added more Acquisition functions

.idea/ActiveBOToytask.iml

@@ -7,4 +7,8 @@
     <orderEntry type="jdk" jdkName="Python 3.8 (venv)" jdkType="Python SDK" />
     <orderEntry type="sourceFolder" forTests="false" />
   </component>
+  <component name="PyDocumentationSettings">
+    <option name="format" value="PLAIN" />
+    <option name="myDocStringFormat" value="Plain" />
+  </component>
 </module>

AcquistionFunctions/ConfidenceBound.py

@@ -0,0 +1,14 @@
+import numpy as np
+from scipy.stats import norm
+
+def ConfidenceBound(gp, X, nr_test, nr_weights, lam=1.2, seed=None, lower=-1.0, upper=1.0):
+    y_hat = gp.predict(X)
+    best_y = max(y_hat)
+    rng = np.random.default_rng(seed=seed)
+    X_test = rng.uniform(lower, upper, (nr_test, nr_weights))
+    mu, sigma = gp.predict(X_test, return_std=True)
+    cb = mu + lam * sigma
+
+    idx = np.argmax(cb)
+    X_next = X_test[idx, :]
+    return X_next

AcquistionFunctions/ProbabilityOfImprovement.py

@@ -0,0 +1,15 @@
+import numpy as np
+from scipy.stats import norm
+
+def ProbabilityOfImprovement(gp, X, nr_test, nr_weights, kappa=2.576, seed=None, lower=-1.0, upper=1.0):
+    y_hat = gp.predict(X)
+    best_y = max(y_hat)
+    rng = np.random.default_rng(seed=seed)
+    X_test = rng.uniform(lower, upper, (nr_test, nr_weights))
+    mu, sigma = gp.predict(X_test, return_std=True)
+    z = (mu - best_y - kappa) / sigma
+    pi = norm.cdf(z)
+
+    idx = np.argmax(pi)
+    X_next = X_test[idx, :]
+    return X_next

BayesianOptimization/BOwithGym.py

@@ -4,26 +4,29 @@ from sklearn.gaussian_process.kernels import Matern
 
 from PolicyModel.GaussianModel import GaussianPolicy
 from AcquistionFunctions.ExpectedImprovement import ExpectedImprovement
+from AcquistionFunctions.ProbabilityOfImprovement import ProbabilityOfImprovement
+from AcquistionFunctions.ConfidenceBound import ConfidenceBound
+
+from ToyTask.MountainCarGym import Continuous_MountainCarEnv
 
-import gym
 import time
 
 import matplotlib.pyplot as plt
 
-from warnings import catch_warnings, simplefilter
 
 class BayesianOptimization:
-    def __init__(self, env, nr_step, nr_init=3, acq='ei', nr_weights=8, policy_seed=None):
+    def __init__(self, env, nr_step, nr_init=3, acq='ei', nr_weights=6, policy_seed=None):
         self.env = env
         self.nr_init = nr_init
         self.acq = acq
         self.X = None
         self.Y = None
+        self.counter_array = np.zeros((1, 1))
         self.gp = None
 
         self.episode = 0
         self.best_reward = np.empty((1, 1))
-        self.distance_penalty = 10
+        self.distance_penalty = 0
 
         self.nr_policy_weights = nr_weights
         self.nr_steps = nr_step
@@ -40,7 +43,8 @@ class BayesianOptimization:
 
     def initialize(self):
         self.env.reset()
-        self.env.render()
+        if self.env.render_mode == 'human':
+            self.env.render()
 
         self.X = np.zeros((self.nr_init, self.nr_policy_weights))
         self.Y = np.zeros((self.nr_init, 1))
@@ -50,7 +54,7 @@ class BayesianOptimization:
             self.X[i, :] = self.policy_model.weights.T
             policy = self.policy_model.policy_rollout()
 
-            reward = self.runner(policy)
+            reward, step_count = self.runner(policy)
 
             self.Y[i] = reward
 
@@ -66,16 +70,29 @@ class BayesianOptimization:
             output = self.env.step(action)
             env_reward += output[1]
             done = output[2]
-            time.sleep(0.0001)
+            if self.env.render_mode == 'human':
+                time.sleep(0.0001)
             step_count += 1
             if step_count >= self.nr_steps:
                 done = True
                 distance = -(self.env.goal_position - output[0][0])
                 env_reward += distance * self.distance_penalty
 
