import numpy as np from scipy.stats import norm, multivariate_normal import matplotlib.pyplot as plt class PreferenceExpectedImprovement: def __init__(self, nr_samples, nr_dims, nr_likelihood_samples, lower_bound, upper_bound, init_var, seed=None): self.nr_samples = int(nr_samples) self.nr_dims = nr_dims self.nr_likelihood_samples = int(nr_likelihood_samples) # check if upper_bound and lower_bound are numpy arrays of shape (nr_dims, 1) or (nr_dims,) or if they are float self.upper_bound = upper_bound self.lower_bound = lower_bound self.initial_variance = init_var self.proposal_mean = np.zeros((nr_dims, 1)) self.proposal_cov = np.diag(np.ones((nr_dims,)) * self.initial_variance) self.rng = np.random.default_rng(seed=seed) def rejection_sampling(self): samples = np.empty((0, self.nr_dims)) while samples.shape[0] < self.nr_samples: # sample from the multi variate gaussian distribution sample = np.zeros((1, self.nr_dims)) for i in range(self.nr_dims): check = False while not check: sample[0, i] = self.rng.normal(self.proposal_mean[i], self.proposal_cov[i, i]) if self.lower_bound <= sample[0, i] <= self.upper_bound: check = True samples = np.append(samples, sample, axis=0) # sample = self.rng.multivariate_normal( # mean, # self.proposal_cov # ) # # # check if the sample is within the bounds # if np.all(sample >= self.lower_bound) and np.all(sample <= self.upper_bound): # samples = np.append(samples, [sample], axis=0) return samples def expected_improvement(self, gp, X, kappa=0.01): X_sample = self.rejection_sampling() mu_sample, sigma_sample = gp.predict(X_sample, return_std=True) sigma_sample = sigma_sample.reshape(-1, 1) mu = gp.predict(X) mu_best = np.max(mu) with np.errstate(divide='warn'): imp = mu_sample - mu_best - kappa imp = imp.reshape(-1, 1) z = imp / sigma_sample ei = imp * norm.cdf(z) + sigma_sample * norm.pdf(z) ei[sigma_sample == 0.0] = 0.0 idx = np.argmax(ei) x_next = X_sample[idx, :] return x_next def likelihood(self, preference): covariance_diag = np.ones((self.nr_dims,)) * self.initial_variance covariance_diag[preference] = 0.05 covariance = np.diag(covariance_diag) return covariance def update_proposal_model(self, preference_mean, preference_bool): covariance_diag = np.ones((self.nr_dims,)) * self.initial_variance covariance_diag[preference_bool] = 0.05 preference_cov = np.diag(covariance_diag) preference_mean = preference_mean.reshape(-1, 1) posterior_mean = np.linalg.inv(np.linalg.inv(self.proposal_cov) + np.linalg.inv(preference_cov)).dot(np.linalg.inv(self.proposal_cov).dot(self.proposal_mean) + np.linalg.inv(preference_cov).dot(preference_mean)) posterior_cov = np.linalg.inv(np.linalg.inv(self.proposal_cov) + np.linalg.inv(preference_cov)) print(posterior_mean, posterior_cov) self.proposal_mean = posterior_mean self.proposal_cov = posterior_cov def plot_2D(self, mean, cov): print(mean.shape, cov.shape) if mean.shape == (2, 1): mean = mean.squeeze() gaussian = multivariate_normal(mean, cov) x = np.random.uniform(self.lower_bound, self.upper_bound, (self.nr_likelihood_samples, self.nr_dims)) pdf = gaussian.pdf(x) pdf = pdf / pdf.sum() plt.scatter(x[:, 0], x[:, 1], c=pdf, cmap='viridis') # Add a color bar plt.colorbar(label='PDF value') # Add labels plt.xlabel('x1') plt.ylabel('x2') # Show the plot plt.show() if __name__ == '__main__': # acquisition = PreferenceExpectedImprovement(10, 10, 10e4, -1.0, 1.0, 5.0) # sample_res = acquisition.rejection_sampling() # print(f"finished: {sample_res}") acquisition = PreferenceExpectedImprovement(10, 2, 10e4, -1.0, 1.0, 10.0) mean_ = np.array([0.5, 0.23]) preference_ = [False, True] likelihood_cov = acquisition.likelihood(preference_) acquisition.plot_2D(acquisition.proposal_mean, acquisition.proposal_cov) acquisition.plot_2D(mean_, likelihood_cov) acquisition.update_proposal_model(mean_, preference_) acquisition.plot_2D(acquisition.proposal_mean, acquisition.proposal_cov) mean2 = np.array([0.33, 0.24]) preference2 = [True, False] likelihood_cov2 = acquisition.likelihood(preference2) acquisition.plot_2D(mean2, likelihood_cov2) acquisition.update_proposal_model(mean2, preference2) acquisition.plot_2D(acquisition.proposal_mean, acquisition.proposal_cov) mean2 = np.array([-0.66, -0.5]) preference2 = [False, False] likelihood_cov2 = acquisition.likelihood(preference2) acquisition.plot_2D(mean2, likelihood_cov2) acquisition.update_proposal_model(mean2, preference2) acquisition.update_proposal_model(mean2, preference2) acquisition.update_proposal_model(mean2, preference2) acquisition.update_proposal_model(mean2, preference2) acquisition.update_proposal_model(mean2, preference2) acquisition.plot_2D(acquisition.proposal_mean, acquisition.proposal_cov)