gp sampler: GPy -> scikit-learn

black_it/samplers/gaussian_process.py

@@ -15,16 +15,15 @@
 # along with this program. If not, see <http://www.gnu.org/licenses/>.
 
 """This module contains the implementation of the Gaussian process-based sampling."""
-import random
+
 import warnings
 from enum import Enum
-from typing import Optional, Tuple, cast
+from typing import Optional, Tuple, Union, cast
 
-import GPy
 import numpy as np
-from GPy.models import GPRegression
 from numpy.typing import NDArray
 from scipy.special import erfc  # pylint: disable=no-name-in-module
+from sklearn.gaussian_process import GaussianProcessRegressor, kernels
 
 from black_it.samplers.surrogate import MLSurrogateSampler
 
@@ -46,7 +45,7 @@ class GaussianProcessSampler(MLSurrogateSampler):
 
     In particular, the sampling is based on a Gaussian Process interpolation of the loss function.
 
-    Note: this class is a wrapper of the GPRegression model of the GPy package.
+    Note: this class is a wrapper of the GaussianProcessRegressor model of the scikit-learn package.
     """
 
     def __init__(  # pylint: disable=too-many-arguments
@@ -55,9 +54,9 @@ def __init__(  # pylint: disable=too-many-arguments
         random_state: Optional[int] = None,
         max_deduplication_passes: int = 5,
         candidate_pool_size: Optional[int] = None,
-        max_iters: int = 1000,
         optimize_restarts: int = 5,
         acquisition: str = "expected_improvement",
+        jitter: float = 0.1,
     ):
         """
         Initialize the sampler.
@@ -67,19 +66,20 @@ def __init__(  # pylint: disable=too-many-arguments
             random_state: the random state of the sampler, fixing this number the sampler behaves deterministically
             max_deduplication_passes: the maximum number of deduplication passes that are made
             candidate_pool_size: number of randomly sampled points on which the random forest predictions are evaluated
-            max_iters: maximum number of iteration in the optimization of the GP hyperparameters
             optimize_restarts: number of independent random trials of the optimization of the GP hyperparameters
             acquisition: type of acquisition function, it can be 'expected_improvement' of simply 'mean'
+            jitter: positive value to make the "expected_improvement" acquisition more explorative.
         """
         self._validate_acquisition(acquisition)
 
         super().__init__(
             batch_size, random_state, max_deduplication_passes, candidate_pool_size
         )
-        self.max_iters = max_iters
         self.optimize_restarts = optimize_restarts
         self.acquisition = acquisition
-        self._gpmodel: Optional[GPRegression] = None
+        self.jitter = jitter
+        self._gpmodel: Optional[GaussianProcessRegressor] = None
+        self._fmin: Optional[Union[np.double, float]] = None
 
     @staticmethod
     def _validate_acquisition(acquisition: str) -> None:
@@ -111,49 +111,34 @@ def fit(self, X: NDArray[np.float64], y: NDArray[np.float64]) -> None:
                 RuntimeWarning,
             )
 
-        # initialize GP class from GPy with a Matern kernel by default
-        dims = X.shape[1]
-        kern = GPy.kern.Matern52(dims, variance=1.0, ARD=False)
+        # initialize GP class from scikit-learn with a Matern kernel
+        kernel = kernels.Matern(length_scale=1, length_scale_bounds=(1e-5, 1e5), nu=2.5)
+
         noise_var = y.var() * 0.01
 
-        self._gpmodel = GPRegression(
-            X, y, kernel=kern, noise_var=noise_var, mean_function=None
+        self._gpmodel = GaussianProcessRegressor(
+            kernel=kernel,
+            alpha=noise_var,
+            n_restarts_optimizer=self.optimize_restarts,
+            optimizer="fmin_l_bfgs_b",
+            random_state=self._get_random_seed(),
         )
 
-        # Make sure we do not get ridiculously small residual noise variance
-        self._gpmodel.Gaussian_noise.constrain_bounded(
-            1e-9, 1e6, warning=False
-        )  # constrain_positive(warning=False)
-
-        # we need to set the seed globally for GPy optimisations
-        # to give reproducible results
-        np.random.seed(self._get_random_seed())
-        random.seed(self._get_random_seed())
-        if self.max_iters > 0:
-            # --- update the model maximizing the marginal likelihood.
-            if self.optimize_restarts == 1:
-                self._gpmodel.optimize(
-                    optimizer="bfgs",
-                    max_iters=self.max_iters,
-                    messages=False,
-                    ipython_notebook=False,
-                )
-            else:
-                self._gpmodel.optimize_restarts(
-                    num_restarts=self.optimize_restarts,
-                    optimizer="bfgs",
-                    max_iters=self.max_iters,
-                    verbose=False,
-                )
+        self._gpmodel.fit(X, y)
+
+        # store minimum
+        if self.acquisition == "expected_improvement":
+            m, _ = self._predict_mean_std(X)
+            self._fmin = np.min(m)
 
