gpjax 0.9.3__py3-none-any.whl → 0.9.5__py3-none-any.whl

gpjax/decision_making/test_functions/continuous_functions.py

@@ -1,169 +0,0 @@
-# Copyright 2023 The GPJax Contributors. All Rights Reserved.
-#
-# Licensed under the Apache License, Version 2.0 (the "License");
-# you may not use this file except in compliance with the License.
-# You may obtain a copy of the License at
-#
-#     http://www.apache.org/licenses/LICENSE-2.0
-#
-# Unless required by applicable law or agreed to in writing, software
-# distributed under the License is distributed on an "AS IS" BASIS,
-# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
-# See the License for the specific language governing permissions and
-# limitations under the License.
-# ==============================================================================
-from abc import abstractmethod
-from dataclasses import dataclass
-
-import jax.numpy as jnp
-from jaxtyping import (
-    Array,
-    Float,
-    Num,
-)
-import tensorflow_probability.substrates.jax as tfp
-
-from gpjax.dataset import Dataset
-from gpjax.decision_making.search_space import ContinuousSearchSpace
-from gpjax.gps import AbstractMeanFunction
-from gpjax.typing import KeyArray
-
-
-class AbstractContinuousTestFunction(AbstractMeanFunction):
-    """
-    Abstract base class for continuous test functions.
-
-    Attributes:
-        search_space (ContinuousSearchSpace): Search space for the function.
-        minimizer (Float[Array, '1 D']): Minimizer of the function (to 5 decimal places)
-        minimum (Float[Array, '1 1']): Minimum of the function (to 5 decimal places).
-    """
-
-    search_space: ContinuousSearchSpace
-    minimizer: Float[Array, "1 D"]
-    minimum: Float[Array, "1 1"]
-
-    def generate_dataset(
-        self, num_points: int, key: KeyArray, obs_stddev: float = 0.0
-    ) -> Dataset:
-        """
-        Generate a toy dataset from the test function.
-
-        Args:
-            num_points (int): Number of points to sample.
-            key (KeyArray): JAX PRNG key.
-            obs_stddev (float): (Optional) standard deviation of Gaussian distributed
-            noise added to observations.
-
-        Returns:
-            Dataset: Dataset of points sampled from the test function.
-        """
-        X = self.search_space.sample(num_points=num_points, key=key)
-        gaussian_noise = tfp.distributions.Normal(
-            jnp.zeros(num_points), obs_stddev * jnp.ones(num_points)
-        )
-        y = self.evaluate(X) + jnp.transpose(
-            gaussian_noise.sample(sample_shape=[1], seed=key)
-        )
-        return Dataset(X=X, y=y)
-
-    def generate_test_points(
-        self, num_points: int, key: KeyArray
-    ) -> Float[Array, "N D"]:
-        """
-        Generate test points from the search space of the test function.
-
-        Args:
-            num_points (int): Number of points to sample.
-            key (KeyArray): JAX PRNG key.
-
-        Returns:
-            Float[Array, 'N D']: Test points sampled from the search space.
-        """
-        return self.search_space.sample(num_points=num_points, key=key)
-
-    def __call__(self, x: Num[Array, "N D"]) -> Float[Array, "N 1"]:
-        return self.evaluate(x)
-
-    @abstractmethod
-    def evaluate(self, x: Float[Array, "N D"]) -> Float[Array, "N 1"]:
-        """
-        Evaluate the test function at a set of points.
-
-        Args:
-            x (Float[Array, 'N D']): Points to evaluate the test function at.
-
-        Returns:
-            Float[Array, 'N 1']: Values of the test function at the points.
-        """
-        raise NotImplementedError
-
-
-@dataclass
-class Forrester(AbstractContinuousTestFunction):
-    """
-    Forrester function introduced in 'Engineering design via surrogate modelling: a
-    practical guide' (Forrester et al. 2008), rescaled to have zero mean and unit
-    variance over $[0, 1]$.
-    """
-
-    search_space = ContinuousSearchSpace(
-        lower_bounds=jnp.array([0.0]),
-        upper_bounds=jnp.array([1.0]),
-    )
-    minimizer = jnp.array([[0.75725]])
-    minimum = jnp.array([[-1.45280]])
-
-    def evaluate(self, x: Float[Array, "N D"]) -> Float[Array, "N 1"]:
-        mean = 0.45321
-        std = jnp.sqrt(19.8577)
-        return (((6 * x - 2) ** 2) * jnp.sin(12 * x - 4) - mean) / std
-
-
-@dataclass
-class LogarithmicGoldsteinPrice(AbstractContinuousTestFunction):
-    """
-    Logarithmic Goldstein-Price function introduced in 'A benchmark of kriging-based
-    infill criteria for noisy optimization' (Picheny et al. 2013), which has zero mean
-    and unit variance over $[0, 1]^2$.
-    """
-
-    search_space = ContinuousSearchSpace(
-        lower_bounds=jnp.array([0.0, 0.0]),
-        upper_bounds=jnp.array([1.0, 1.0]),
-    )
-    minimizer = jnp.array([[0.5, 0.25]])
-    minimum = jnp.array([[-3.12913]])
-
-    def evaluate(self, x: Float[Array, "N D"]) -> Float[Array, "N 1"]:
-        x1 = 4.0 * x[:, 0] - 2.0
-        x2 = 4.0 * x[:, 1] - 2.0
-        a = 1.0 + (x1 + x2 + 1.0) ** 2 * (
-            19.0 - 14.0 * x1 + 3.0 * (x1**2) - 14.0 * x2 + 6.0 * x1 * x2 + 3.0 * (x2**2)
-        )
-        b = 30.0 + (2.0 * x1 - 3.0 * x2) ** 2 * (
-            18.0
-            - 32.0 * x1
-            + 12.0 * (x1**2)
-            + 48.0 * x2
-            - 36.0 * x1 * x2
-            + 27.0 * (x2**2)
-        )
-        return ((jnp.log((a * b)) - 8.693) / 2.427).reshape(-1, 1)
-
-
-@dataclass
-class Quadratic(AbstractContinuousTestFunction):
-    """
-    Toy quadratic function defined over $[0, 1]$.
-    """
-
-    search_space = ContinuousSearchSpace(
-        lower_bounds=jnp.array([0.0]),
-        upper_bounds=jnp.array([1.0]),
-    )
-    minimizer = jnp.array([[0.5]])
-    minimum = jnp.array([[0.0]])
-
-    def evaluate(self, x: Float[Array, "N D"]) -> Float[Array, "N 1"]:
-        return (x - 0.5) ** 2

