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from __future__ import annotations
import math
import gpytorch.distributions
import numpy as np
from typing import Any
from typing import cast
from typing import Optional
import scipy
import gpytorch
import torch
_EPS = 1e-8
_MEAN_MAX = 1e32
_SIGMA_MAX = 1e32
class SafeCMA:
"""Safe CMA-ES stochastic optimizer class with ask-and-tell interface.
Example:
.. code::
import numpy as np
from cmaes import SafeCMA
# number of dimensions
dim = 5
# objective function
def quadratic(x):
coef = 1000 ** (np.arange(dim) / float(dim - 1))
return np.sum((x * coef) ** 2)
# safety function
def safe_function(x):
return x[0]
# safe seeds
safe_seeds_num = 10
safe_seeds = (np.random.rand(safe_seeds_num, dim) * 2 - 1) * 5
safe_seeds[:, 0] = - np.abs(safe_seeds[:, 0])
# evaluation of safe seeds (with a single safety function)
seeds_evals = np.array([quadratic(x) for x in safe_seeds])
seeds_safe_evals = np.stack([[safe_function(x)] for x in safe_seeds])
safety_threshold = np.array([0])
# optimizer (safe CMA-ES)
optimizer = SafeCMA(
sigma=1.,
safety_threshold=safety_threshold,
safe_seeds=safe_seeds,
seeds_evals=seeds_evals,
seeds_safe_evals=seeds_safe_evals,
)
unsafe_eval_counts = 0
best_eval = np.inf
for generation in range(400):
solutions = []
for _ in range(optimizer.population_size):
# Ask a parameter
x = optimizer.ask()
value = quadratic(x)
safe_value = np.array([safe_function(x)])
# save best eval
best_eval = np.min((best_eval, value))
unsafe_eval_counts += (safe_value > safety_threshold)
solutions.append((x, value, safe_value))
# Tell evaluation values.
optimizer.tell(solutions)
print(f"#{generation} ({best_eval} {unsafe_eval_counts})")
if optimizer.should_stop():
break
Args:
safe_seeds:
Solutions whose safe function values are above the safety thresholds.
Safe CMA-ES uses the safe seed with the best evaluation value as
the initial mean vector of multi-variate Gaussian distributions.
seeds_evals:
Evaluation values of safe seeds on the objective function.
seeds_safe_evals:
Evaluation values of safe seeds on the safe functions.
safety_threshold:
Safety thresholds for each safe functions.
sigma:
Initial standard deviation of covariance matrix.
Safe CMA-ES modifies sigma when more than two safe seeds are given.
bounds:
Lower and upper domain boundaries for each parameter (optional).
n_max_resampling:
A maximum number of resampling parameters (default: 100).
If all sampled parameters are infeasible, the last sampled one
will be clipped with lower and upper bounds.
seed:
A seed number (optional).
population_size:
A population size (optional).
cov:
A covariance matrix (optional).
"""
# Paper: https://arxiv.org/abs/2405.10534
def __init__(
self,
safe_seeds: np.ndarray,
seeds_evals: np.ndarray,
seeds_safe_evals: np.ndarray,
safety_threshold: np.ndarray,
sigma: float,
bounds: Optional[np.ndarray] = None,
n_max_resampling: int = 100,
seed: Optional[int] = None,
population_size: Optional[int] = None,
cov: Optional[np.ndarray] = None,
):
# safety threshold
self.safety_threshold = safety_threshold
self.safety_func_num = len(safety_threshold)
# safe seeds
self.safe_seeds = safe_seeds
self.seeds_evals = seeds_evals
self.seeds_safe_evals = seeds_safe_evals
n_dim = len(safe_seeds[0])
assert n_dim > 1, "The dimension of mean must be larger than 1"
if population_size is None:
population_size = 4 + math.floor(3 * math.log(n_dim))
assert population_size > 0, "popsize must be non-zero positive value."