-        time.sleep(0.25)
+        if self.counter_array[0] == 0:
+
+            if step_count == 100:
+                step_count = np.NAN
+            self.counter_array[0] = step_count
+
+        else:
+            if step_count == 100:
+                step_count = np.NAN
+            self.counter_array = np.vstack((self.counter_array, step_count))
+
+        if self.env.render_mode == 'human':
+            time.sleep(0.25)
         self.env.reset()
-        return env_reward
+        return env_reward, step_count
 
     def next_observation(self):
         if self.acq == 'ei':
@@ -83,19 +100,44 @@ class BayesianOptimization:
                                          self.X,
                                          self.nr_test,
                                          self.nr_policy_weights,
+                                         kappa=0,
                                          seed=self.policy_seed,
                                          lower=self.lowerb,
                                          upper=self.upperb)
 
             return x_next
 
+        elif self.acq == 'pi':
+            x_next = ProbabilityOfImprovement(self.gp,
+                                              self.X,
+                                              self.nr_test,
+                                              self.nr_policy_weights,
+                                              kappa=0,
+                                              seed=self.policy_seed,
+                                              lower=self.lowerb,
+                                              upper=self.upperb)
+
+            return x_next
+
+        elif self.acq == 'cb':
+            x_next = ConfidenceBound(self.gp,
+                                     self.X,
+                                     self.nr_test,
+                                     self.nr_policy_weights,
+                                     lam=2.576,
+                                     seed=self.policy_seed,
+                                     lower=self.lowerb,
+                                     upper=self.upperb)
+
+            return x_next
+
         else:
             raise NotImplementedError
 
     def eval_new_observation(self, x_next):
         self.policy_model.weights = x_next
         policy = self.policy_model.policy_rollout()
-        reward = self.runner(policy)
+        reward, step_count = self.runner(policy)
 
         self.X = np.vstack((self.X, x_next))
         self.Y = np.vstack((self.Y, reward))
@@ -108,28 +150,58 @@ class BayesianOptimization:
             self.best_reward = np.vstack((self.best_reward, max(self.Y)))
 
         self.episode += 1
-        self.policy_model.plot_policy()
+        return step_count
 
     def plot_reward(self):
         epsiodes = np.linspace(0, self.episode, self.episode)
         plt.plot(epsiodes, self.best_reward)
+
         plt.show()
 
+    def plot_objective_function(self):
+        plt.scatter(self.X[:, 0], self.Y)
+
+        x_dom = np.linspace(self.lowerb * np.ones((1, 6)), self.upperb * np.ones((1, 6)), 100).reshape(-1, self.nr_policy_weights)
+        y_plot, y_sigma = self.gp.predict(x_dom, return_std=True)
+
+        y_plot = y_plot.reshape(-1)
+        y_sigma = y_sigma.reshape(-1)
+        print(y_plot.shape, x_dom.shape)
+
+        plt.plot(x_dom[:, 0], y_plot)
+        plt.fill_between(
+            x_dom[:, 0],
+            y_plot - 1.96 * y_sigma,
+            y_plot + 1.96 * y_sigma,
+            alpha=0.5
+        )
+        plt.show()
+
+    def get_best_result(self):
+        y_hat = self.gp.predict(self.X)
+        idx = np.argmax(y_hat)
+        x_max = self.X[idx, :]
+        self.policy_model.weights = x_max
+        self.policy_model.policy_rollout()
+        print(self.counter_array[idx], idx)
+        self.policy_model.plot_policy(finished=self.counter_array[idx])
 
 def main():
-    nr_steps = 80
-    env = gym.envs.make('MountainCarContinuous-v0', render_mode="human")
-    bo = BayesianOptimization(env, nr_steps)
+    nr_steps = 100
+    env = Continuous_MountainCarEnv()   # render_mode='human'
+    bo = BayesianOptimization(env, nr_steps, acq='ei')
     bo.initialize()
-    iteration_steps = 100
+    iteration_steps = 200
     for i in range(iteration_steps):
         x_next = bo.next_observation()
-        bo.eval_new_observation(x_next)
+        step_count = bo.eval_new_observation(x_next)
 
