Update the default SingleTaskGP prior (facebook#2610)

Summary:
Pull Request resolved: facebook#2610

X-link: pytorch/botorch#2449

Update of the default hyperparameter priors for the SingleTaskGP.

Switch from the conventional Scale-Matern kernel with Gamma(3, 6) lengthscale prior is substituted for an RBF Kernel (without a ScaleKernel), and a change from the high-noise Gamma(1.1, 0.05) noise prior of the GaussianLikelihood to a LogNormal prior that prefers lower values. The change is made in accordance with the findings of [1].

 The change is made to improve the out-of-the-box performance of the BoTorch models on high-dimensional problems.

[1] Carl Hvarfner, Erik Orm Hellsten, Luigi Nardi. _Vanilla Bayesian Optimization Performs Great in High Dimensions_. ICML, 2024.

Reviewed By: dme65, saitcakmak

Differential Revision: D60080819

fbshipit-source-id: d55ff91dee9949cbd7f5828531644fc001cb3e22

Author: Carl Hvarfner

ax/models/tests/test_botorch_defaults.py

@@ -6,6 +6,7 @@
 
 # pyre-strict
 
+import math
 from copy import deepcopy
 from unittest import mock
 from unittest.mock import Mock
@@ -66,9 +67,9 @@ def test_get_model(self) -> None:
         self.assertIsInstance(model, SingleTaskGP)
         self.assertIsInstance(model.likelihood, FixedNoiseGaussianLikelihood)
         self.assertEqual(
-            model.covar_module.base_kernel.lengthscale_prior.concentration, 3.0
+            model.covar_module.lengthscale_prior.loc, math.log(2.0) / 2 + 2**0.5
         )
-        self.assertEqual(model.covar_module.base_kernel.lengthscale_prior.rate, 6.0)
+        self.assertEqual(model.covar_module.lengthscale_prior.scale, 3**0.5)
         model = _get_model(X=x, Y=y, Yvar=unknown_var, task_feature=1)
         self.assertIs(type(model), MultiTaskGP)  # Don't accept subclasses.
         self.assertIsInstance(model.likelihood, GaussianLikelihood)

ax/models/tests/test_botorch_model.py

@@ -36,6 +36,7 @@
 from botorch.models.transforms.input import Warp
 from botorch.utils.datasets import SupervisedDataset
 from botorch.utils.objective import get_objective_weights_transform
+from gpytorch.kernels.constant_kernel import ConstantKernel
 from gpytorch.likelihoods import _GaussianLikelihoodBase
 from gpytorch.likelihoods.gaussian_likelihood import FixedNoiseGaussianLikelihood
 from gpytorch.mlls import ExactMarginalLogLikelihood, LeaveOneOutPseudoLikelihood
@@ -558,19 +559,12 @@ def test_BotorchModel(
 
             # Test loading state dict
             true_state_dict = {
-                "mean_module.raw_constant": 3.5004,
-                "covar_module.raw_outputscale": 2.2438,
-                "covar_module.base_kernel.raw_lengthscale": [
-                    [-0.9274, -0.9274, -0.9274]
-                ],
-                "covar_module.base_kernel.raw_lengthscale_constraint.lower_bound": 0.1,
-                "covar_module.base_kernel.raw_lengthscale_constraint.upper_bound": 2.5,
-                "covar_module.base_kernel.lengthscale_prior.concentration": 3.0,
-                "covar_module.base_kernel.lengthscale_prior.rate": 6.0,
-                "covar_module.raw_outputscale_constraint.lower_bound": 0.2,
-                "covar_module.raw_outputscale_constraint.upper_bound": 2.6,
-                "covar_module.outputscale_prior.concentration": 2.0,
-                "covar_module.outputscale_prior.rate": 0.15,
+                "mean_module.raw_constant": 1.0,
+                "covar_module.raw_lengthscale": [[0.3548, 0.3548, 0.3548]],
+                "covar_module.lengthscale_prior._transformed_loc": 1.9635,
+                "covar_module.lengthscale_prior._transformed_scale": 1.7321,
+                "covar_module.raw_lengthscale_constraint.lower_bound": 0.0250,
+                "covar_module.raw_lengthscale_constraint.upper_bound": float("inf"),
             }
             true_state_dict = {
                 key: torch.tensor(val, **tkwargs)
@@ -591,8 +585,7 @@ def test_BotorchModel(
 
             # Test for some change in model parameters & buffer for refit_model=True
             true_state_dict["mean_module.raw_constant"] += 0.1
-            true_state_dict["covar_module.raw_outputscale"] += 0.1
-            true_state_dict["covar_module.base_kernel.raw_lengthscale"] += 0.1
+            true_state_dict["covar_module.raw_lengthscale"] += 0.1
             model = get_and_fit_model(
                 Xs=Xs1,
                 Ys=Ys1,
@@ -774,17 +767,16 @@ def test_get_feature_importances_from_botorch_model(self) -> None:
         train_X = torch.rand(5, 3, **tkwargs)
         train_Y = train_X.sum(dim=-1, keepdim=True)
         simple_gp = SingleTaskGP(train_X=train_X, train_Y=train_Y)
-        simple_gp.covar_module.base_kernel.lengthscale = torch.tensor(
-            [1, 3, 5], **tkwargs
-        )
+        simple_gp.covar_module.lengthscale = torch.tensor([1, 3, 5], **tkwargs)
         importances = get_feature_importances_from_botorch_model(simple_gp)
         self.assertTrue(np.allclose(importances, np.array([15 / 23, 5 / 23, 3 / 23])))
         self.assertEqual(importances.shape, (1, 1, 3))
-        # Model with no base kernel
-        simple_gp.covar_module.base_kernel = None
+        # Model with kernel that has no lengthscales
+        simple_gp.covar_module = ConstantKernel()
         with self.assertRaisesRegex(
             NotImplementedError,
-            "Failed to extract lengthscales from `m.covar_module.base_kernel`",
+            "Failed to extract lengthscales from `m.covar_module` and "
+            "`m.covar_module.base_kernel`",
         ):
             get_feature_importances_from_botorch_model(simple_gp)
 