mu = population_size // 2
# hyperparameters for safe CMAES
self.kernel = gpytorch.kernels.RBFKernel()
self.kernel.lengthscale = 8.0 * n_dim
self.lip_penalty_coef = 1.0
self.lip_penalty_inc_rate = 10 # alpha
self.lip_penalty_dec_rate = self.lip_penalty_inc_rate ** (1.0 / n_dim)
self.lip_ite = 5 # T_data
self.sample_num_lip = population_size * self.lip_ite
self.sample_log_num = population_size * self.lip_ite
self.init_L_base = 10 # zeta_init
self.init_L = 100
self.gamma = 0.9
# log for safe CMAES
self.sampled_points = safe_seeds.copy()
self.sampled_safe_evals = seeds_safe_evals.copy()
# safe CMA-ES do not use negative weights
weights_prime = np.array(
np.log((population_size + 1) / 2) - np.log(np.arange(population_size) + 1)
)
weights_prime[weights_prime < 0] = 0
mu_eff = (np.sum(weights_prime[:mu]) ** 2) / np.sum(weights_prime[:mu] ** 2)
weights = weights_prime / weights_prime.sum()
# learning rate for the rank-one update
alpha_cov = 2
c1 = alpha_cov / ((n_dim + 1.3) ** 2 + mu_eff)
# learning rate for the rank-μ update
cmu = min(
1 - c1 - 1e-8, # 1e-8 is for large popsize.
alpha_cov
* (mu_eff - 2 + 1 / mu_eff)
/ ((n_dim + 2) ** 2 + alpha_cov * mu_eff / 2),
)
assert c1 <= 1 - cmu, "invalid learning rate for the rank-one update"
assert cmu <= 1 - c1, "invalid learning rate for the rank-μ update"
cm = 1
# learning rate for the cumulation for the step-size control
c_sigma = (mu_eff + 2) / (n_dim + mu_eff + 5)
d_sigma = 1 + 2 * max(0, math.sqrt((mu_eff - 1) / (n_dim + 1)) - 1) + c_sigma
assert (
c_sigma < 1
), "invalid learning rate for cumulation for the step-size control"
# learning rate for cumulation for the rank-one update
cc = (4 + mu_eff / n_dim) / (n_dim + 4 + 2 * mu_eff / n_dim)
assert cc <= 1, "invalid learning rate for cumulation for the rank-one update"
self._n_dim = n_dim
self._popsize = population_size
self._mu = mu
self._mu_eff = mu_eff
self._cc = cc
self._c1 = c1
self._cmu = cmu
self._c_sigma = c_sigma
self._d_sigma = d_sigma
self._cm = cm
# E||N(0, I)||
self._chi_n = math.sqrt(self._n_dim) * (
1.0 - (1.0 / (4.0 * self._n_dim)) + 1.0 / (21.0 * (self._n_dim**2))
)
self._weights = weights
# evolution path
self._p_sigma = np.zeros(n_dim)
self._pc = np.zeros(n_dim)
if cov is None:
self._C = np.eye(n_dim)
else:
assert cov.shape == (n_dim, n_dim), "Invalid shape of covariance matrix"
self._C = cov
self._D: Optional[np.ndarray] = None
self._B: Optional[np.ndarray] = None
self._rng = np.random.RandomState(seed)
# initial distribution parameter
self._sigma = sigma
mean, sigma = self._init_distribution(sigma)
assert sigma > 0, "sigma must be non-zero positive value"
assert np.all(
np.abs(mean) < _MEAN_MAX
), f"Abs of all elements of mean vector must be less than {_MEAN_MAX}"
self._mean = mean.copy()