gpjax/decision_making/test_functions/non_conjugate_functions.py

@@ -1,90 +0,0 @@
-# Copyright 2023 The GPJax Contributors. All Rights Reserved.
-#
-# Licensed under the Apache License, Version 2.0 (the "License");
-# you may not use this file except in compliance with the License.
-# You may obtain a copy of the License at
-#
-#     http://www.apache.org/licenses/LICENSE-2.0
-#
-# Unless required by applicable law or agreed to in writing, software
-# distributed under the License is distributed on an "AS IS" BASIS,
-# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
-# See the License for the specific language governing permissions and
-# limitations under the License.
-# ==============================================================================
-from abc import abstractmethod
-from dataclasses import dataclass
-
-import jax.numpy as jnp
-import jax.random as jr
-
-from gpjax.dataset import Dataset
-from gpjax.decision_making.search_space import ContinuousSearchSpace
-from gpjax.typing import (
-    Array,
-    Float,
-    Int,
-    KeyArray,
-)
-
-
-@dataclass
-class PoissonTestFunction:
-    """
-    Test function for GPs utilising the Poisson likelihood. Function taken from
-    https://docs.jaxgaussianprocesses.com/examples/poisson/#dataset.
-
-    Attributes:
-        search_space (ContinuousSearchSpace): Search space for the function.
-    """
-
-    search_space = ContinuousSearchSpace(
-        lower_bounds=jnp.array([-2.0]),
-        upper_bounds=jnp.array([2.0]),
-    )
-
-    def generate_dataset(self, num_points: int, key: KeyArray) -> Dataset:
-        """
-        Generate a toy dataset from the test function.
-
-        Args:
-            num_points (int): Number of points to sample.
-            key (KeyArray): JAX PRNG key.
-
-        Returns:
-            Dataset: Dataset of points sampled from the test function.
-        """
-        X = self.search_space.sample(num_points=num_points, key=key)
-        y = self.evaluate(X)
-        return Dataset(X=X, y=y)
-
-    def generate_test_points(
-        self, num_points: int, key: KeyArray
-    ) -> Float[Array, "N D"]:
-        """
-        Generate test points from the search space of the test function.
-
-        Args:
-            num_points (int): Number of points to sample.
-            key (KeyArray): JAX PRNG key.
-
-        Returns:
-            Float[Array, 'N D']: Test points sampled from the search space.
-        """
-        return self.search_space.sample(num_points=num_points, key=key)
-
-    @abstractmethod
-    def evaluate(self, x: Float[Array, "N 1"]) -> Int[Array, "N 1"]:
-        """
-        Evaluate the test function at a set of points. Function taken from
-        https://docs.jaxgaussianprocesses.com/examples/poisson/#dataset.
-
-        Args:
-            x (Float[Array, 'N D']): Points to evaluate the test function at.
-
-        Returns:
-            Float[Array, 'N 1']: Values of the test function at the points.
-        """
-        key = jr.key(42)
-        f = lambda x: 2.0 * jnp.sin(3 * x) + 0.5 * x
-        return jr.poisson(key, jnp.exp(f(x)))

gpjax/decision_making/utility_functions/__init__.py

@@ -1,37 +0,0 @@
-# Copyright 2023 The JaxGaussianProcesses Contributors. All Rights Reserved.
-#
-# Licensed under the Apache License, Version 2.0 (the "License");
-# you may not use this file except in compliance with the License.
-# You may obtain a copy of the License at
-#
-#     http://www.apache.org/licenses/LICENSE-2.0
-#
-# Unless required by applicable law or agreed to in writing, software
-# distributed under the License is distributed on an "AS IS" BASIS,
-# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
-# See the License for the specific language governing permissions and
-# limitations under the License.
-# ==============================================================================
-from gpjax.decision_making.utility_functions.base import (
-    AbstractSinglePointUtilityFunctionBuilder,
-    AbstractUtilityFunctionBuilder,
-    SinglePointUtilityFunction,
-    UtilityFunction,
-)
-from gpjax.decision_making.utility_functions.expected_improvement import (
-    ExpectedImprovement,
-)
-from gpjax.decision_making.utility_functions.probability_of_improvement import (
-    ProbabilityOfImprovement,
-)
-from gpjax.decision_making.utility_functions.thompson_sampling import ThompsonSampling
-
-__all__ = [
-    "UtilityFunction",
-    "AbstractUtilityFunctionBuilder",
-    "AbstractSinglePointUtilityFunctionBuilder",
-    "ExpectedImprovement",
-    "SinglePointUtilityFunction",
-    "ThompsonSampling",
-    "ProbabilityOfImprovement",
-]

gpjax/decision_making/utility_functions/base.py

@@ -1,106 +0,0 @@
-# Copyright 2023 The JaxGaussianProcesses Contributors. All Rights Reserved.
-#
-# Licensed under the Apache License, Version 2.0 (the "License");
-# you may not use this file except in compliance with the License.
-# You may obtain a copy of the License at
-#
-#     http://www.apache.org/licenses/LICENSE-2.0
-#
-# Unless required by applicable law or agreed to in writing, software
-# distributed under the License is distributed on an "AS IS" BASIS,
-# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
-# See the License for the specific language governing permissions and
-# limitations under the License.
-# ==============================================================================
-from abc import (
-    ABC,
-    abstractmethod,
-)
-from dataclasses import dataclass
-
-from beartype.typing import (
-    Callable,
-    Mapping,
-)
-
-from gpjax.dataset import Dataset
-from gpjax.decision_making.utils import OBJECTIVE
-from gpjax.gps import AbstractPosterior
-from gpjax.typing import (
-    Array,
-    Float,
-    KeyArray,
-)
-
-SinglePointUtilityFunction = Callable[[Float[Array, "N D"]], Float[Array, "N 1"]]
-"""
-Type alias for utility functions which don't support batching, and instead characterise
-the utility of querying a single point, rather than a batch of points. They take an array of points of shape $[N, D]$
-and return the value of the utility function at each point in an array of shape $[N, 1]$.
-"""
-
-
-UtilityFunction = SinglePointUtilityFunction
-"""
-Type alias for all utility functions. Currently we only support
-`SinglePointUtilityFunction`s, but in future may support batched utility functions too.
-Note that `UtilityFunction`s are *maximised* in order to decide which point, or batch of points, to query next.
-"""
-
-
-@dataclass
-class AbstractSinglePointUtilityFunctionBuilder(ABC):
-    """
-    Abstract class for building utility functions which don't support batches. As such,
-    they characterise the utility of querying a single point next.
-    """
-
-    def check_objective_present(
-        self,
-        posteriors: Mapping[str, AbstractPosterior],
-        datasets: Mapping[str, Dataset],
-    ) -> None:
-        """
-        Check that the objective posterior and dataset are present in the posteriors and
-        datasets.
-
-        Args:
-            posteriors: dictionary of posteriors to be used to form the utility function.
-            datasets: dictionary of datasets which may be used to form the utility function.
-
-        Raises:
-            ValueError: If the objective posterior or dataset are not present in the
-                posteriors or datasets.
-        """
-        if OBJECTIVE not in posteriors.keys():
-            raise ValueError("Objective posterior not found in posteriors")
-        elif OBJECTIVE not in datasets.keys():
-            raise ValueError("Objective dataset not found in datasets")
-
-    @abstractmethod
-    def build_utility_function(
-        self,
-        posteriors: Mapping[str, AbstractPosterior],
-        datasets: Mapping[str, Dataset],
-        key: KeyArray,
-    ) -> SinglePointUtilityFunction:
-        """
-        Build a `UtilityFunction` from a set of posteriors and datasets.
-
-        Args:
-            posteriors: dictionary of posteriors to be used to form the utility function.
-            datasets: dictionary of datasets which may be used to form the utility function.
-            key: JAX PRNG key used for random number generation.
-
-        Returns:
-            SinglePointUtilityFunction: Utility function to be *maximised* in order to
-                decide which point to query next.
-        """
-        raise NotImplementedError
-
-
-AbstractUtilityFunctionBuilder = AbstractSinglePointUtilityFunctionBuilder
-"""
-Type alias for utility function builders. For now this only include single point utility
-function builders, but in the future we may support batched utility function builders.
-"""

