Merge pull request optuna#5687 from nabenabe0928/doc/add-more-information-of-hack-in-wfg

Add more information about the hack in `WFG`

Author: not522

optuna/_hypervolume/wfg.py

@@ -36,9 +36,34 @@ def _compute_exclusive_hv(
     if limited_sols.shape[0] == 0:
         return inclusive_hv
 
-    # NOTE(nabenabe): For hypervolume calculation, duplicated Pareto solutions can be ignored. As
-    # limited_sols[:, 0] is sorted, all the Pareto solutions necessary for hypervolume calculation
-    # will be eliminated with assume_unique_lexsorted=True.
+    # NOTE(nabenabe): As the following line is a hack for speedup, I will describe several
+    # important points to note. Even if we do not run _is_pareto_front below or use
+    # assume_unique_lexsorted=False instead, the result of this function does not change, but this
+    # function simply becomes slower.
+    #
+    # For simplicity, I call an array ``quasi-lexsorted`` if it is sorted by the first objective.
+    #
+    # Reason why it will be faster with _is_pareto_front
+    #   Hypervolume of a given solution set and a reference point does not change even when we
+    #   remove non Pareto solutions from the solution set. However, the calculation becomes slower
+    #   if the solution set contains many non Pareto solutions. By removing some obvious non Pareto
+    #   solutions, the calculation becomes faster.
+    #
+    # Reason why assume_unique_lexsorted must be True for _is_pareto_front
+    #   assume_unique_lexsorted=True actually checks weak dominance and solutions will be weakly
+    #   dominated if there are duplications, so we can remove duplicated solutions by this option.
+    #   In other words, assume_unique_lexsorted=False may significantly slow down when limited_sols
+    #   has many duplicated Pareto solutions because this function becomes an exponential algorithm
+    #   without duplication removal.
+    #
+    # NOTE(nabenabe): limited_sols can be non-unique and/or non-lexsorted, so I will describe why
+    # it is fine.
+    #
+    # Reason why we can specify assume_unique_lexsorted=True even when limited_sols is not
+    #   All ``False`` in on_front will be correct (, but it may not be the case for ``True``) even
+    #   if limited_sols is not unique or not lexsorted as long as limited_sols is quasi-lexsorted,
+    #   which is guaranteed. As mentioned earlier, if all ``False`` in on_front is correct, the
+    #   result of this function does not change.
     on_front = _is_pareto_front(limited_sols, assume_unique_lexsorted=True)
     return inclusive_hv - _compute_hv(limited_sols[on_front], reference_point)
 
@@ -92,6 +117,10 @@ def compute_hypervolume(
         on_front = _is_pareto_front(unique_lexsorted_loss_vals, assume_unique_lexsorted=True)
         sorted_pareto_sols = unique_lexsorted_loss_vals[on_front]
     else:
+        # NOTE(nabenabe): The result of this function does not change both by
+        # np.argsort(loss_vals[:, 0]) and np.unique(loss_vals, axis=0).
+        # But many duplications in loss_vals significantly slows down the function.
+        # TODO(nabenabe): Make an option to use np.unique.
         sorted_pareto_sols = loss_vals[loss_vals[:, 0].argsort()]
 
     if reference_point.shape[0] == 2: