Specify fidelity_parameters in Ax (#122)

VilockLi · facebook-github-bot · commit e5b1f5b3de20 · 2019-07-11T17:06:43.000-07:00
Summary: Pull Request resolved: #122 Specify fidelity_dims (which is used by fidelity models) in `fit()` Put fidelity parameters to the last columns. Reviewed By: bletham Differential Revision: D16122299 fbshipit-source-id: a5d3139287e3b3afe87b81424b33a9dbe3ccd699
diff --git a/ax/modelbridge/array.py b/ax/modelbridge/array.py
@@ -47,6 +47,11 @@ def _fit(
     ) -> None:
         # Convert observations to arrays
         self.parameters = list(search_space.parameters.keys())
+        # move fidelity parameters to the last columns
+        for para in search_space.parameters:
+            if search_space.parameters[para].is_fidelity:
+                self.parameters.remove(para)
+                self.parameters.append(para)
         all_metric_names: Set[str] = set()
         for od in observation_data:
             all_metric_names.update(od.metric_names)
@@ -60,7 +65,9 @@ def _fit(
         )
         self.training_in_design = in_design
         # Extract bounds and task features
-        bounds, task_features = get_bounds_and_task(search_space, self.parameters)
+        bounds, task_features, fidelity_features = get_bounds_and_task(
+            search_space, self.parameters
+        )
 
         # Fit
         self._model_fit(
@@ -71,6 +78,7 @@ def _fit(
             bounds=bounds,
             task_features=task_features,
             feature_names=self.parameters,
+            fidelity_features=fidelity_features,
         )
 
     def _model_fit(
@@ -82,6 +90,7 @@ def _model_fit(
         bounds: List[Tuple[float, float]],
         task_features: List[int],
         feature_names: List[str],
+        fidelity_features: List[int],
     ) -> None:
         """Fit the model, given numpy types.
         """
@@ -93,6 +102,7 @@ def _model_fit(
             bounds=bounds,
             task_features=task_features,
             feature_names=feature_names,
+            fidelity_features=fidelity_features,
         )
 
     def _update(
@@ -150,7 +160,7 @@ def _gen(
         if not self.parameters:  # pragma: no cover
             raise ValueError(FIT_MODEL_ERROR.format(action="_gen"))
         # Extract bounds
-        bounds, _ = get_bounds_and_task(search_space, self.parameters)
+        bounds, _, _ = get_bounds_and_task(search_space, self.parameters)
         if optimization_config is None:
             raise ValueError(
                 "ArrayModelBridge requires an OptimizationConfig to be specified"
diff --git a/ax/modelbridge/modelbridge_utils.py b/ax/modelbridge/modelbridge_utils.py
@@ -31,12 +31,13 @@ def extract_parameter_constraints(
 
 def get_bounds_and_task(
     search_space: SearchSpace, param_names: List[str]
-) -> Tuple[List[Tuple[float, float]], List[int]]:
+) -> Tuple[List[Tuple[float, float]], List[int], List[int]]:
     """Extract box bounds from a search space in the usual Scipy format.
     Identify integer parameters as task features.
     """
     bounds: List[Tuple[float, float]] = []
     task_features: List[int] = []
+    fidelity_features: List[int] = []
     for i, p_name in enumerate(param_names):
         p = search_space.parameters[p_name]
         # Validation
@@ -48,7 +49,10 @@ def get_bounds_and_task(
         bounds.append((p.lower, p.upper))
         if p.parameter_type == ParameterType.INT:
             task_features.append(i)
-    return bounds, task_features
+        if p.is_fidelity:
+            fidelity_features.append(i)
+
+    return bounds, task_features, fidelity_features
 