gpjax/decision_making/utility_functions/expected_improvement.py

@@ -1,112 +0,0 @@
-# Copyright 2024 The JaxGaussianProcesses Contributors. All Rights Reserved.
-#
-# Licensed under the Apache License, Version 2.0 (the "License");
-# you may not use this file except in compliance with the License.
-# You may obtain a copy of the License at
-#
-#     http://www.apache.org/licenses/LICENSE-2.0
-#
-# Unless required by applicable law or agreed to in writing, software
-# distributed under the License is distributed on an "AS IS" BASIS,
-# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
-# See the License for the specific language governing permissions and
-# limitations under the License.
-# ==============================================================================
-from dataclasses import dataclass
-from functools import partial
-
-from beartype.typing import Mapping
-import jax.numpy as jnp
-import tensorflow_probability.substrates.jax as tfp
-
-from gpjax.dataset import Dataset
-from gpjax.decision_making.utility_functions.base import (
-    AbstractSinglePointUtilityFunctionBuilder,
-    SinglePointUtilityFunction,
-)
-from gpjax.decision_making.utils import (
-    OBJECTIVE,
-    get_best_latent_observation_val,
-)
-from gpjax.gps import ConjugatePosterior
-from gpjax.typing import (
-    Array,
-    Float,
-    KeyArray,
-)
-
-
-@dataclass
-class ExpectedImprovement(AbstractSinglePointUtilityFunctionBuilder):
-    """
-    Expected Improvement acquisition function as introduced by [Močkus,
-    1974](https://link.springer.com/chapter/10.1007/3-540-07165-2_55). The "best"
-    incumbent value is defined as the lowest posterior mean value evaluated at the the
-    previously observed points. This enables the acquisition function to be utilised with noisy observations.
-    """
-
-    def build_utility_function(
-        self,
-        posteriors: Mapping[str, ConjugatePosterior],
-        datasets: Mapping[str, Dataset],
-        key: KeyArray,
-    ) -> SinglePointUtilityFunction:
-        r"""
-        Build the Expected Improvement acquisition function. This computes the expected
-        improvement over the "best" of the previously observed points, utilising the
-        posterior distribution of the surrogate model. For posterior distribution
-        $`f(\cdot)`$, and best incumbent value $`\eta`$, this is defined
-        as:
-        ```math
-        \alpha_{\text{EI}}(\mathbf{x}) = \mathbb{E}\left[\max(0, \eta - f(\mathbf{x}))\right]
-        ```
-
-        Args:
-            posteriors (Mapping[str, ConjugatePosterior]): Dictionary of posteriors to
-            used to form the utility function. One posteriors must correspond to the
-            `OBJECTIVE` key, as we utilise the objective posterior to form the utility
-            function.
-            datasets (Mapping[str, Dataset]): Dictionary of datasets used to form the
-            utility function. Keys in `datasets` should correspond to keys in
-            `posteriors`. One of the datasets must correspond to the `OBJECTIVE` key.
-            key (KeyArray): JAX PRNG key used for random number generation.
-
-        Returns:
-            SinglePointUtilityFunction: The Expected Improvement acquisition function to
-            to be *maximised* in order to decide which point to query next.
-        """
-        self.check_objective_present(posteriors, datasets)
-        objective_posterior = posteriors[OBJECTIVE]
-        objective_dataset = datasets[OBJECTIVE]
-
-        if not isinstance(objective_posterior, ConjugatePosterior):
-            raise ValueError(
-                "Objective posterior must be a ConjugatePosterior to compute the Expected Improvement."
-            )
-
-        if (
-            objective_dataset.X is None
-            or objective_dataset.n == 0
-            or objective_dataset.y is None
-        ):
-            raise ValueError("Objective dataset must contain at least one item")
-
-        eta = get_best_latent_observation_val(objective_posterior, objective_dataset)
-        return partial(
-            _expected_improvement, objective_posterior, objective_dataset, eta
-        )
-
-
-def _expected_improvement(
-    objective_posterior: ConjugatePosterior,
-    objective_dataset: Dataset,
-    eta: Float[Array, ""],
-    x: Float[Array, "N D"],
-) -> Float[Array, "N 1"]:
-    latent_dist = objective_posterior(x, objective_dataset)
-    mean = latent_dist.mean()
-    var = latent_dist.variance()
-    normal = tfp.distributions.Normal(mean, jnp.sqrt(var))
-    return jnp.expand_dims(
-        ((eta - mean) * normal.cdf(eta) + var * normal.prob(eta)), -1
-    )

