#!/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 copy import deepcopy from itertools import combinations from typing import Union, Dict, List, NamedTuple, Optional, Tuple import numpy as np import torch from ax.core.batch_trial import BatchTrial from ax.core.data import Data from ax.core.experiment import Experiment from ax.core.metric import Metric from ax.core.objective import ScalarizedObjective from ax.core.observation import ObservationFeatures from ax.core.optimization_config import MultiObjectiveOptimizationConfig from ax.core.outcome_constraint import OutcomeConstraint from ax.core.types import TParameterization from ax.exceptions.core import AxError, UnsupportedError from ax.modelbridge.modelbridge_utils import observed_pareto_frontier from ax.modelbridge.registry import Models from ax.modelbridge.torch import TorchModelBridge from ax.modelbridge.transforms.choice_encode import OrderedChoiceEncode from ax.modelbridge.transforms.derelativize import Derelativize from ax.modelbridge.transforms.int_to_float import IntToFloat from ax.modelbridge.transforms.search_space_to_choice import SearchSpaceToChoice from ax.models.torch.posterior_mean import get_PosteriorMean from ax.models.torch_base import TorchModel from ax.utils.common.logger import get_logger from ax.utils.stats.statstools import relativize from botorch.utils.multi_objective import is_non_dominated # type aliases Mu = Dict[str, List[float]] Cov = Dict[str, Dict[str, List[float]]] logger = get_logger(__name__) def _extract_observed_pareto_2d( Y: np.ndarray, reference_point: Optional[Tuple[float, float]], minimize: Union[bool, Tuple[bool, bool]] = True, ) -> np.ndarray: if Y.shape[1] != 2: raise NotImplementedError("Currently only the 2-dim case is handled.") # If `minimize` is a bool, apply to both dimensions if isinstance(minimize, bool): minimize = (minimize, minimize) Y_copy = deepcopy(torch.from_numpy(Y).to()) if reference_point: ref_point = torch.tensor(reference_point, dtype=Y_copy.dtype) for i in range(2): # Filter based on reference point Y_copy = ( Y_copy[Y_copy[:, i] < ref_point[i]] if minimize[i] else Y_copy[Y_copy[:, i] > ref_point[i]] ) for i in range(2): # Flip sign in each dimension based on minimize Y_copy[:, i] *= (-1) ** minimize[i] Y_pareto = Y_copy[is_non_dominated(Y_copy)] Y_pareto = Y_pareto[torch.argsort(input=Y_pareto[:, 0], descending=True)] for i in range(2): # Flip sign back Y_pareto[:, i] *= (-1) ** minimize[i] assert Y_pareto.shape[1] == 2 # Y_pareto should have two outcomes. return Y_pareto.detach().cpu().numpy() class ParetoFrontierResults(NamedTuple): """Container for results from Pareto frontier computation. Fields are: - param_dicts: The parameter dicts of the points generated on the Pareto Frontier. - means: The posterior mean predictions of the model for each metric (same order as the param dicts). These must be as a percent change relative to status quo for any metric not listed in absolute_metrics. - sems: The posterior sem predictions of the model for each metric (same order as the param dicts). Also must be relativized wrt status quo for any metric not listed in absolute_metrics. - primary_metric: The name of the primary metric. - secondary_metric: The name of the secondary metric. - absolute_metrics: List of outcome metrics that are NOT be relativized w.r.t. the status quo. All other metrics are assumed to be given here as % relative to status_quo. - objective_thresholds: Threshold for each objective. Must be on the same scale as means, so if means is relativized it should be the relative value, otherwise it should be absolute. - arm_names: Optional list of arm names for each parameterization. """ param_dicts: List[TParameterization] means: Dict[str, List[float]] sems: Dict[str, List[float]] primary_metric: str secondary_metric: str absolute_metrics: List[str] objective_thresholds: Optional[Dict[str, float]] arm_names: Optional[List[Optional[str]]] def get_observed_pareto_frontiers( experiment: Experiment, data: Optional[Data] = None, rel: