This tutorial will show how to use qNEHVI with fully bayesian inference for multi-objective optimization.
Multi-objective optimization (MOO) covers the case where we care about multiple
outcomes in our experiment but we do not know before hand a specific weighting of those
objectives (covered by ScalarizedObjective) or a specific constraint on one objective
(covered by OutcomeConstraints) that will produce the best result.
The solution in this case is to find a whole Pareto frontier, a surface in outcome-space containing points that can't be improved on in every outcome. This shows us the tradeoffs between objectives that we can choose to make.
Optimize a list of M objective functions (f(1)(x),...,f(M)(x)) over a bounded search space X⊂Rd.
We assume f(i) are expensive-to-evaluate black-box functions with no known analytical expression, and no observed gradients. For instance, a machine learning model where we're interested in maximizing accuracy and minimizing inference time, with X the set of possible configuration spaces
Previous work, has shown that using a fully Bayesian treatment of GP model hyperparameters \boldsymbol \theta can lead to improved closed loop Bayesian optimization performance [1]. Snoek et al [1] propose to use an integrated acquisition function \alpha_{MCMC} where the base acquisition function \alpha(\mathbf{x} | \boldsymbol \theta, \mathcal D) is integrated over the the posterior distribution over the hyperparameters p({\boldsymbol{\theta}} | \mathcal{D}), where \mathcal{D} = \{{\mathbf{x}}_i, y_i\}_{i=1}^n:
\alpha_{MCMC}(\mathbf{x}, \mathcal D) = \int \alpha(\mathbf{x} | \boldsymbol \theta, \mathcal D) p(\boldsymbol \theta | \mathcal D) d\boldsymbol \theta
Since p({\boldsymbol{\theta}} | \mathcal{D}) typically cannot be expressed in closed-form, Markov Chain Monte-Carlo (MCMC) methods are used to draw samples from p({\boldsymbol{\theta}} | \mathcal{D}). In this tutorial we use the NUTS sampler from the pyro package for automatic, robust fully Bayesian inference.
[1] J. Snoek, H. Larochelle, R. P. Adams, Practical Bayesian Optimization of Machine Learning Algorithms. Advances in Neural Information Processing Systems 26, 2012.
Recently Eriksson et al [2] propose using sparse axis-aligned subspace priors for Bayesian optimization over high-dimensional search spaces. Specifically, the authors propose using a hierarchical sparsity prior consisting of a global shrinkage parameter with a Half-Cauchy prior \tau \sim \mathcal{HC}(\beta), and ARD lengthscales \rho_d \sim \mathcal{HC}(\tau) for d=1, ..., D. See [2] for details.
[2] D. Eriksson, M. Jankowiak. High-Dimensional Bayesian Optimization with Sparse Axis-Aligned Subspaces. Proceedings of the Thirty-Seventh Conference on Uncertainty in Artificial Intelligence, 2021.
In this tutorial, we use qNEHVI [3] as our acquisition function for multi-objective optimization. We integrate qNEHVI over the posterior distribution of the GP hyperparameters as proposed in [4].
[3] S. Daulton, M. Balandat, E. Bakshy. Parallel Bayesian Optimization of Multiple Noisy Objectives with Expected Hypervolume Improvement. Arxiv, 2021.
[4] D. Eriksson, P. Chuang, S. Daulton, P. Xia, A. Shrivastava, A. Babu, S. Zhao, A. Aly, G. Venkatesh, M. Balandat. Latency-Aware Neural Architecture Search with Multi-Objective Bayesian Optimization. ICML AutoML Workshop, 2021.
For a deeper explanation of multi-objective optimization, please refer to the dedicated multi-objective optimization tutorial: https://ax.dev/tutorials/multiobjective_optimization.html.