 
 def get_fixed_features(
diff --git a/ax/modelbridge/random.py b/ax/modelbridge/random.py
@@ -65,7 +65,7 @@ def _gen(
     ) -> Tuple[List[ObservationFeatures], List[float], Optional[ObservationFeatures]]:
         """Generate new candidates according to a search_space."""
         # Extract parameter values
-        bounds, _ = get_bounds_and_task(search_space, self.parameters)
+        bounds, _, _ = get_bounds_and_task(search_space, self.parameters)
         # Get fixed features
         fixed_features_dict = get_fixed_features(fixed_features, self.parameters)
         # Extract param constraints
diff --git a/ax/modelbridge/tests/test_numpy_modelbridge.py b/ax/modelbridge/tests/test_numpy_modelbridge.py
@@ -22,7 +22,7 @@
 class NumpyModelBridgeTest(TestCase):
     def setUp(self):
         x = RangeParameter("x", ParameterType.FLOAT, lower=0, upper=1)
-        y = RangeParameter("y", ParameterType.FLOAT, lower=1, upper=2)
+        y = RangeParameter("y", ParameterType.FLOAT, lower=1, upper=2, is_fidelity=True)
         z = RangeParameter("z", ParameterType.FLOAT, lower=0, upper=5)
         self.parameters = [x, y, z]
         parameter_constraints = [
@@ -83,16 +83,17 @@ def testFitAndUpdate(self, mock_init):
             self.observation_features + [sq_feat],
             self.observation_data + [sq_data],
         )
-        self.assertEqual(ma.parameters, ["x", "y", "z"])
+        self.assertEqual(ma.parameters, ["x", "z", "y"])
         self.assertEqual(sorted(ma.outcomes), ["a", "b"])
         self.assertEqual(ma.training_in_design, [True, True, True, False])
         Xs = {
-            "a": np.array([[0.2, 1.2, 3.0], [0.4, 1.4, 3.0], [0.6, 1.6, 3]]),
-            "b": np.array([[0.2, 1.2, 3.0], [0.4, 1.4, 3.0]]),
+            "a": np.array([[0.2, 3.0, 1.2], [0.4, 3.0, 1.4], [0.6, 3.0, 1.6]]),
+            "b": np.array([[0.2, 3.0, 1.2], [0.4, 3.0, 1.4]]),
         }
         Ys = {"a": np.array([[1.0], [2.0], [3.0]]), "b": np.array([[-1.0], [-2.0]])}
         Yvars = {"a": np.array([[1.0], [2.0], [3.0]]), "b": np.array([[6.0], [7.0]])}
-        bounds = [(0.0, 1.0), (1.0, 2.0), (0.0, 5.0)]
+        # put fidelity parameter to the last column
+        bounds = [(0.0, 1.0), (0.0, 5.0), (1.0, 2.0)]
         model_fit_args = model.fit.mock_calls[0][2]
         for i, x in enumerate(model_fit_args["Xs"]):
             self.assertTrue(np.array_equal(x, Xs[ma.outcomes[i]]))
@@ -101,7 +102,7 @@ def testFitAndUpdate(self, mock_init):
         for i, v in enumerate(model_fit_args["Yvars"]):
             self.assertTrue(np.array_equal(v, Yvars[ma.outcomes[i]]))
         self.assertEqual(model_fit_args["bounds"], bounds)
-        self.assertEqual(model_fit_args["feature_names"], ["x", "y", "z"])
+        self.assertEqual(model_fit_args["feature_names"], ["x", "z", "y"])
 
         # And update
         ma.training_in_design.extend([True, True, True, True])
@@ -312,15 +313,24 @@ def testCrossValidate(self, mock_init, mock_cv):
             self.assertEqual(od, self.observation_data[i])
 
     def testGetBoundsAndTask(self):
-        bounds, task_features = get_bounds_and_task(self.search_space, ["x", "y", "z"])
+        bounds, task_features, fidelity_features = get_bounds_and_task(
+            self.search_space, ["x", "y", "z"]
+        )
         self.assertEqual(bounds, [(0.0, 1.0), (1.0, 2.0), (0.0, 5.0)])
         self.assertEqual(task_features, [])
+        self.assertEqual(fidelity_features, [1])
+        bounds, task_features, fidelity_features = get_bounds_and_task(
+            self.search_space, ["x", "z"]
+        )
+        self.assertEqual(fidelity_features, [])
         # Test that Int param is treated as task feature
         search_space = SearchSpace(self.parameters)
         search_space._parameters["x"] = RangeParameter(
             "x", ParameterType.INT, lower=1, upper=4
         )
-        bounds, task_features = get_bounds_and_task(search_space, ["x", "y", "z"])
+        bounds, task_features, fidelity_features = get_bounds_and_task(
+            search_space, ["x", "y", "z"]
+        )
         self.assertEqual(task_features, [0])
         # Test validation
         search_space._parameters["x"] = ChoiceParameter(
diff --git a/ax/modelbridge/tests/test_torch_modelbridge.py b/ax/modelbridge/tests/test_torch_modelbridge.py
@@ -43,6 +43,7 @@ def testTorchModelBridge(self, mock_init):
             bounds=None,
             feature_names=[],
             task_features=[],
+            fidelity_features=[],
         )
         model_fit_args = model.fit.mock_calls[0][2]
         self.assertTrue(
@@ -111,7 +112,6 @@ def testTorchModelBridge(self, mock_init):
         gen_args = model.gen.mock_calls[0][2]
         self.assertEqual(gen_args["n"], 3)
         self.assertEqual(gen_args["bounds"], [(0, 1)])
-        print(gen_args["objective_weights"])
         self.assertTrue(
             torch.equal(
                 gen_args["objective_weights"],
diff --git a/ax/modelbridge/torch.py b/ax/modelbridge/torch.py
@@ -91,6 +91,7 @@ def _model_fit(
         bounds: List[Tuple[float, float]],
         task_features: List[int],
         feature_names: List[str],
+        fidelity_features: List[int],
     ) -> None:
         self.model = model
         # Convert numpy arrays to torch tensors
@@ -104,6 +105,7 @@ def _model_fit(
             bounds=bounds,
             task_features=task_features,
             feature_names=feature_names,
+            fidelity_features=fidelity_features,
         )
 
