), ) for i in (0, 1): p_name = f"concentration{i}" constraint = GreaterThan( self._min_concentration_level, transform=None, # set the initial value to be the identity transformation initial_value=1.0, ) self.register_constraint(param_name=p_name, constraint=constraint) def _set_concentration(self, i: int, value: Union[float, Tensor]) -> None: if not torch.is_tensor(value): value = torch.as_tensor(value).to(self.concentration0) self.initialize(**{f"concentration{i}": value}) def _transform(self, X: Tensor) -> Tensor: r"""Warp the inputs through the Kumaraswamy CDF. Args: X: A `input_batch_shape x (batch_shape) x n x d`-dim tensor of inputs. batch_shape here can either be self.batch_shape or 1's such that it is broadcastable with self.batch_shape if self.batch_shape is set. Returns: A `input_batch_shape x (batch_shape) x n x d`-dim tensor of transformed inputs. """ X_tf = expand_and_copy_tensor(X=X, batch_shape=self.batch_shape) k = Kumaraswamy( concentration1=self.concentration1, concentration0=self.concentration0 ) # normalize to [eps, 1-eps] X_tf[..., self.indices] = k.cdf( torch.clamp( X_tf[..., self.indices] * self._X_range + self._X_min, self._X_min, 1.0 - self._X_min, ) ) return X_tf def _untransform(self, X: Tensor) -> Tensor: r"""Warp the inputs through the Kumaraswamy inverse CDF. Args: X: A `input_batch_shape x batch_shape x n x d`-dim tensor of inputs. Returns: A `input_batch_shape x batch_shape x n x d`-dim tensor of transformed inputs. """ if len(self.batch_shape) > 0: if self.batch_shape != X.shape[-2 - len(self.batch_shape) : -2]: raise BotorchTensorDimensionError( "The right most batch dims of X must match self.batch_shape: " f"({self.batch_shape})." ) X_tf = X.clone() k = Kumaraswamy( concentration1=self.concentration1, concentration0=self.concentration0 ) # unnormalize from [eps, 1-eps] to [0,1] X_tf[..., self.indices] = ( (k.icdf(X_tf[..., self.indices]) - self._X_min) / self._X_range ).clamp(0.0, 1.0) return X_tf def transform(self, X: Tensor) -> Tensor: r"""Transform the inputs. Args: X: A `batch_shape x n x d`-dim tensor of inputs. Returns: A `batch_shape x n x d`-dim tensor of transformed inputs. """ return self._untransform(X) if self.reverse else self._transform(X) def untransform(self, X: Tensor) -> Tensor: r"""Un-transform the inputs. Args: X: A `batch_shape x n x d`-dim tensor of inputs. Returns: A `batch_shape x n x d`-dim tensor of un-transformed inputs. """ return self._transform(X) if self.reverse else self._untransform(X) def equals(self, other: InputTransform) -> bool: r"""Check if another input transform is equivalent. Note: The reason that a custom equals method is defined rather than defining an __eq__ method is because defining an __eq__ method sets the __hash__ method to None. Hashing modules is currently used in pytorch. See https://github.com/pytorch/pytorch/issues/7733. Args: other: Another input transform. Returns: A boolean indicating if the other transform is equivalent. """ other_state_dict = other.state_dict() return ( type(self) == type(other) and (self.transform_on_train == other.transform_on_train) and (self.transform_on_eval == other.transform_on_eval) and (self.transform_on_fantasize == other.transform_on_fantasize) and all( torch.allclose(v, other_state_dict[k].to(v)) for k, v in self.state_dict().items() ) ) def preprocess_transform(self, X: Tensor) -> Tensor: r"""Apply transforms for preprocessing inputs. The main use cases for this method are 1) to preprocess training data before calling `set_train_data` and 2) preprocess `X_baseline` for noisy acquisition functions so that `X_baseline` is "preprocessed" with the same transformations as the cached training inputs. Args: X: A `batch_shape x n x d`-dim tensor of inputs. Returns: A `batch_shape x n x d`-dim tensor of (transformed) inputs. """ if self.transform_on_train: # We need to disable learning of bounds here. # See why: https://github.com/pytorch/botorch/issues/1078. if hasattr(self, "learn_bounds"): learn_bounds = self.learn_bounds self.learn_bounds = False result = self.transform(X) self.learn_bounds = learn_bounds return result else: return self.transform(X) return X def forward(self, X: Tensor) -> Tensor: r"""Transform the inputs to a model. Args: X: A `batch_shape x n x d`-dim tensor of inputs. Returns: A `batch_shape x n' x d`-dim tensor of transformed inputs. """ if self.training: if self.transform_on_train: return self.transform(X) elif self.transform_on_eval: if fantasize.off() or self.transform_on_fantasize: return self.transform(X) return X def constraint_based_on_distribution_support(prior: torch.distributions.Distribution, device, sample_from_path): if sample_from_path: return None if hasattr(prior.support, 