In this tutorial, we use Ax Developer API. Additional resources:
GenerationStrategy with multi-objective SAASBO (and use it in Ax Service API), follow the generation strategy tutorial: https://ax.dev/tutorials/generation_strategy.html and use Models.SAASBO for the Bayesian optimization generation step.import os
import matplotlib
import numpy as np
import pandas as pd
import torch
from ax.core.data import Data
from ax.core.experiment import Experiment
from ax.core.metric import Metric
from ax.core.objective import MultiObjective, Objective
from ax.core.optimization_config import (
MultiObjectiveOptimizationConfig,
ObjectiveThreshold,
)
from ax.core.parameter import ParameterType, RangeParameter
from ax.core.search_space import SearchSpace
from ax.metrics.noisy_function import GenericNoisyFunctionMetric
from ax.modelbridge.cross_validation import compute_diagnostics, cross_validate
# Analysis utilities, including a method to evaluate hypervolumes
from ax.modelbridge.modelbridge_utils import observed_hypervolume
# Model registry for creating multi-objective optimization models.
from ax.modelbridge.registry import Models
from ax.models.torch.botorch_modular.surrogate import Surrogate
from ax.plot.contour import plot_contour
from ax.plot.diagnostic import tile_cross_validation
from ax.plot.pareto_frontier import plot_pareto_frontier
from ax.plot.pareto_utils import compute_posterior_pareto_frontier
from ax.runners.synthetic import SyntheticRunner
from ax.service.utils.report_utils import exp_to_df
# Plotting imports and initialization
from ax.utils.notebook.plotting import init_notebook_plotting, render
from botorch.models.fully_bayesian import SaasFullyBayesianSingleTaskGP
from botorch.test_functions.multi_objective import DTLZ2
from botorch.utils.multi_objective.box_decompositions.dominated import (
DominatedPartitioning,
)
from matplotlib import pyplot as plt
from matplotlib.cm import ScalarMappable
init_notebook_plotting()
SMOKE_TEST = os.environ.get("SMOKE_TEST")
d = 10
tkwargs = {
"dtype": torch.double,
"device": torch.device("cuda" if torch.cuda.is_available() else "cpu"),
}
problem = DTLZ2(num_objectives=2, dim=d, negate=True).to(**tkwargs)
search_space = SearchSpace(
parameters=[
RangeParameter(
name=f"x{i}", lower=0, upper=1, parameter_type=ParameterType.FLOAT
)
for i in range(d)
],
)
To optimize multiple objective we must create a MultiObjective containing the metrics we'll optimize and MultiObjectiveOptimizationConfig (which contains ObjectiveThresholds) instead of our more typical Objective and OptimizationConfig. Additional resources:
We define GenericNoisyFunctionMetrics to wrap our synthetic Branin-Currin problem's outputs.
param_names = [f"x{i}" for i in range(d)]
def f1(x) -> float:
x_sorted = [x[p_name] for p_name in param_names]
return float(problem(torch.tensor(x_sorted, **tkwargs).clamp(0.0, 1.0))[0])
def f2(x) -> float:
x_sorted = [x[p_name] for p_name in param_names]
return float(problem(torch.tensor(x_sorted, **tkwargs).clamp(0.0, 1.0))[1])
metric_a = GenericNoisyFunctionMetric("a", f=f1, noise_sd=0.0, lower_is_better=False)
metric_b = GenericNoisyFunctionMetric("b", f=f2, noise_sd=0.0, lower_is_better=False)
mo = MultiObjective(
objectives=[Objective(metric=metric_a), Objective(metric=metric_b)],
)
objective_thresholds = [
ObjectiveThreshold(metric=metric, bound=val, relative=False)
for metric, val in zip(mo.metrics, problem.ref_point)
]
optimization_config = MultiObjectiveOptimizationConfig(
objective=mo,
objective_thresholds=objective_thresholds,
)
These construct our experiment, then initialize with Sobol points before we fit a Gaussian Process model to those initial points.
