handle multiple noisy instances

Author: jakob-r

NAMESPACE

@@ -56,6 +56,7 @@ export(renderExampleRunPlot)
 export(setMBOControlInfill)
 export(setMBOControlMultiObj)
 export(setMBOControlMultiPoint)
+export(setMBOControlNoisy)
 export(setMBOControlTermination)
 export(trafoLog)
 export(trafoSqrt)

R/evalTargetFun.R

@@ -25,13 +25,30 @@ evalTargetFun.OptState = function(opt.state, xs, extras) {
   # short names and so on
   nevals = length(xs)
   ny = control$n.objectives
+
+  # trafo X points
+  xs.trafo = lapply(xs, trafoValue, par = par.set)
+
+  # handle noisy instances
+  if (isTRUE(control$noisy.instances > 1L)) {
+    nevals = nevals * control$noisy.instances
+    xs = rep(xs, each = control$noisy.instances)
+    extras = rep(extras, each = control$noisy.instances)
+    if (!control$noisy.self.replicating) {
+      xs.trafo = rep(xs.trafo, each = control$noisy.instances)
+      if (!is.na(control$noisy.instance.param)) {
+        inst.param = lapply(seq_len(control$noisy.instances), function(x) setNames(list(x), control$noisy.instance.param))
+        xs.trafo = Map(c, xs.trafo, inst.param)
+      }
+    }
+  }
+
+
   num.format = control$output.num.format
   num.format.string = paste("%s = ", num.format, sep = "")
   dobs = ensureVector(asInteger(getOptStateLoop(opt.state)), n = nevals, cl = "integer")
   imputeY = control$impute.y.fun
 
-  # trafo X points
-  xs.trafo = lapply(xs, trafoValue, par = par.set)
 
   # function to measure of fun call
     wrapFun = function(x) {
@@ -43,6 +60,9 @@ evalTargetFun.OptState = function(opt.state, xs, extras) {
         user.extras = attr(y, "extras")
         y = setAttribute(y, "extras", NULL)
       }
+      if (!is.null(control$noisy.instance.param) && !is.na(control$noisy.instance.param) && !control$noisy.self.replicating) {
+        user.extras = c(user.extras, x[control$noisy.instance.param])
+      }
       st = proc.time() - st
       list(y = y, time = st[3], user.extras = user.extras)
     }
@@ -56,6 +76,17 @@ evalTargetFun.OptState = function(opt.state, xs, extras) {
   res = parallelMap(wrapFun, xs.trafo, level = "mlrMBO.feval",
     impute.error = if (is.null(imputeY)) NULL else identity)
 
+  # handle noisy instances of self.replicating functions
+  if (isTRUE(control$noisy.instances > 1L) && control$noisy.self.replicating) {
+    xs.trafo = rep(xs.trafo, each = control$noisy.instances)
+    res = lapply(res, function(r) {
+      lapply(seq_along(r$y), function(i) {
+        list(y = r$y[i], time = r$time / length(r$y), user.extras = c(r$user.extras, setNames(list(i), control$noisy.instance.param)))
+      })
+    })
+    res = unlist(res, recursive = FALSE)
+  }
+
   # loop evals and to some post-processing
   for (i in seq_len(nevals)) {
     r = res[[i]]; x = xs[[i]]; x.trafo = xs.trafo[[i]]; dob = dobs[i]

R/setMBOControlNoisy.R

@@ -0,0 +1,30 @@
+#' @title Set multipoint proposal options.
+#' @description
+#' Extends an MBO control object with options for multipoint proposal.
+#' @template arg_control
+#' @param instances [\code{integer(1)}]\cr
+#'   How many instances of one parameter will be calculated?
+#' @param instance.param [\code{character(1)}]\cr
+#'   What is the name of the function param that defines the instance?
+#' @param self.replicating [\code{logical(1)}]\cr
+#'   TRUE if the function returns a vector of noisy results for one input. Then \code{instances} specifies the length of the result we expect.
+#' @return [\code{\link{MBOControl}}].
+#' @family MBOControl
+#' @export
+setMBOControlNoisy = function(control,
+  instances = NULL,
+  instance.param = NULL,
+  self.replicating = NULL) {
+
+  assertClass(control, "MBOControl")
+
+  control$noisy.instances = assertInt(instances, lower = 1L, null.ok = TRUE, na.ok = FALSE) %??% control$noisy.instances
+  control$noisy.self.replicating = assertFlag(self.replicating, null.ok = TRUE, na.ok = FALSE) %??% control$noisy.self.replicating %??% FALSE
+  control$noisy.instance.param = assertString(instance.param, null.ok = TRUE, na.ok = TRUE) %??% control$noisy.instance.param %??% ifelse(control$noisy.self.replicating, "noisy.repl", NA_character_)
+
+  if (control$noisy.self.replicating && control$noisy.instance.param != "noisy.repl") {
+    stop("You can not change the instance.param for self replicating functions.")
+  }
+
+  return(control)
+}

man/makeMBOControl.Rd

@@ -1,6 +1,6 @@
-context("mbo km")
+context("mbo noisy")
 
-test_that("mbo works with km", {
+test_that("mbo works with multiple instances of noisy problems", {
   des = testd.fsphere.2d
   des$y = apply(des, 1, testf.fsphere.2d)
   learner = makeLearner("regr.km", nugget.estim = TRUE)