53 lines
1.5 KiB
Python
53 lines
1.5 KiB
Python
import numpy as np
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from scipy.stats import norm
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class PreferenceExpectedImprovement:
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def __init__(self, nr_samples, nr_dims, lower_bound, upper_bound, seed=None):
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self.nr_samples = nr_samples
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self.nr_dims = nr_dims
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# check if upper_bound and lower_bound are numpy arrays of shape (nr_dims, 1) or (nr_dims,) or if they are floats
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self.upper_bound = upper_bound
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self.lower_bound = lower_bound
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self.user_model = None
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self.proposal_model_mean = np.array((nr_dims, 1))
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self.proposal_model_covariance = np.diag(np.ones((nr_dims, )) * 5)
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self.rng = np.random.default_rng(seed=seed)
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def initialize(self):
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pass
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def rejection_sampling(self):
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samples = np.empty((0, self.nr_dims))
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while samples.shape[0] < self.nr_samples:
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# sample from the multi variate gaussian distribution
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sample = self.rng.multivariate_normal(
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self.proposal_model_mean,
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self.proposal_model_covariance
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)
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# check if the sample is within the bounds
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if np.all(sample >= self.lower_bound) and np.all(sample <= self.upper_bound):
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samples = np.append(samples, [sample], axis=0)
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return samples
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def expected_improvement(self):
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pass
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def update_user_preference_model(self):
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pass
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def update_proposal_model(self):
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pass
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if __name__ == '__main__':
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acquisition = PreferenceExpectedImprovement(10, 2, -1.0, 1.0)
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