bool = True, arm_names: Optional[List[str]] = None, ) -> List[ParetoFrontierResults]: """ Find all Pareto points from an experiment. Uses only values as observed in the data; no modeling is involved. Makes no assumption about the search space or types of parameters. If "data" is provided will use that, otherwise will use all data attached to the experiment. Uses all arms present in data; does not filter according to experiment search space. If arm_names is specified, will filter to just those arm whose names are given in the list. Assumes experiment has a multiobjective optimization config from which the objectives and outcome constraints will be extracted. Will generate a ParetoFrontierResults for every pair of metrics in the experiment's multiobjective optimization config. Args: experiment: The experiment. data: Data to use for computing Pareto frontier. If not provided, will fetch data from experiment. rel: Relativize, if status quo on experiment. arm_names: If provided, computes Pareto frontier only from among the provided list of arm names. Returns: ParetoFrontierResults that can be used with interact_pareto_frontier. """ if data is None: data = experiment.fetch_data() if experiment.optimization_config is None: raise ValueError("Experiment must have an optimization config") if arm_names is not None: data = Data(data.df[data.df["arm_name"].isin(arm_names)]) mb = get_tensor_converter_model(experiment=experiment, data=data) pareto_observations = observed_pareto_frontier(modelbridge=mb) # Convert to ParetoFrontierResults objective_metric_names = { metric.name for metric in experiment.optimization_config.objective.metrics # pyre-ignore } obj_metr_list = sorted(objective_metric_names) pfr_means = {name: [] for name in obj_metr_list} pfr_sems = {name: [] for name in obj_metr_list} for obs in pareto_observations: for i, name in enumerate(obs.data.metric_names): if name in objective_metric_names: pfr_means[name].append(obs.data.means[i]) pfr_sems[name].append(np.sqrt(obs.data.covariance[i, i])) # Relativize as needed if rel and experiment.status_quo is not None: # Get status quo values # pyre-fixme[16]: `Optional` has no attribute `name`. sq_df = data.df[data.df["arm_name"] == experiment.status_quo.name] sq_df = sq_df.to_dict(orient="list") sq_means = {} sq_sems = {} # pyre-fixme[6]: Expected `_SupportsIndex` for 1st param but got `str`. for i, metric in enumerate(sq_df["metric_name"]): # pyre-fixme[6]: Expected `_SupportsIndex` for 1st param but got `str`. sq_means[metric] = sq_df["mean"][i] # pyre-fixme[6]: Expected `_SupportsIndex` for 1st param but got `str`. sq_sems[metric] = sq_df["sem"][i] # Relativize for name in pfr_means: if np.isnan(sq_sems[name]) or np.isnan(pfr_sems[name]).any(): # Just relativize means pfr_means[name] = [ (mu / sq_means[name] - 1) * 100 for mu in pfr_means[name] ] else: # Use delta method pfr_means[name], pfr_sems[name] = relativize( means_t=pfr_means[name], sems_t=pfr_sems[name], mean_c=sq_means[name], sem_c=sq_sems[name], as_percent=True, ) absolute_metrics = [] else: absolute_metrics = obj_metr_list objective_thresholds = {} if experiment.optimization_config.objective_thresholds is not None: # pyre-ignore for objth in experiment.optimization_config.objective_thresholds: is_rel = objth.metric.name not in absolute_metrics if objth.relative != is_rel: raise ValueError( f"Objective threshold for {objth.metric.name} has " f"rel={objth.relative} but was specified here as rel={is_rel}" ) objective_thresholds[objth.metric.name] = objth.bound # Construct ParetoFrontResults for each pair pfr_list = [] param_dicts = [obs.features.parameters for obs in pareto_observations] pfr_arm_names = [obs.arm_name for obs in pareto_observations] for metric_a, metric_b in combinations(obj_metr_list, 2): pfr_list.append( ParetoFrontierResults( param_dicts=param_dicts, means=pfr_means, sems=pfr_sems, primary_metric=metric_a, secondary_metric=metric_b, absolute_metrics=absolute_metrics, objective_thresholds=objective_thresholds, arm_names=pfr_arm_names, ) ) return