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add EI + best observed value for TR #810

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add EI + best observed value for TR #810

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add EI + best observed value for TR 
PiperOrigin-RevId: 549047674
  • Loading branch information
@SetarehAr @copybara-github
SetarehAr authored and copybara-github committed Jul 18, 2023
commit e11e7d2cacdf71e55e5ebe14f21bc3b5b5fa4746
37 changes: 34 additions & 3 deletions vizier/_src/algorithms/designers/gp/acquisitions.py
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Original file line number Diff line number Diff line change
Expand Up @@ -196,6 +196,26 @@ def __call__(
return tfp_bo.acquisition.GaussianProcessExpectedImprovement(dist, labels)()


@struct.dataclass
class ExpectedValue(AcquisitionFunction):
"""Expected Improvement acquisition function."""

def __call__(
self,
dist: tfd.Distribution,
features: Optional[types.ModelInput] = None,
labels: Optional[types.PaddedArray] = None,
seed: Optional[jax.random.KeyArray] = None,
) -> jax.Array:
del features, seed
if labels is not None:
labels = labels.replace_fill_value(-np.inf).padded_array
return (
tfp_bo.acquisition.GaussianProcessExpectedImprovement(dist, labels)()
+ dist.mean()
)


@struct.dataclass
class PI(AcquisitionFunction):
"""Probability of Improvement acquisition function."""
Expand Down Expand Up @@ -245,6 +265,16 @@ def default_ucb_pi(cls) -> 'AcquisitionTrustRegion':
UCB(1.8), PI(), bad_acq_value=-1e12, threshold=0.3, apply_tr_after=0
)

@classmethod
def default_ucb_expected_value(cls) -> 'AcquisitionTrustRegion':
return cls(
UCB(1.8),
ExpectedValue(),
bad_acq_value=-1e12,
threshold=None,
apply_tr_after=0,
)

@classmethod
def default_ucb_lcb(cls) -> 'AcquisitionTrustRegion':
return cls(
Expand Down Expand Up @@ -289,9 +319,10 @@ def __call__(
apply_tr = False
if labels is not None:
labels_padded = labels.replace_fill_value(np.nan).padded_array
threshold = jnp.minimum(
jnp.nanmean(labels_padded), jnp.nanmedian(labels_padded)
)
# threshold = jnp.minimum(
# jnp.nanmean(labels_padded), jnp.nanmedian(labels_padded)
# )
threshold = jnp.nanmedian(labels_padded)
apply_tr = labels._original_shape[0] <= self.apply_tr_after
if self.threshold is not None:
threshold = self.threshold
Expand Down