-        print(bo.episode, bo.best_reward[-1][0])
+        print(bo.episode, bo.best_reward[-1][0], step_count)
 
     bo.plot_reward()
-    bo.policy_model.plot_policy()
+    bo.get_best_result()
+    plt.show()
+
 
 if __name__ == "__main__":
     main()

PolicyModel/GaussianModel.py

@@ -35,14 +35,14 @@ class GaussianPolicy:
 
         return self.trajectory
 
-    def plot_policy(self):
+    def plot_policy(self, finished=np.NAN):
         x = np.linspace(0, self.nr_steps, self.nr_steps)
         plt.plot(x, self.trajectory)
-        for i in self.mean:
-            gaussian = np.exp(-0.5 * (x - i)**2 / self.std**2)
-            plt.plot(x, gaussian)
-
-        plt.show()
+        if finished != np.NAN:
+            plt.vlines(finished, -1, 1, colors='red')
+        # for i in self.mean:
+        #     gaussian = np.exp(-0.5 * (x - i)**2 / self.std**2)
+        #     plt.plot(x, gaussian)
 
 
 def main():

ToyTask/MountainCarGym.py

@@ -0,0 +1,301 @@
+"""
+@author: Olivier Sigaud
+
+A merge between two sources:
+
+* Adaptation of the MountainCar Environment from the "FAReinforcement" library
+of Jose Antonio Martin H. (version 1.0), adapted by  'Tom Schaul, tom@idsia.ch'
+and then modified by Arnaud de Broissia
+
+* the gym MountainCar environment
+itself from
+http://incompleteideas.net/sutton/MountainCar/MountainCar1.cp
+permalink: https://perma.cc/6Z2N-PFWC
+"""
+
+import math
+from typing import Optional
+
+import numpy as np
+
+import gym
+from gym import spaces
+from gym.envs.classic_control import utils
+from gym.error import DependencyNotInstalled
+
+
+class Continuous_MountainCarEnv(gym.Env):
+    """
+    ### Description
+
+    The Mountain Car MDP is a deterministic MDP that consists of a car placed stochastically
+    at the bottom of a sinusoidal valley, with the only possible actions being the accelerations
+    that can be applied to the car in either direction. The goal of the MDP is to strategically
+    accelerate the car to reach the goal state on top of the right hill. There are two versions
+    of the mountain car domain in gym: one with discrete actions and one with continuous.
+    This version is the one with continuous actions.
+
+    This MDP first appeared in [Andrew Moore's PhD Thesis (1990)](https://www.cl.cam.ac.uk/techreports/UCAM-CL-TR-209.pdf)
+
+    ```
+    @TECHREPORT{Moore90efficientmemory-based,
+        author = {Andrew William Moore},
+        title = {Efficient Memory-based Learning for Robot Control},
+        institution = {University of Cambridge},
+        year = {1990}
+    }
+    ```
+
+    ### Observation Space
+
+    The observation is a `ndarray` with shape `(2,)` where the elements correspond to the following:
+
+    | Num | Observation                          | Min  | Max | Unit         |
+    |-----|--------------------------------------|------|-----|--------------|
+    | 0   | position of the car along the x-axis | -Inf | Inf | position (m) |
+    | 1   | velocity of the car                  | -Inf | Inf | position (m) |
+
+    ### Action Space
+
+    The action is a `ndarray` with shape `(1,)`, representing the directional force applied on the car.
+    The action is clipped in the range `[-1,1]` and multiplied by a power of 0.0015.
+
+    ### Transition Dynamics:
+
+    Given an action, the mountain car follows the following transition dynamics:
+
+    *velocity<sub>t+1</sub> = velocity<sub>t+1</sub> + force * self.power - 0.0025 * cos(3 * position<sub>t</sub>)*
+
+    *position<sub>t+1</sub> = position<sub>t</sub> + velocity<sub>t+1</sub>*
+
+    where force is the action clipped to the range `[-1,1]` and power is a constant 0.0015.
+    The collisions at either end are inelastic with the velocity set to 0 upon collision with the wall.
+    The position is clipped to the range [-1.2, 0.6] and velocity is clipped to the range [-0.07, 0.07].
+
+    ### Reward
+
+    A negative reward of *-0.1 * action<sup>2</sup>* is received at each timestep to penalise for