pfr_list def get_tensor_converter_model(experiment: Experiment, data: Data) -> TorchModelBridge: """ Constructs a minimal model for converting things to tensors. Model fitting will instantiate all of the transforms but will not do any expensive (i.e. GP) fitting beyond that. The model will raise an error if it is used for predicting or generating. Will work for any search space regardless of types of parameters. Args: experiment: Experiment. data: Data for fitting the model. Returns: A torch modelbridge with transforms set. """ # Transforms is the minimal set that will work for converting any search # space to tensors. return TorchModelBridge( experiment=experiment, search_space=experiment.search_space, data=data, model=TorchModel(), transforms=[Derelativize, SearchSpaceToChoice, OrderedChoiceEncode, IntToFloat], transform_configs={ "Derelativize": {"use_raw_status_quo": True}, "SearchSpaceToChoice": {"use_ordered": True}, }, fit_out_of_design=True, ) def compute_posterior_pareto_frontier( experiment: Experiment, primary_objective: Metric, secondary_objective: Metric, data: Optional[Data] = None, outcome_constraints: Optional[List[OutcomeConstraint]] = None, absolute_metrics: Optional[List[str]] = None, num_points: int = 10, trial_index: Optional[int] = None, chebyshev: bool = True, ) -> ParetoFrontierResults: """Compute the Pareto frontier between two objectives. For experiments with batch trials, a trial index or data object must be provided. This is done by fitting a GP and finding the pareto front according to the GP posterior mean. Args: experiment: The experiment to compute a pareto frontier for. primary_objective: The primary objective to optimize. secondary_objective: The secondary objective against which to trade off the primary objective. outcome_constraints: Outcome constraints to be respected by the optimization. Can only contain constraints on metrics that are not primary or secondary objectives. absolute_metrics: List of outcome metrics that should NOT be relativized w.r.t. the status quo (all other outcomes will be in % relative to status_quo). num_points: The number of points to compute on the Pareto frontier. chebyshev: Whether to use augmented_chebyshev_scalarization when computing Pareto Frontier points. Returns: ParetoFrontierResults: A NamedTuple with fields listed in its definition. """ model_gen_options = { "acquisition_function_kwargs": {"chebyshev_scalarization": chebyshev} } if ( trial_index is None and data is None and any(isinstance(t, BatchTrial) for t in experiment.trials.values()) ): raise UnsupportedError( "Must specify trial index or data for experiment with batch trials" ) absolute_metrics = [] if absolute_metrics is None else absolute_metrics for metric in absolute_metrics: if metric not in experiment.metrics: raise ValueError(f"Model was not fit on metric `{metric}`") if outcome_constraints is None: outcome_constraints = [] else: # ensure we don't constrain an objective _validate_outcome_constraints( outcome_constraints=outcome_constraints, primary_objective=primary_objective, secondary_objective=secondary_objective, ) # build posterior mean model if not data: try: data = ( experiment.trials[trial_index].fetch_data() if trial_index else experiment.fetch_data() ) except Exception as e: logger.info(f"Could not fetch data from experiment or trial: {e}") oc = _build_new_optimization_config( weights=np.array([0.5, 0.5]), primary_objective=primary_objective, secondary_objective=secondary_objective, outcome_constraints=outcome_constraints, ) model = Models.MOO( experiment=experiment, data=data, acqf_constructor=get_PosteriorMean, optimization_config=oc, ) status_quo = experiment.status_quo if status_quo: try: status_quo_prediction = model.predict( [ ObservationFeatures( parameters=status_quo.parameters, # pyre-fixme [6]: Expected `Optional[np.int64]` for trial_index trial_index=trial_index, ) ] ) except ValueError as e: logger.warning(f"Could not predict OOD status_quo outcomes: {e}") status_quo = None status_quo_prediction = None else: status_quo_prediction = None param_dicts: List[TParameterization] = [] # Construct weightings with linear angular spacing. # TODO: Verify whether 0, 1 weights cause problems because of subset_model. alpha = np.linspace(0 + 0.01, np.pi / 2 - 0.01, num_points) primary_weight = (-1 if primary_objective.lower_is_better else 1) * np.cos(alpha) secondary_weight = (-1 if secondary_objective.lower_is_better else 1) * np.sin( alpha ) weights_list = np.stack([primary_weight, secondary_weight]).transpose() for weights in weights_list: outcome_constraints = outcome_constraints oc = _build_new_optimization_config( weights=weights, primary_objective=primary_objective, secondary_objective=secondary_objective, outcome_constraints=outcome_constraints, ) # TODO: (jej) T64002590 Let this serve as a starting point for optimization. # ex. Add global spacing criterion. Implement on BoTorch side. # pyre-fixme [6]: Expected different type for model_gen_options run = model.gen(1, model_gen_options=model_gen_options, optimization_config=oc) param_dicts.append(run.arms[0].parameters) # Call predict on points to get their decomposed metrics. means, cov = model.predict( [ObservationFeatures(parameters) for parameters in param_dicts] ) return _extract_pareto_frontier_results( param_dicts=param_dicts, means=means, variances=cov, primary_metric=primary_objective.name, secondary_metric=secondary_objective.name, absolute_metrics=absolute_metrics, outcome_constraints=outcome_constraints, status_quo_prediction=status_quo_prediction, ) def _extract_pareto_frontier_results( param_dicts: List[TParameterization], means: Mu, variances: Cov, primary_metric: str, secondary_metric: str, absolute_metrics: List[str], outcome_constraints: Optional[List[OutcomeConstraint]], status_quo_prediction: Optional[Tuple[Mu, Cov]], ) -> ParetoFrontierResults: """Extract prediction results into ParetoFrontierResults struture.""" metrics = list(means.keys()) means_out = {metric: m.copy() for metric, m in means.items()} sems_out = {metric: np.sqrt(v[metric]) for metric, v in variances.items()} # relativize predicted outcomes if requested primary_is_relative = primary_metric not in absolute_metrics secondary_is_relative = secondary_metric not in absolute_metrics # Relativized metrics require a status quo prediction if primary_is_relative or secondary_is_relative: if status_quo_prediction is None: raise AxError("Relativized metrics require a valid status quo prediction") sq_mean, sq_sem = status_quo_prediction for metric in metrics: if metric not in absolute_metrics and metric in sq_mean: means_out[metric], sems_out[metric] = relativize( means_t=means_out[metric], sems_t=sems_out[metric], mean_c=sq_mean[metric][0], sem_c=np.sqrt(sq_sem[metric][metric][0]), as_percent=True, ) return ParetoFrontierResults( param_dicts=param_dicts, means={metric: means for metric, means in means_out.items()}, sems={metric: sems for metric, sems in sems_out.items()}, primary_metric=primary_metric, secondary_metric=secondary_metric, absolute_metrics=absolute_metrics, objective_thresholds=None, arm_names=None, ) def _validate_outcome_constraints( outcome_constraints: List[OutcomeConstraint], primary_objective: Metric, secondary_objective: Metric, ) -> None: """Validate that outcome constraints don't involve objectives.""" objective_metrics = [primary_objective.name, secondary_objective.name] if outcome_constraints is not None: for oc in outcome_constraints: if oc.metric.name in objective_metrics: raise ValueError( "Metric `{metric_name}` occurs in both outcome constraints " "and objectives".format(metric_name=oc.metric.name) ) def _build_new_optimization_config( weights, primary_objective, secondary_objective, outcome_constraints=None ): obj = ScalarizedObjective( metrics=[primary_objective, secondary_objective], weights=weights, minimize=False, ) optimization_config = MultiObjectiveOptimizationConfig( objective=obj, outcome_constraints=outcome_constraints ) return optimization_config