'upper_bound'): return gpytorch.constraints.Interval(to_tensor(prior.support.lower_bound,device=device), to_tensor(prior.support.upper_bound,device=device)) else: return gpytorch.constraints.GreaterThan(to_tensor(prior.support.lower_bound,device=device)) loaded_things = {} def torch_load(path): ''' Cached torch load. Caution: This does not copy the output but keeps pointers. That means, if you modify the output, you modify the output of later calls to this function with the same args. :param path: :return: ''' if path not in loaded_things: print(f'loading {path}') with open(path, 'rb') as f: loaded_things[path] = torch.load(f) return loaded_things[path] def get_model(x, y, hyperparameters: dict, sample=True): sample_from_path = hyperparameters.get('sample_from_extra_prior', None) device = x.device num_features = x.shape[-1] likelihood = gpytorch.likelihoods.GaussianLikelihood(noise_constraint=gpytorch.constraints.Positive()) likelihood.register_prior("noise_prior", LogNormalPrior(torch.tensor(hyperparameters.get('hebo_noise_logmean',-4.63), device=device), torch.tensor(hyperparameters.get('hebo_noise_std', 0.5), device=device) ), "noise") lengthscale_prior = \ GammaPrior( torch.tensor(hyperparameters['lengthscale_concentration'], device=device), torch.tensor(hyperparameters['lengthscale_rate'], device=device))\ if hyperparameters.get('lengthscale_concentration', None) else\ UniformPrior(torch.tensor(0.0, device=device), torch.tensor(1.0, device=device)) covar_module = gpytorch.kernels.MaternKernel(nu=3 / 2, ard_num_dims=num_features, lengthscale_prior=lengthscale_prior, lengthscale_constraint=\ constraint_based_on_distribution_support(lengthscale_prior, device, sample_from_path)) # ORIG DIFF: orig lengthscale has no prior #covar_module.register_prior("lengthscale_prior", #UniformPrior(.000000001, 1.), #GammaPrior(concentration=hyperparameters.get('lengthscale_concentration', 1.), # rate=hyperparameters.get('lengthscale_rate', .1)), # skewness is controllled by concentration only, want somthing like concetration in [0.1,1.], rate around [.05,1] seems reasonable #"lengthscale") outputscale_prior = \ GammaPrior(concentration=hyperparameters.get('outputscale_concentration', .5), rate=hyperparameters.get('outputscale_rate', 1.)) covar_module = gpytorch.kernels.ScaleKernel(covar_module, outputscale_prior=outputscale_prior, outputscale_constraint=constraint_based_on_distribution_support(outputscale_prior, device, sample_from_path)) if random.random() < float(hyperparameters.get('add_linear_kernel', True)): # ORIG DIFF: added priors for variance and outputscale of linear kernel var_prior = UniformPrior(torch.tensor(0.0, device=device), torch.tensor(1.0, device=device)) out_prior = UniformPrior(torch.tensor(0.0, device=device), torch.tensor(1.0, device=device)) lincovar_module = gpytorch.kernels.ScaleKernel( gpytorch.kernels.LinearKernel( variance_prior=var_prior, variance_constraint=constraint_based_on_distribution_support(var_prior,device,sample_from_path), ), outputscale_prior=out_prior, outputscale_constraint=constraint_based_on_distribution_support(out_prior,device,sample_from_path), ) covar_module = covar_module + lincovar_module if hyperparameters.get('hebo_warping', False): # initialize input_warping transformation warp_tf = Warp( indices=list(range(num_features)), # use a prior with median at 1. # when a=1 and b=1, the Kumaraswamy CDF is the identity function concentration1_prior=LogNormalPrior(torch.tensor(0.0, device=device), torch.tensor(hyperparameters.get('hebo_input_warping_c1_std',.75), device=device)), concentration0_prior=LogNormalPrior(torch.tensor(0.0, device=device), torch.tensor(hyperparameters.get('hebo_input_warping_c0_std',.75), device=device)), ) else: warp_tf = None # assume mean 0 always! if len(y.shape) < len(x.shape): y = y.unsqueeze(-1) model = botorch.models.SingleTaskGP(x, y, likelihood, covar_module=covar_module, input_transform=warp_tf) model.mean_module = ZeroMean(x.shape[:-2]) model.to(device) likelihood.to(device) if sample: model = model.pyro_sample_from_prior() if sample_from_path: parameter_sample_distribution = torch_load(sample_from_path) # dict with entries for each parameter idx_for_len = {} for parameter_name, parameter_values in parameter_sample_distribution.items(): assert len(parameter_values.shape) == 1 try: p = eval(parameter_name) if len(parameter_values) in idx_for_len: idx = idx_for_len[len(parameter_values)].view(p.shape) else: idx = torch.randint(len(parameter_values), p.shape) idx_for_len[len(parameter_values)] = idx new_sample = parameter_values[idx].to(device).view(p.shape) # noqa assert new_sample.shape == p.shape with torch.no_grad(): p.data = new_sample except AttributeError: utils.print_once(f'could