+    taking actions of large magnitude. If the mountain car reaches the goal then a positive reward of +100
+    is added to the negative reward for that timestep.
+
+    ### Starting State
+
+    The position of the car is assigned a uniform random value in `[-0.6 , -0.4]`.
+    The starting velocity of the car is always assigned to 0.
+
+    ### Episode End
+
+    The episode ends if either of the following happens:
+    1. Termination: The position of the car is greater than or equal to 0.45 (the goal position on top of the right hill)
+    2. Truncation: The length of the episode is 999.
+
+    ### Arguments
+
+    ```
+    gym.make('MountainCarContinuous-v0')
+    ```
+
+    ### Version History
+
+    * v0: Initial versions release (1.0.0)
+    """
+
+    metadata = {
+        "render_modes": ["human", "rgb_array"],
+        "render_fps": 30,
+    }
+
+    def __init__(self, render_mode: Optional[str] = None, goal_velocity=0):
+        self.min_action = -1.0
+        self.max_action = 1.0
+        self.min_position = -1.2
+        self.max_position = 0.6
+        self.max_speed = 0.07
+        self.goal_position = (
+            0.45  # was 0.5 in gym, 0.45 in Arnaud de Broissia's version
+        )
+        self.goal_velocity = goal_velocity
+        self.power = 0.0015
+
+        self.low_state = np.array(
+            [self.min_position, -self.max_speed], dtype=np.float32
+        )
+        self.high_state = np.array(
+            [self.max_position, self.max_speed], dtype=np.float32
+        )
+
+        self.render_mode = render_mode
+
+        self.screen_width = 600
+        self.screen_height = 400
+        self.screen = None
+        self.clock = None
+        self.isopen = True
+
+        self.action_space = spaces.Box(
+            low=self.min_action, high=self.max_action, shape=(1,), dtype=np.float32
+        )
+        self.observation_space = spaces.Box(
+            low=self.low_state, high=self.high_state, dtype=np.float32
+        )
+
+    def step(self, action: np.ndarray):
+
+        position = self.state[0]
+        velocity = self.state[1]
+        force = min(max(action[0], self.min_action), self.max_action)
+
+        velocity += force * self.power - 0.0025 * math.cos(3 * position)
+        if velocity > self.max_speed:
+            velocity = self.max_speed
+        if velocity < -self.max_speed:
+            velocity = -self.max_speed
+        position += velocity
+        if position > self.max_position:
+            position = self.max_position
+        if position < self.min_position:
+            position = self.min_position
+        if position == self.min_position and velocity < 0:
+            velocity = 0
+
+        # Convert a possible numpy bool to a Python bool.
+        terminated = bool(
+            position >= self.goal_position and velocity >= self.goal_velocity
+        )
+
+        reward = 0
+        if terminated:
+            reward += 10
+        reward -= math.pow(action[0], 2) * 0.1
+        reward -= 1
+
+        self.state = np.array([position, velocity], dtype=np.float32)
+
+        if self.render_mode == "human":
+            self.render()
+        return self.state, reward, terminated, False, {}
+
+    def reset(self, *, seed: Optional[int] = None, options: Optional[dict] = None):
+        super().reset(seed=seed)
+        # Note that if you use custom reset bounds, it may lead to out-of-bound
+        # state/observations.
+        low, high = utils.maybe_parse_reset_bounds(options, -0.6, -0.4)
+        self.state = np.array([self.np_random.uniform(low=low, high=high), 0])
+
+        if self.render_mode == "human":
+            self.render()
+        return np.array(self.state, dtype=np.float32), {}
+
+    def _height(self, xs):
+        return np.sin(3 * xs) * 0.45 + 0.55
+
+    def render(self):
+        if self.render_mode is None:
+            gym.logger.warn(
