ThompsonSampling acquisition function (#2443)

Summary:
Pull Request resolved: #2443

Thompson sampling (approx with RFF & pathwise) as an acquisition function to have it fit with general BO loops (&MBM, although secondary ATM).

Amend: Removed Fully Bayesian variant, since it did not make sense in its current format.

Reviewed By: saitcakmak

Differential Revision: D59961584

fbshipit-source-id: fccb53c0aa5ac990bed1de57b57c2d7719cd6581

botorch/acquisition/thompson_sampling.py

@@ -0,0 +1,87 @@
+# Copyright (c) Meta Platforms, Inc. and affiliates.
+#
+# This source code is licensed under the MIT license found in the
+# LICENSE file in the root directory of this source tree.
+
+from typing import Optional
+
+import torch
+from botorch.acquisition.analytic import AcquisitionFunction
+from botorch.acquisition.objective import PosteriorTransform
+from botorch.models.model import Model
+from botorch.sampling.pathwise.posterior_samplers import get_matheron_path_model
+from botorch.utils.transforms import t_batch_mode_transform
+from torch import Tensor
+
+
+BATCH_SIZE_CHANGE_ERROR = """The batch size of PathwiseThompsonSampling should \
+not change during a forward pass - was {}, now {}. Please re-initialize the \
+acquisition if you want to change the batch size."""
+
+
+class PathwiseThompsonSampling(AcquisitionFunction):
+    r"""Single-outcome Thompson Sampling packaged as an (analytic)
+    acquisition function. Querying the acquisition function gives the summed
+    values of one or more draws from a pathwise drawn posterior sample, and thus
+    it maximization yields one (or multiple) Thompson sample(s).
+
+    Example:
+        >>> model = SingleTaskGP(train_X, train_Y)
+        >>> TS = PathwiseThompsonSampling(model)
+    """
+
+    def __init__(
+        self,
+        model: Model,
+        posterior_transform: Optional[PosteriorTransform] = None,
+    ) -> None:
+        r"""Single-outcome TS.
+
+        Args:
+            model: A fitted GP model.
+            posterior_transform: A PosteriorTransform. If using a multi-output model,
+                a PosteriorTransform that transforms the multi-output posterior into a
+                single-output posterior is required.
+        """
+        if model._is_fully_bayesian:
+            raise NotImplementedError(
+                "PathwiseThompsonSampling is not supported for fully Bayesian models",
+            )
+
+        super().__init__(model=model)
+        self.batch_size: Optional[int] = None
+
+    def redraw(self) -> None:
+        self.samples = get_matheron_path_model(
+            model=self.model, sample_shape=torch.Size([self.batch_size])
+        )
+
+    @t_batch_mode_transform()
+    def forward(self, X: Tensor) -> Tensor:
+        r"""Evaluate the pathwise posterior sample draws on the candidate set X.
+
+        Args:
+            X: A `(b1 x ... bk) x 1 x d`-dim batched tensor of `d`-dim design points.
+
+        Returns:
+            A `(b1 x ... bk) x [num_models for fully bayesian]`-dim tensor of
+            evaluations on the posterior sample draws.
+        """
+        batch_size = X.shape[-2]
+        q_dim = -2
+
+        # batch_shape x q x 1 x d
+        X = X.unsqueeze(-2)
+        if self.batch_size is None:
+            self.batch_size = batch_size
+            self.redraw()
+        elif self.batch_size != batch_size:
+            raise ValueError(
+                BATCH_SIZE_CHANGE_ERROR.format(self.batch_size, batch_size)
+            )
+
+        # posterior_values.shape post-squeeze:
+        # batch_shape x q x m
+        posterior_values = self.samples(X).squeeze(-2)
+        # sum over batch dim and squeeze num_objectives dim (-1)
+        return posterior_values.sum(q_dim).squeeze(-1)

sphinx/source/acquisition.rst

@@ -172,6 +172,11 @@ Risk Measures
 .. automodule:: botorch.acquisition.risk_measures
     :members:
 
+Thompson Sampling
+~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
+.. automodule:: botorch.acquisition.thompson_sampling
+    :members:
+
 Multi-Output Risk Measures
 ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
 .. automodule:: botorch.acquisition.multi_objective.multi_output_risk_measures