not find parameter {parameter_name} in model for `sample_from_extra_prior`') model.requires_grad_(False) likelihood.requires_grad_(False) return model, model.likelihood else: assert not(hyperparameters.get('sigmoid', False)) and not(hyperparameters.get('y_minmax_norm', False)), "Sigmoid and y_minmax_norm can only be used to sample models..." return model, likelihood @torch.no_grad() def get_batch(batch_size, seq_len, num_features, device=default_device, hyperparameters=None, batch_size_per_gp_sample=None, single_eval_pos=None, fix_to_range=None, equidistant_x=False, verbose=False, **kwargs): ''' This function is very similar to the equivalent in .fast_gp. The only difference is that this function operates over a mixture of GP priors. :param batch_size: :param seq_len: :param num_features: :param device: :param hyperparameters: :param for_regression: :return: ''' hyperparameters = hyperparameters or {} with gpytorch.settings.fast_computations(*hyperparameters.get('fast_computations',(True,True,True))): batch_size_per_gp_sample = (batch_size_per_gp_sample or max(batch_size // 4,1)) assert batch_size % batch_size_per_gp_sample == 0 total_num_candidates = batch_size*(2**(fix_to_range is not None)) num_candidates = batch_size_per_gp_sample * (2**(fix_to_range is not None)) unused_feature_likelihood = hyperparameters.get('unused_feature_likelihood', False) if equidistant_x: assert num_features == 1 assert not unused_feature_likelihood x = torch.linspace(0,1.,seq_len).unsqueeze(0).repeat(total_num_candidates,1).unsqueeze(-1) else: x = torch.rand(total_num_candidates, seq_len, num_features, device=device) samples = [] samples_wo_noise = [] for i in range(0, total_num_candidates, num_candidates): local_x = x[i:i+num_candidates] if unused_feature_likelihood: r = torch.rand(num_features) unused_feature_mask = r < unused_feature_likelihood if unused_feature_mask.all(): unused_feature_mask[r.argmin()] = False used_local_x = local_x[...,~unused_feature_mask] else: used_local_x = local_x get_model_and_likelihood = lambda: get_model(used_local_x, torch.zeros(num_candidates,x.shape[1], device=device), hyperparameters) model, likelihood = get_model_and_likelihood() if verbose: print(list(model.named_parameters()), (list(model.input_transform.named_parameters()), model.input_transform.concentration1, model.input_transform.concentration0) if model.input_transform is not None else None, ) # trained_model = ExactGPModel(train_x, train_y, likelihood).cuda() # trained_model.eval() successful_sample = 0 throwaway_share = 0. while successful_sample < 1: with gpytorch.settings.prior_mode(True): #print(x.device, device, f'{model.covar_module.base_kernel.lengthscale=}, {model.covar_module.base_kernel.lengthscale.device=}') d = model(used_local_x) try: with warnings.catch_warnings(): warnings.simplefilter("ignore") sample_wo_noise = d.sample() d = likelihood(sample_wo_noise) except (RuntimeError, ValueError) as e: successful_sample -= 1 model, likelihood = get_model_and_likelihood() if successful_sample < -100: print(f'Could not sample from model {i} after {successful_sample} attempts. {e}') raise e continue sample = d.sample() # bs_per_gp_s x T if fix_to_range is None: #for k, v in model.named_parameters(): print(k,v) samples.append(sample.transpose(0, 1)) samples_wo_noise.append(sample_wo_noise.transpose(0, 1)) break smaller_mask = sample < fix_to_range[0] larger_mask = sample >= fix_to_range[1] in_range_mask = ~ (smaller_mask | larger_mask).any(1) throwaway_share += (~in_range_mask[:batch_size_per_gp_sample]).sum()/batch_size_per_gp_sample if in_range_mask.sum() < batch_size_per_gp_sample: successful_sample -= 1 if successful_sample < 100: print("Please change hyper-parameters (e.g. decrease outputscale_mean) it" "seems like the range is set to tight for your hyper-parameters.") continue x[i:i+batch_size_per_gp_sample] = local_x[in_range_mask][:batch_size_per_gp_sample] sample = sample[in_range_mask][:batch_size_per_gp_sample] samples.append(sample.transpose(0, 1)) samples_wo_noise.append(sample_wo_noise.transpose(0, 1)) successful_sample = True if random.random() < .01: print('throwaway share', throwaway_share/(batch_size//batch_size_per_gp_sample)) #print(f'took {time.time() - start}') sample = torch.cat(samples, 1)[...,None] sample_wo_noise = torch.cat(samples_wo_noise, 1)[...,None] x = x.view(-1,batch_size,seq_len,num_features)[0] # TODO think about enabling the line below #sample = sample - sample[0, :].unsqueeze(0).expand(*sample.shape) x = x.transpose(0,1) assert x.shape[:2] == sample.shape[:2] return Batch(x=x, y=sample, target_y=sample if hyperparameters.get('observation_noise', True) else sample_wo_noise) DataLoader = get_batch_to_dataloader(get_batch)