N_INIT = 2 * (d + 1)
def build_experiment():
experiment = Experiment(
name="pareto_experiment",
search_space=search_space,
optimization_config=optimization_config,
runner=SyntheticRunner(),
)
return experiment
def initialize_experiment(experiment):
sobol = Models.SOBOL(search_space=experiment.search_space)
experiment.new_batch_trial(sobol.gen(N_INIT)).run()
return experiment.fetch_data()
Noisy expected hypervolume improvement + fully Bayesian inference with SAAS priors.
experiment = build_experiment()
data = initialize_experiment(experiment)
BATCH_SIZE = 4
if SMOKE_TEST:
N_BATCH = 1
num_samples = 128
warmup_steps = 256
else:
N_BATCH = 10
BATCH_SIZE = 4
num_samples = 256
warmup_steps = 512
hv_list = []
model = None
for i in range(N_BATCH):
model = Models.BOTORCH_MODULAR(
experiment=experiment,
data=data,
surrogate=Surrogate(
botorch_model_class=SaasFullyBayesianSingleTaskGP,
mll_options={
"num_samples": num_samples, # Increasing this may result in better model fits
"warmup_steps": warmup_steps, # Increasing this may result in better model fits
},
)
)
generator_run = model.gen(BATCH_SIZE)
trial = experiment.new_batch_trial(generator_run=generator_run)
trial.run()
data = Data.from_multiple_data([data, trial.fetch_data()])
exp_df = exp_to_df(experiment)
outcomes = torch.tensor(exp_df[["a", "b"]].values, **tkwargs)
partitioning = DominatedPartitioning(ref_point=problem.ref_point, Y=outcomes)
try:
hv = partitioning.compute_hypervolume().item()
except:
hv = 0
print("Failed to compute hv")
hv_list.append(hv)
print(f"Iteration: {i}, HV: {hv}")
df = exp_to_df(experiment).sort_values(by=["trial_index"])
outcomes = df[["a", "b"]].values
%matplotlib inline
matplotlib.rcParams.update({"font.size": 16})
fig, axes = plt.subplots(1, 1, figsize=(8, 6))
algos = ["qNEHVI"]
train_obj = outcomes
cm = matplotlib.colormaps["viridis"]
n_results = N_INIT + N_BATCH * BATCH_SIZE
batch_number = df.trial_index.values
sc = axes.scatter(train_obj[:, 0], train_obj[:, 1], c=batch_number, alpha=0.8)
axes.set_title(algos[0])
axes.set_xlabel("Objective 1")
axes.set_ylabel("Objective 2")
norm = plt.Normalize(batch_number.min(), batch_number.max())
sm = ScalarMappable(norm=norm, cmap=cm)
sm.set_array([])
fig.subplots_adjust(right=0.9)
cbar_ax = fig.add_axes([0.93, 0.15, 0.01, 0.7])
cbar = fig.colorbar(sm, cax=cbar_ax)
cbar.ax.set_title("Iteration")
The hypervolume of the space dominated by points that dominate the reference point.
The plot below shows a common metric of multi-objective optimization performance when the true Pareto frontier is known: the log difference between the hypervolume of the true Pareto front and the hypervolume of the approximate Pareto front identified by qNEHVI.
iters = np.arange(1, N_BATCH + 1)
log_hv_difference = np.log10(problem.max_hv - np.asarray(hv_list))[: N_BATCH + 1]
fig, ax = plt.subplots(1, 1, figsize=(8, 6))
ax.plot(iters, log_hv_difference, label="qNEHVI+SAASBO", linewidth=1.5)
ax.set(xlabel="Batch Iterations", ylabel="Log Hypervolume Difference")
ax.legend(loc="lower right")
Here, we examine the GP model fits using the fully bayesian inference with SAAS priors. We plot the leave-one-out cross-validation below. Note: model hyperparameters are not re-sampled on each fold to reduce the runtime.
saas_model = Models.SAASBO(experiment=experiment, data=data)
cv = cross_validate(model)
render(tile_cross_validation(cv))
# compute out-of-sample log likelihood
compute_diagnostics(cv)["Log likelihood"]
Finally, we examine the GP model fits using MAP estimation for comparison. The fully bayesian model has a higher log-likelihood than the MAP model.
map_model = Models.BOTORCH_MODULAR(experiment=experiment, data=data)
map_cv = cross_validate(map_model)
render(tile_cross_validation(map_cv))
# compute out-of-sample log likelihood
compute_diagnostics(map_cv)["Log likelihood"]
Total runtime of script: 27 minutes, 23.46 seconds.