+                "You are calling render method without specifying any render mode. "
+                "You can specify the render_mode at initialization, "
+                f'e.g. gym("{self.spec.id}", render_mode="rgb_array")'
+            )
+            return
+
+        try:
+            import pygame
+            from pygame import gfxdraw
+        except ImportError:
+            raise DependencyNotInstalled(
+                "pygame is not installed, run `pip install gym[classic_control]`"
+            )
+
+        if self.screen is None:
+            pygame.init()
+            if self.render_mode == "human":
+                pygame.display.init()
+                self.screen = pygame.display.set_mode(
+                    (self.screen_width, self.screen_height)
+                )
+            else:  # mode == "rgb_array":
+                self.screen = pygame.Surface((self.screen_width, self.screen_height))
+        if self.clock is None:
+            self.clock = pygame.time.Clock()
+
+        world_width = self.max_position - self.min_position
+        scale = self.screen_width / world_width
+        carwidth = 40
+        carheight = 20
+
+        self.surf = pygame.Surface((self.screen_width, self.screen_height))
+        self.surf.fill((255, 255, 255))
+
+        pos = self.state[0]
+
+        xs = np.linspace(self.min_position, self.max_position, 100)
+        ys = self._height(xs)
+        xys = list(zip((xs - self.min_position) * scale, ys * scale))
+
+        pygame.draw.aalines(self.surf, points=xys, closed=False, color=(0, 0, 0))
+
+        clearance = 10
+
+        l, r, t, b = -carwidth / 2, carwidth / 2, carheight, 0
+        coords = []
+        for c in [(l, b), (l, t), (r, t), (r, b)]:
+            c = pygame.math.Vector2(c).rotate_rad(math.cos(3 * pos))
+            coords.append(
+                (
+                    c[0] + (pos - self.min_position) * scale,
+                    c[1] + clearance + self._height(pos) * scale,
+                )
+            )
+
+        gfxdraw.aapolygon(self.surf, coords, (0, 0, 0))
+        gfxdraw.filled_polygon(self.surf, coords, (0, 0, 0))
+
+        for c in [(carwidth / 4, 0), (-carwidth / 4, 0)]:
+            c = pygame.math.Vector2(c).rotate_rad(math.cos(3 * pos))
+            wheel = (
+                int(c[0] + (pos - self.min_position) * scale),
+                int(c[1] + clearance + self._height(pos) * scale),
+            )
+
+            gfxdraw.aacircle(
+                self.surf, wheel[0], wheel[1], int(carheight / 2.5), (128, 128, 128)
+            )
+            gfxdraw.filled_circle(
+                self.surf, wheel[0], wheel[1], int(carheight / 2.5), (128, 128, 128)
+            )
+
+        flagx = int((self.goal_position - self.min_position) * scale)
+        flagy1 = int(self._height(self.goal_position) * scale)
+        flagy2 = flagy1 + 50
+        gfxdraw.vline(self.surf, flagx, flagy1, flagy2, (0, 0, 0))
+
+        gfxdraw.aapolygon(
+            self.surf,
+            [(flagx, flagy2), (flagx, flagy2 - 10), (flagx + 25, flagy2 - 5)],
+            (204, 204, 0),
+        )
+        gfxdraw.filled_polygon(
+            self.surf,
+            [(flagx, flagy2), (flagx, flagy2 - 10), (flagx + 25, flagy2 - 5)],
+            (204, 204, 0),
+        )
+
+        self.surf = pygame.transform.flip(self.surf, False, True)
+        self.screen.blit(self.surf, (0, 0))
+        if self.render_mode == "human":
+            pygame.event.pump()
+            self.clock.tick(self.metadata["render_fps"])
+            pygame.display.flip()
+
+        elif self.render_mode == "rgb_array":
+            return np.transpose(
+                np.array(pygame.surfarray.pixels3d(self.screen)), axes=(1, 0, 2)
+            )
+
+    def close(self):
+        if self.screen is not None:
+            import pygame
+
+            pygame.display.quit()
+            pygame.quit()
+            self.isopen = False