self._sigma = sigma
# bounds contains low and high of each parameter.
assert bounds is None or _is_valid_bounds(bounds, mean), "invalid bounds"
self._bounds = bounds
self._n_max_resampling = n_max_resampling
self._g = 0
# Termination criteria
self._tolx = 1e-12 * sigma
self._tolxup = 1e4
self._tolfun = 1e-12
self._tolconditioncov = 1e14
self._funhist_term = 10 + math.ceil(30 * n_dim / population_size)
self._funhist_values = np.empty(self._funhist_term * 2)
def _compute_lipschitz_constant(self) -> np.ndarray:
likelihood = gpytorch.likelihoods.GaussianLikelihood(
noise_constraint=gpytorch.constraints.GreaterThan(0)
)
likelihood.noise = 0
B, D = self._eigen_decomposition()
invSqrtC = cast(np.ndarray, B.dot(np.diag(1 / D)).dot(B.T))
num_data = int(np.min((len(self.sampled_safe_evals), self.sample_num_lip)))
prev_x = self.sampled_points[-num_data:]
z_points = (prev_x - self._mean).dot(invSqrtC) / self._sigma
target_safe_evals = self.sampled_safe_evals[-num_data:]
evals_mean = np.mean(target_safe_evals, axis=0)
evals_std = np.std(target_safe_evals, axis=0)
modified_evals = (target_safe_evals - evals_mean) / evals_std
# function that returns the negative norm of gradient
def df(x: np.ndarray, model: ExactGPModel) -> torch.Tensor:
out_scalar = x.ndim == 1
x = np.atleast_2d(x)
grad_norm = torch.zeros(len(x))
X = torch.autograd.Variable(
torch.Tensor(np.atleast_2d(x)), requires_grad=True
)
mean = likelihood(model(X)).mean
dxdmean = torch.autograd.grad(mean.sum(), X)[0]
grad_norm = torch.sqrt(torch.sum(dxdmean * dxdmean, dim=1))
if out_scalar:
grad_norm = grad_norm.mean().to(torch.float64)
return -grad_norm
def elementwise_df(i: int) -> float:
samples = self._rng.randn(self.sample_num_lip, self._n_dim)
samples = np.concatenate([samples, z_points], axis=0)
model = ExactGPModel(
z_points, modified_evals[:, i], likelihood, self.kernel
)
try:
pred_samples = df(samples, model) * evals_std[i]
except Exception:
# if fail to optimize
return self.lipschitz_constant[i]
if np.isnan(pred_samples).any():
return self.lipschitz_constant[i]
x0 = samples[np.argmin(pred_samples)]
try:
bounds = np.tile([-3, 3], (self._n_dim, 1))
res = scipy.optimize.minimize(
df,
x0,
method="L-BFGS-B",
bounds=bounds,
args=(model),
options={"maxiter": 200},
)
result_value = res.fun * evals_std[i]
if not np.isnan(result_value):
return -float(result_value)
else:
return -np.min(pred_samples)
except Exception:
# if fail to optimize
return -np.min(pred_samples)
return np.array([elementwise_df(i) for i in range(self.safety_func_num)])
def __getstate__(self) -> dict[str, Any]:
attrs = {}
for name in self.__dict__:
# Remove _rng in pickle serialized object.
if name == "_rng":
continue
if name == "_C":
sym1d = _compress_symmetric(self._C)
attrs["_c_1d"] = sym1d
continue
attrs[name] = getattr(self, name)
return attrs
def __setstate__(self, state: dict[str, Any]) -> None:
state["_C"] = _decompress_symmetric(state["_c_1d"])
del state["_c_1d"]
self.__dict__.update(state)
# Set _rng for unpickled object.
setattr(self, "_rng", np.random.RandomState())
@property
def dim(self) -> int:
"""A number of dimensions"""
return self._n_dim
@property
def population_size(self) -> int:
"""A population size"""
return self._popsize
@property
def generation(self) -> int:
"""Generation number which is monotonically incremented
when multi-variate gaussian distribution is updated."""