gpjax/decision_making/utility_functions/probability_of_improvement.py

@@ -1,125 +0,0 @@
-# Copyright 2024 The JaxGaussianProcesses Contributors. All Rights Reserved.
-#
-# Licensed under the Apache License, Version 2.0 (the "License");
-# you may not use this file except in compliance with the License.
-# You may obtain a copy of the License at
-#
-#     http://www.apache.org/licenses/LICENSE-2.0
-#
-# Unless required by applicable law or agreed to in writing, software
-# distributed under the License is distributed on an "AS IS" BASIS,
-# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
-# See the License for the specific language governing permissions and
-# limitations under the License.
-# ==============================================================================
-from dataclasses import dataclass
-
-from beartype.typing import Mapping
-from jaxtyping import Num
-import tensorflow_probability.substrates.jax as tfp
-
-from gpjax.dataset import Dataset
-from gpjax.decision_making.utility_functions.base import (
-    AbstractSinglePointUtilityFunctionBuilder,
-    SinglePointUtilityFunction,
-)
-from gpjax.decision_making.utils import (
-    OBJECTIVE,
-    get_best_latent_observation_val,
-)
-from gpjax.gps import ConjugatePosterior
-from gpjax.typing import (
-    Array,
-    KeyArray,
-)
-
-
-@dataclass
-class ProbabilityOfImprovement(AbstractSinglePointUtilityFunctionBuilder):
-    r"""
-    An acquisition function which returns the probability of improvement
-    of the objective function over the best observed value.
-
-    More precisely, given a predictive posterior distribution of the objective
-    function $`f`$, the probability of improvement at a test point $`x`$ is defined as:
-    $$`\text{PI}(x) = \text{Prob}[f(x) < f(x_{\text{best}})]`$$
-    where $`x_{\text{best}}`$ is the minimiser of the posterior mean
-    at previously observed values (to handle noisy observations).
-
-    The probability of improvement can be easily computed using the
-    cumulative distribution function of the standard normal distribution $`\Phi`$:
-    $$`\text{PI}(x) = \Phi\left(\frac{f(x_{\text{best}}) - \mu}{\sigma}\right)`$$
-    where $`\mu`$ and $`\sigma`$ are the mean and standard deviation of the
-    predictive distribution of the objective function at $`x`$.
-
-    References
-    ----------
-    [1] Kushner, H. J. (1964).
-    A new method of locating the maximum point of an arbitrary multipeak curve in the presence of noise.
-    Journal of Basic Engineering, 86(1), 97-106.
-
-    [2] Shahriari, B., Swersky, K., Wang, Z., Adams, R. P., & de Freitas, N. (2016).
-    Taking the human out of the loop: A review of Bayesian optimization.
-    Proceedings of the IEEE, 104(1), 148-175. doi: 10.1109/JPROC.2015.2494218
-    """
-
-    def build_utility_function(
-        self,
-        posteriors: Mapping[str, ConjugatePosterior],
-        datasets: Mapping[str, Dataset],
-        key: KeyArray,
-    ) -> SinglePointUtilityFunction:
-        """
-        Constructs the probability of improvement utility function
-        using the predictive posterior of the objective function.
-
-        Args:
-            posteriors (Mapping[str, AbstractPosterior]): Dictionary of posteriors to be
-            used to form the utility function. One of the posteriors must correspond
-            to the `OBJECTIVE` key, as we sample from the objective posterior to form
-            the utility function.
-            datasets (Mapping[str, Dataset]): Dictionary of datasets which may be used
-            to form the utility function. Keys in `datasets` should correspond to
-            keys in `posteriors`. One of the datasets must correspond
-            to the `OBJECTIVE` key.
-            key (KeyArray): JAX PRNG key used for random number generation. Since
-            the probability of improvement is computed deterministically
-            from the predictive posterior, the key is not used.
-
-        Returns:
-            SinglePointUtilityFunction: the probability of improvement utility function.
-        """
-        self.check_objective_present(posteriors, datasets)
-
-        objective_posterior = posteriors[OBJECTIVE]
-        if not isinstance(objective_posterior, ConjugatePosterior):
-            raise ValueError(
-                "Objective posterior must be a ConjugatePosterior to compute the Probability of Improvement using a Gaussian CDF."
-            )
-
-        objective_dataset = datasets[OBJECTIVE]
-        if (
-            objective_dataset.X is None
-            or objective_dataset.n == 0
-            or objective_dataset.y is None
-        ):
-            raise ValueError(
-                "Objective dataset must be non-empty to compute the "
-                "Probability of Improvement (since we need a "
-                "`best_y` value)."
-            )
-
-        def probability_of_improvement(x_test: Num[Array, "N D"]):
-            best_y = get_best_latent_observation_val(
-                objective_posterior, objective_dataset
-            )
-            predictive_dist = objective_posterior.predict(x_test, objective_dataset)
-
-            normal_dist = tfp.distributions.Normal(
-                loc=predictive_dist.mean(),
-                scale=predictive_dist.stddev(),
-            )
-
-            return normal_dist.cdf(best_y).reshape(-1, 1)
-
-        return probability_of_improvement