     def _model_update(
diff --git a/ax/models/numpy/randomforest.py b/ax/models/numpy/randomforest.py
@@ -41,6 +41,7 @@ def fit(
         bounds: List[Tuple[float, float]],
         task_features: List[int],
         feature_names: List[str],
+        fidelity_features: List[int],
     ) -> None:
         for i, X in enumerate(Xs):
             self.models.append(
diff --git a/ax/models/numpy_base.py b/ax/models/numpy_base.py
@@ -22,6 +22,7 @@ def fit(
         bounds: List[Tuple[float, float]],
         task_features: List[int],
         feature_names: List[str],
+        fidelity_features: List[int],
     ) -> None:
         """Fit model to m outcomes.
 
@@ -35,6 +36,8 @@ def fit(
             task_features: Columns of X that take integer values and should be
                 treated as task parameters.
             feature_names: Names of each column of X.
+            fidelity_features: Columns of X that should be treated as fidelity
+                parameters.
         """
         pass
 
diff --git a/ax/models/tests/test_botorch_defaults.py b/ax/models/tests/test_botorch_defaults.py
@@ -26,11 +26,23 @@ def test_task_feature(self, gp_mock, get_model_mock):
         x = [torch.zeros(2, 2)]
         y = [torch.zeros(2, 1)]
         yvars = [torch.ones(2, 1)]
-        get_and_fit_model(Xs=x, Ys=y, Yvars=yvars, task_features=[1], state_dict=[])
+        get_and_fit_model(
+            Xs=x,
+            Ys=y,
+            Yvars=yvars,
+            task_features=[1],
+            fidelity_features=[],
+            state_dict=[],
+        )
         # Check that task feature was correctly passed to _get_model
         self.assertEqual(get_model_mock.mock_calls[0][2]["task_feature"], 1)
 
         with self.assertRaises(ValueError):
             get_and_fit_model(
-                Xs=x, Ys=y, Yvars=yvars, task_features=[0, 1], state_dict=[]
+                Xs=x,
+                Ys=y,
+                Yvars=yvars,
+                task_features=[0, 1],
+                fidelity_features=[],
+                state_dict=[],
             )
diff --git a/ax/models/tests/test_botorch_model.py b/ax/models/tests/test_botorch_model.py
@@ -54,6 +54,7 @@ def test_BotorchModel(self, dtype=torch.float, cuda=False):
                 bounds=bounds,
                 task_features=task_features,
                 feature_names=feature_names,
+                fidelity_features=[],
             )
             _mock_fit_model.assert_called_once()
         # Check attributes
@@ -81,6 +82,7 @@ def test_BotorchModel(self, dtype=torch.float, cuda=False):
                 bounds=bounds,
                 task_features=task_features,
                 feature_names=feature_names,
+                fidelity_features=[],
             )
             _mock_fit_model.assert_called_once()
 
@@ -263,7 +265,12 @@ def test_BotorchModel(self, dtype=torch.float, cuda=False):
             key: torch.tensor(val, **tkwargs) for key, val in true_state_dict.items()
         }
         model = get_and_fit_model(
-            Xs=Xs1, Ys=Ys1, Yvars=Yvars1, task_features=[], state_dict=true_state_dict
+            Xs=Xs1,
+            Ys=Ys1,
+            Yvars=Yvars1,
+            task_features=[],
+            fidelity_features=[],
+            state_dict=true_state_dict,
         )
         for k, v in chain(model.named_parameters(), model.named_buffers()):
             self.assertTrue(torch.equal(true_state_dict[k], v))
@@ -292,6 +299,7 @@ def test_BotorchModelOneOutcome(self):
                 bounds=bounds,
                 task_features=task_features,
                 feature_names=feature_names,
+                fidelity_features=[],
             )
             _mock_fit_model.assert_called_once()
         X = torch.rand(2, 3, dtype=torch.float)
@@ -321,6 +329,7 @@ def test_BotorchModelConstraints(self):
                 bounds=bounds,
                 task_features=task_features,
                 feature_names=feature_names,
+                fidelity_features=[],
             )
             _mock_fit_model.assert_called_once()
 