test/acquisition/test_thompson_sampling.py

@@ -0,0 +1,136 @@
+#!/usr/bin/env python3
+# Copyright (c) Meta Platforms, Inc. and affiliates.
+#
+# This source code is licensed under the MIT license found in the
+# LICENSE file in the root directory of this source tree.
+
+from itertools import product
+
+import torch
+from botorch.acquisition.thompson_sampling import PathwiseThompsonSampling
+from botorch.models.fully_bayesian import SaasFullyBayesianSingleTaskGP
+
+from botorch.models.gp_regression import SingleTaskGP
+from botorch.models.model import Model
+from botorch.models.transforms.outcome import Standardize
+from botorch.utils.testing import BotorchTestCase
+
+
+def get_model(train_X, train_Y, standardize_model):
+    if standardize_model:
+        outcome_transform = Standardize(m=1)
+
+    else:
+        outcome_transform = None
+    model = SingleTaskGP(
+        train_X=train_X,
+        train_Y=train_Y,
+        outcome_transform=outcome_transform,
+    )
+    return model
+
+
+def _get_mcmc_samples(num_samples: int, dim: int, infer_noise: bool, **tkwargs):
+
+    mcmc_samples = {
+        "lengthscale": torch.rand(num_samples, 1, dim, **tkwargs),
+        "outputscale": torch.rand(num_samples, **tkwargs),
+        "mean": torch.randn(num_samples, **tkwargs),
+    }
+    if infer_noise:
+        mcmc_samples["noise"] = torch.rand(num_samples, 1, **tkwargs)
+    return mcmc_samples
+
+
+def get_fully_bayesian_model(
+    train_X,
+    train_Y,
+    num_models,
+    **tkwargs,
+):
+
+    model = SaasFullyBayesianSingleTaskGP(
+        train_X=train_X,
+        train_Y=train_Y,
+    )
+    mcmc_samples = _get_mcmc_samples(
+        num_samples=num_models,
+        dim=train_X.shape[-1],
+        infer_noise=True,
+        **tkwargs,
+    )
+    model.load_mcmc_samples(mcmc_samples)
+    return model
+
+
+class TestPathwiseThompsonSampling(BotorchTestCase):
+    def _test_thompson_sampling_base(self, model: Model):
+        acq = PathwiseThompsonSampling(
+            model=model,
+        )
+        X_observed = model.train_inputs[0]
+        input_dim = X_observed.shape[-1]
+        test_X = torch.rand(4, 1, input_dim).to(X_observed)
+        # re-draw samples and expect other output
+        acq_pass = acq(test_X)
+        self.assertTrue(acq_pass.shape == test_X.shape[:-2])
+
+        acq_pass1 = acq(test_X)
+        self.assertAllClose(acq_pass1, acq(test_X))
+        acq.redraw()
+        acq_pass2 = acq(test_X)
+        self.assertFalse(torch.allclose(acq_pass1, acq_pass2))
+
+    def _test_thompson_sampling_batch(self, model: Model):
+        X_observed = model.train_inputs[0]
+        input_dim = X_observed.shape[-1]
+        batch_acq = PathwiseThompsonSampling(
+            model=model,
+        )
+        self.assertEqual(batch_acq.batch_size, None)
+        test_X = torch.rand(4, 5, input_dim).to(X_observed)
+        batch_acq(test_X)
+        self.assertEqual(batch_acq.batch_size, 5)
+        test_X = torch.rand(4, 7, input_dim).to(X_observed)
+        with self.assertRaisesRegex(
+            ValueError,
+            "The batch size of PathwiseThompsonSampling should not "
+            "change during a forward pass - was 5, now 7. Please re-initialize "
+            "the acquisition if you want to change the batch size.",
+        ):
+            batch_acq(test_X)
+
+        batch_acq2 = PathwiseThompsonSampling(model)
+        test_X = torch.rand(4, 7, 1, input_dim).to(X_observed)
+        self.assertEqual(batch_acq2(test_X).shape, test_X.shape[:-2])
+
+        batch_acq3 = PathwiseThompsonSampling(model)
+        test_X = torch.rand(4, 7, 3, input_dim).to(X_observed)
+        self.assertEqual(batch_acq3(test_X).shape, test_X.shape[:-2])
+
+    def test_thompson_sampling_single_task(self):
+        input_dim = 2
+        num_objectives = 1
+        for dtype, standardize_model in product(
+            (torch.float32, torch.float64), (True, False)
+        ):
+            tkwargs = {"device": self.device, "dtype": dtype}
+            train_X = torch.rand(4, input_dim, **tkwargs)
+            train_Y = 10 * torch.rand(4, num_objectives, **tkwargs)
+            model = get_model(train_X, train_Y, standardize_model=standardize_model)
+            self._test_thompson_sampling_base(model)
+            self._test_thompson_sampling_batch(model)
+
+    def test_thompson_sampling_fully_bayesian(self):
+        input_dim = 2
+        num_objectives = 1
+        tkwargs = {"device": self.device, "dtype": torch.float64}
+        train_X = torch.rand(4, input_dim, **tkwargs)
+        train_Y = 10 * torch.rand(4, num_objectives, **tkwargs)
+
+        fb_model = get_fully_bayesian_model(train_X, train_Y, num_models=3, **tkwargs)
+        with self.assertRaisesRegex(
+            NotImplementedError,
+            "PathwiseThompsonSampling is not supported for fully Bayesian models",
+        ):
+            PathwiseThompsonSampling(model=fb_model)