ax/models/torch/botorch.py

@@ -562,15 +562,21 @@ def get_feature_importances_from_botorch_model(
     lengthscales = []
     for m in models:
         try:
-            ls = m.covar_module.base_kernel.lengthscale
+            # this can be a ModelList of a SAAS and STGP, so this is a necessary way
+            # to get the lengthscale
+            if hasattr(m.covar_module, "base_kernel"):
+                ls = m.covar_module.base_kernel.lengthscale
+            else:
+                ls = m.covar_module.lengthscale
         except AttributeError:
             ls = None
         if ls is None or ls.shape[-1] != m.train_inputs[0].shape[-1]:
             # TODO: We could potentially set the feature importances to NaN in this
             # case, but this require knowing the batch dimension of this model.
             # Consider supporting in the future.
             raise NotImplementedError(
-                "Failed to extract lengthscales from `m.covar_module.base_kernel`"
+                "Failed to extract lengthscales from `m.covar_module` "
+                "and `m.covar_module.base_kernel`"
             )
         if ls.ndim == 2:
             ls = ls.unsqueeze(0)

ax/models/torch/tests/test_model.py

@@ -634,8 +634,8 @@ def test_feature_importances(self) -> None:
                 self.assertEqual(importances.shape, (1, 1, 3))
                 saas_model = deepcopy(model.surrogate.model)
             else:
-                model.surrogate.model.covar_module.base_kernel.lengthscale = (
-                    torch.tensor([1, 2, 3], **self.tkwargs)
+                model.surrogate.model.covar_module.lengthscale = torch.tensor(
+                    [1, 2, 3], **self.tkwargs
                 )
                 importances = model.feature_importances()
                 self.assertTrue(
@@ -658,11 +658,12 @@ def test_feature_importances(self) -> None:
         )
         self.assertEqual(importances.shape, (2, 1, 3))
         # Add model we don't support
-        vanilla_model.covar_module.base_kernel = None
+        vanilla_model.covar_module = None
         model.surrogate._model = vanilla_model  # pyre-ignore
         with self.assertRaisesRegex(
             NotImplementedError,
-            "Failed to extract lengthscales from `m.covar_module.base_kernel`",
+            "Failed to extract lengthscales from `m.covar_module` "
+            "and `m.covar_module.base_kernel`",
         ):
             model.feature_importances()
         # Test model is None

ax/plot/tests/test_feature_importances.py

@@ -47,7 +47,10 @@ def get_sensitivity_values(ax_model: ModelBridge) -> Dict:
 
     Returns map {'metric_name': {'parameter_name': sensitivity_value}}
     """
-    ls = ax_model.model.model.covar_module.base_kernel.lengthscale.squeeze()
+    if hasattr(ax_model.model.model.covar_module, "outputscale"):
+        ls = ax_model.model.model.covar_module.base_kernel.lengthscale.squeeze()
+    else:
+        ls = ax_model.model.model.covar_module.lengthscale.squeeze()
     if len(ls.shape) > 1:
         ls = ls.mean(dim=0)
     # pyre-fixme[16]: `float` has no attribute `detach`.

ax/utils/sensitivity/derivative_gp.py

@@ -37,7 +37,12 @@ def get_KxX_dx(gp: Model, x: Tensor, kernel_type: str = "rbf") -> Tensor:
     D = X.shape[1]
     N = X.shape[0]
     n = x.shape[0]
-    lengthscale = gp.covar_module.base_kernel.lengthscale.detach()
+    if hasattr(gp.covar_module, "outputscale"):
+        lengthscale = gp.covar_module.base_kernel.lengthscale.detach()
+        sigma_f = gp.covar_module.outputscale.detach()
+    else:
+        lengthscale = gp.covar_module.lengthscale.detach()
+        sigma_f = 1.0
     if kernel_type == "rbf":
         K_xX = gp.covar_module(x, X).evaluate()
         part1 = -torch.eye(D, device=x.device, dtype=x.dtype) / lengthscale**2
@@ -52,7 +57,6 @@ def get_KxX_dx(gp: Model, x: Tensor, kernel_type: str = "rbf") -> Tensor:
     constant_component = (-5.0 / 3.0) * distance - (5.0 * math.sqrt(5.0) / 3.0) * (
         distance**2
     )
-    sigma_f = gp.covar_module.outputscale.detach()
     part1 = torch.eye(D, device=lengthscale.device) / lengthscale
     part2 = (x1_.view(n, 1, D) - x2_.view(1, N, D)) / distance.unsqueeze(2)
     total_k = sigma_f * constant_component * exp_component
@@ -70,8 +74,12 @@ def get_Kxx_dx2(gp: Model, kernel_type: str = "rbf") -> Tensor:
     """
     X = gp.train_inputs[0]
     D = X.shape[1]
-    lengthscale = gp.covar_module.base_kernel.lengthscale.detach()
-    sigma_f = gp.covar_module.outputscale.detach()
+    if hasattr(gp.covar_module, "outputscale"):
+        lengthscale = gp.covar_module.base_kernel.lengthscale.detach()
+        sigma_f = gp.covar_module.outputscale.detach()
+    else:
+        lengthscale = gp.covar_module.lengthscale.detach()
+        sigma_f = 1.0
     res = (torch.eye(D, device=lengthscale.device) / lengthscale**2) * sigma_f
     if kernel_type == "rbf":
         return res