diff --git a/ax/models/tests/test_numpy.py b/ax/models/tests/test_numpy.py
@@ -19,6 +19,7 @@ def testNumpyModelFit(self):
             bounds=[(0, 1)],
             task_features=[],
             feature_names=["x"],
+            fidelity_features=[],
         )
 
     def testNumpyModelPredict(self):
diff --git a/ax/models/tests/test_randomforest.py b/ax/models/tests/test_randomforest.py
@@ -20,6 +20,7 @@ def testRFModel(self):
             bounds=[(0, 1)] * 2,
             task_features=[],
             feature_names=["x1", "x2"],
+            fidelity_features=[],
         )
         self.assertEqual(len(m.models), 2)
         self.assertEqual(len(m.models[0].estimators_), 5)
diff --git a/ax/models/tests/test_torch.py b/ax/models/tests/test_torch.py
@@ -19,6 +19,7 @@ def testTorchModelFit(self):
             bounds=[(0, 1)],
             task_features=[],
             feature_names=["x1"],
+            fidelity_features=[],
         )
 
     def testTorchModelPredict(self):
diff --git a/ax/models/torch/botorch.py b/ax/models/torch/botorch.py
@@ -91,14 +91,21 @@ class BotorchModel(TorchModel):
     ::
 
         model_constructor(
-            Xs, Ys, Yvars, task_features, state_dict, **kwargs
+            Xs,
+            Ys,
+            Yvars,
+            task_features,
+            state_dict,
+            fidelity_features,
+            **kwargs
         ) -> model
 
     Here `Xs`, `Ys`, `Yvars` are lists of tensors (one element per outcome),
     `task_features` identifies columns of Xs that should be modeled
-    as a task, `state_dict` is a pytorch module state dict, and `model` is a
-    botorch `Model`. Optional kwargs are being passed through from the
-    `BotorchModel` constructor. This callable is assumed to return a fitted
+    as a task, `state_dict` is a pytorch module state dict, 'fidelity_features' is
+    a list of ints that specify the positions of fidelity parameters in 'Xs',
+    and `model` is a botorch `Model`. Optional kwargs are being passed through
+    from the `BotorchModel` constructor. This callable is assumed to return a fitted
     botorch model that has the same dtype and lives on the same device as the
     input tensors.
 
@@ -194,6 +201,7 @@ def __init__(
         self.dtype = None
         self.device = None
         self.task_features: List[int] = []
+        self.fidelity_features: List[int] = []
 
     @copy_doc(TorchModel.fit)
     def fit(
@@ -204,15 +212,21 @@ def fit(
         bounds: List[Tuple[float, float]],
         task_features: List[int],
         feature_names: List[str],
+        fidelity_features: List[int],
     ) -> None:
         self.dtype = Xs[0].dtype
         self.device = Xs[0].device
         self.Xs = Xs
         self.Ys = Ys
         self.Yvars = Yvars
         self.task_features = task_features
+        self.fidelity_features = fidelity_features
         self.model = self.model_constructor(  # pyre-ignore [28]
-            Xs=Xs, Ys=Ys, Yvars=Yvars, task_features=self.task_features
+            Xs=Xs,
+            Ys=Ys,
+            Yvars=Yvars,
+            task_features=self.task_features,
+            fidelity_features=self.fidelity_features,
         )
 
     @copy_doc(TorchModel.predict)
@@ -352,6 +366,7 @@ def cross_validate(
             Yvars=Yvars_train,
             task_features=self.task_features,
             state_dict=state_dict,
+            fidelity_features=self.fidelity_features,
         )
         return self.model_predictor(model=model, X=X_test)  # pyre-ignore: [28]
 
@@ -373,4 +388,5 @@ def update(self, Xs: List[Tensor], Ys: List[Tensor], Yvars: List[Tensor]) -> Non
             Yvars=self.Yvars,
             task_features=self.task_features,
             state_dict=state_dict,
+            fidelity_features=self.fidelity_features,
         )
diff --git a/ax/models/torch/botorch_defaults.py b/ax/models/torch/botorch_defaults.py
@@ -31,6 +31,7 @@ def get_and_fit_model(
     Ys: List[Tensor],
     Yvars: List[Tensor],
     task_features: List[int],
+    fidelity_features: List[int],
     state_dict: Optional[Dict[str, Tensor]] = None,
     **kwargs: Any,
 ) -> GPyTorchModel:
@@ -41,6 +42,7 @@ def get_and_fit_model(
         Ys: List of Y data, one tensor per outcome
         Yvars: List of observed variance of Ys.
         task_features: List of columns of X that are tasks.
+        fidelity_features: List of columns of X that are fidelity parameters.
         state_dict: If provided, will set model parameters to this state
             dictionary. Otherwise, will fit the model.
 
diff --git a/ax/models/torch_base.py b/ax/models/torch_base.py
