feat: add DistributionallyRobustSampler (ICML 2022)#362
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Rishabh-git10 wants to merge 4 commits intooptuna:mainfrom
Open
feat: add DistributionallyRobustSampler (ICML 2022)#362Rishabh-git10 wants to merge 4 commits intooptuna:mainfrom
Rishabh-git10 wants to merge 4 commits intooptuna:mainfrom
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Motivation
Resolves #75
Adds support for Bayesian Optimization with Distributionally Robust Chance Constraints (DRCC). Standard BO assumes known distributions for environmental variables. This sampler targets optimization in environments with uncertain/noisy variables where strict safety thresholds must be maintained, implementing the algorithm from "Bayesian Optimization for Distributionally Robust Chance-constrained Problem" (Imamura et al., ICML 2022).
Description of the changes
DistributionallyRobustSamplerundersamplers/distributionally_robust_bo.numpy, and chance constraints are evaluated viascipy.optimize.linprog(Highs solver), directly mirroring the authors' originallpSolvemethodology.Empirical Validation:

Note for reviewer: Benchmark compares this against
TPESampleron a noisy maximization problem subject to a safety threshold $h = -10$. TPE frequently violates the constraint due to environmental noise, whereas DRCC remains conservative and stabilizes safely above the threshold.TODO List towards PR Merge
./template/to create your package<COPYRIGHT HOLDER>inLICENSEof your package with your nameREADME.mdin your package__init__.pyfrom __future__ import annotationsat the head of any Python files that include typing to support older Python versionsREADME.mdREADME.md