     def predict(self, X: NDArray[np.float64]) -> NDArray[np.float64]:
         """Predict using a gaussian process surrogate model."""
         # predict mean or expected improvement on the full sample set
         if self.acquisition == _AcquisitionTypes.EI.value:
             # minus sign needed for subsequent sorting
-            candidates_score = -self._predict_EI(X)[:, 0]
+            candidates_score = -self._predict_EI(X, self.jitter)
         else:  # acquisition is "mean"
-            candidates_score = self._predict_mean_std(X)[0][:, 0]
+            candidates_score = self._predict_mean_std(X)[0]
 
         return candidates_score
 
@@ -169,20 +154,13 @@ def _predict_mean_std(
         Returns:
             The pair (mean, std).
         """
-        gpmodel = cast(GPRegression, self._gpmodel)
+        gpmodel = cast(GaussianProcessRegressor, self._gpmodel)
         X = X[None, :] if X.ndim == 1 else X
-        m, v = gpmodel.predict(X, full_cov=False, include_likelihood=True)
-        v = np.clip(v, 1e-10, np.inf)
-        return m, np.sqrt(v)
-
-    def _get_fmin(self) -> float:
-        """Return the location where the posterior mean is takes its minimal value."""
-        gpmodel = cast(GPRegression, self._gpmodel)
-        return gpmodel.predict(gpmodel.X)[0].min()
-
-    def _predict_EI(
-        self, X: NDArray[np.float64], jitter: float = 0.1
-    ) -> NDArray[np.float64]:
+        m, s = gpmodel.predict(X, return_std=True, return_cov=False)
+        s = np.clip(s, 1e-5, np.inf)
+        return m, s
+
+    def _predict_EI(self, X: NDArray[np.float64], jitter: float) -> NDArray[np.float64]:
         """
         Compute the Expected Improvement per unit of cost.
 
@@ -195,7 +173,7 @@ def _predict_EI(
         """
         m, s = self._predict_mean_std(X)
 
-        fmin = self._get_fmin()
+        fmin = cast(float, self._fmin)
 
         phi, Phi, u = self.get_quantiles(jitter, fmin, m, s)
 
@@ -223,7 +201,7 @@ def get_quantiles(
             the quantiles.
         """
         # remove values of variance that are too small
-        s[s < 1e-10] = 1e-10
+        s[s < 1e-5] = 1e-5
 
         u: NDArray[np.float64] = (fmin - m - acquisition_par) / s
         phi: NDArray[np.float64] = np.exp(-0.5 * u**2) / np.sqrt(2 * np.pi)

pyproject.toml

@@ -39,7 +39,6 @@ classifiers = [
 
 [tool.poetry.dependencies]
 python = ">=3.8,<3.11"
-GPy = {git = "https://github.com/SheffieldML/GPy.git", rev = "f63ed48"}
 ipywidgets = ">=8.0.0,<8.0.5"
 matplotlib = "^3.7.1"
 numpy = ">=1.23.3,<1.24.0"

scripts/whitelists/package_whitelist.py

@@ -37,6 +37,7 @@
 batch_id  # unused variable (black_it/schedulers/base.py:77)
 batch_id  # unused variable (black_it/schedulers/round_robin.py:47)
 MABEpsilonGreedy  # unused class (black_it/schedulers/rl/agents/epsilon_greedy.py:26)
+seed  # unused variable (black_it/schedulers/rl/envs/base.py:59)
 _.render  # unused method (black_it/schedulers/rl/envs/base.py:80)
 MABCalibrationEnv  # unused class (black_it/schedulers/rl/envs/mab.py:24)
 RLScheduler  # unused class (black_it/schedulers/rl/rl_scheduler.py:32)

setup.cfg

@@ -45,7 +45,7 @@ python_version = 3.8
 strict_optional = True
 plugins = numpy.typing.mypy_plugin
 exclude = examples/models.*
-disallow_untyped_defs=true
+disallow_untyped_defs = true
 
 [darglint]
 docstring_style=google
@@ -94,6 +94,9 @@ ignore_missing_imports = True
 [mypy-sklearn.ensemble]
 ignore_missing_imports = True
 
+[mypy-sklearn.gaussian_process]
+ignore_missing_imports = True
+
 [mypy-seaborn.*]
 ignore_missing_imports = True