Reduce memory usage in ConstrainedMaxPosteriorSampling (#2622)

Summary:
Pull Request resolved: #2622

Resolves #2620

When a `ModelListGP` is used for the constraint model, we can loop over the sub-models to generate the samples to reduce peak memory usage.

Reviewed By: Balandat

Differential Revision: D65881867

fbshipit-source-id: 130985cfea58a8e0cc3e8b5eb999db9da5db431d

botorch/generation/sampling.py

@@ -334,10 +334,19 @@ def forward(
         )
         Y_samples = posterior.rsample(sample_shape=torch.Size([num_samples]))
 
-        c_posterior = self.constraint_model.posterior(
-            X=X, observation_noise=observation_noise
+        # Loop over the constraint models (if possible) to reduce peak memory usage.
+        constraint_models = (
+            self.constraint_model.models
+            if isinstance(self.constraint_model, ModelListGP)
+            else [self.constraint_model]
         )
-        C_samples = c_posterior.rsample(sample_shape=torch.Size([num_samples]))
+        C_samples_list = []
+        for c_model in constraint_models:
+            c_posterior = c_model.posterior(X=X, observation_noise=observation_noise)
+            C_samples_list.append(
+                c_posterior.rsample(sample_shape=torch.Size([num_samples]))
+            )
+        C_samples = torch.cat(C_samples_list, dim=-1)
 
         # Convert the objective and constraint samples into a scalar-valued "score"
         scores = self._convert_samples_to_scores(

test/generation/test_sampling.py

@@ -167,18 +167,11 @@ def test_init(self):
             ConstrainedMaxPosteriorSampling(mm, cmms, objective=obj, replacement=False)
 
     def test_constrained_max_posterior_sampling(self):
-        batch_shapes = (torch.Size(), torch.Size([3]), torch.Size([3, 2]))
-        dtypes = (torch.float, torch.double)
-        for (
-            batch_shape,
-            dtype,
-            N,
-            num_samples,
-            d,
-            observation_noise,
-        ) in itertools.product(
-            batch_shapes, dtypes, (5, 6), (1, 2), (1, 2), (True, False)
-        ):
+        for batch_shape, dtype, N, num_samples, d, observation_noise in [
+            (torch.Size(), torch.float, 5, 1, 1, False),
+            (torch.Size([3]), torch.float, 6, 3, 2, False),
+            (torch.Size([3, 2]), torch.double, 6, 3, 2, True),
+        ]:
             tkwargs = {"device": self.device, "dtype": dtype}
             expected_shape = torch.Size(list(batch_shape) + [num_samples] + [d])
             # X is `batch_shape x N x d` = batch_shape x N x 1.
@@ -193,16 +186,19 @@ def test_constrained_max_posterior_sampling(self):
                 with mock.patch.object(MockModel, "posterior", return_value=mp):
                     mm = MockModel(None)
                     c_model1 = SingleTaskGP(
-                        X, torch.randn(X.shape[0:-1], **tkwargs).unsqueeze(-1)
+                        X, torch.randn(X.shape[:-1], **tkwargs).unsqueeze(-1)
                     )
                     c_model2 = SingleTaskGP(
-                        X, torch.randn(X.shape[0:-1], **tkwargs).unsqueeze(-1)
+                        X, torch.randn(X.shape[:-1], **tkwargs).unsqueeze(-1)
                     )
                     c_model3 = SingleTaskGP(
-                        X, torch.randn(X.shape[0:-1], **tkwargs).unsqueeze(-1)
+                        X, torch.randn(X.shape[:-1], **tkwargs).unsqueeze(-1)
                     )
                     cmms1 = MockModel(MockPosterior(mean=None))
-                    cmms2 = ModelListGP(c_model1, c_model2)
+                    cmms2 = SingleTaskGP(  # Multi-output model as constraint.
+                        X, torch.randn((X.shape[0:-1] + (4,)), **tkwargs)
+                    )
+                    # ModelListGP as constraint.
                     cmms3 = ModelListGP(c_model1, c_model2, c_model3)
                     for cmms in [cmms1, cmms2, cmms3]:
                         CPS = ConstrainedMaxPosteriorSampling(mm, cmms)