return self._g
@property
def mean(self) -> np.ndarray:
"""Mean Vector"""
return self._mean
def reseed_rng(self, seed: int) -> None:
self._rng.seed(seed)
def set_bounds(self, bounds: Optional[np.ndarray]) -> None:
"""Update boundary constraints"""
assert bounds is None or _is_valid_bounds(bounds, self._mean), "invalid bounds"
self._bounds = bounds
def _init_distribution(self, sigma: float) -> tuple[np.ndarray, float]:
# set initial mean vector
best_seed_id = np.argmin(self.seeds_evals)
mean = self.safe_seeds[best_seed_id]
self._mean = mean.copy() # (eq. 26)
# set initial step-size
if len(self.sampled_points) > 1:
lip = self._compute_lipschitz_constant()
if len(self.sampled_safe_evals) < self.sample_num_lip:
exponent = 1 / len(self.sampled_safe_evals)
lip = lip * (self.init_L_base**exponent)
lip = np.clip(lip, self.init_L, None)
else:
lip = np.ones(self.safety_func_num) * self.init_L
self.lipschitz_constant = lip
slack = self.safety_threshold - self.seeds_safe_evals[best_seed_id]
delta = np.min((slack) / self.lipschitz_constant)
gauss_tr = np.sqrt(scipy.stats.chi2.ppf(self.gamma, df=self._n_dim))
sigma = sigma * np.min((delta / gauss_tr, 1)) # (eq. 27)
return mean, sigma
def ask(self) -> np.ndarray:
"""Sample a parameter"""
for i in range(self._n_max_resampling):
x = self._sample_solution()
if self._is_feasible(x):
return x
x = self._sample_solution()
x = self._repair_infeasible_params(x)
return x
def _eigen_decomposition(self) -> tuple[np.ndarray, np.ndarray]:
if self._B is not None and self._D is not None:
return self._B, self._D
self._C = (self._C + self._C.T) / 2
D2, B = np.linalg.eigh(self._C)
D = np.sqrt(np.where(D2 < 0, _EPS, D2))
self._C = np.dot(np.dot(B, np.diag(D**2)), B.T)
self._B, self._D = B, D
return B, D
def _sample_solution(self) -> np.ndarray:
B, D = self._eigen_decomposition()
z = self._rng.randn(self._n_dim) # ~ N(0, I)
invSqrtC = cast(np.ndarray, B.dot(np.diag(1 / D)).dot(B.T))
if self.sampled_safe_evals is not None:
log_num = np.min([self.sample_log_num, len(self.sampled_points)])
prev_x = self.sampled_points[-log_num:]
prev_safe_evals = self.sampled_safe_evals[-log_num:]
sampled_z_points = (prev_x - self._mean).dot(invSqrtC) / self._sigma
# radius: radius of trust region around evaluated points
slack = self.safety_threshold[:, None, None] - prev_safe_evals[None, :, :]
radius = np.min(
slack / self.lipschitz_constant[:, None, None], axis=(0, 2)
) # (eq.13)
radius[radius < 0] = -np.inf
# dist: distance between current samples and evaluated points
dist = np.sqrt(((z[None, :] - sampled_z_points) ** 2).sum(axis=1))
invalid_dist = np.clip(np.min(dist[None, :] - radius), 0, np.inf)
argmin_sample_id = np.argmin(dist[None, :] - radius)
closest_z_sample = sampled_z_points[argmin_sample_id]
ratio = invalid_dist / dist[argmin_sample_id]
z = (1 - ratio) * z + ratio * closest_z_sample # (eq.15)
y = cast(np.ndarray, B.dot(np.diag(D)).dot(B.T)).dot(z) # ~ N(0, C)
x = self._mean + self._sigma * y # ~ N(m, σ^2 C)
return x
def _is_feasible(self, param: np.ndarray) -> bool:
if self._bounds is None:
return True
return cast(
bool,
np.all(param >= self._bounds[:, 0]) and np.all(param <= self._bounds[:, 1]),
) # Cast bool_ to bool.
def _repair_infeasible_params(self, param: np.ndarray) -> np.ndarray:
if self._bounds is None:
return param
# clip with lower and upper bound.
param = np.where(param < self._bounds[:, 0], self._bounds[:, 0], param)
param = np.where(param > self._bounds[:, 1], self._bounds[:, 1], param)
return param
def tell(self, solutions: list[tuple[np.ndarray, float, float]]) -> None:
self._naive_cma_update(solutions)
X = np.stack([s[0] for s in solutions])
safe_evals = np.array([s[2] for s in solutions])
self._add_evaluated_point(X, safe_evals)
self.lipschitz_constant = self._compute_lipschitz_constant() # (eq.19)
if len(self.sampled_safe_evals) < self.sample_num_lip:
exponent = 1 / len(self.sampled_safe_evals) # (eq.22)
self.lipschitz_constant *= self.init_L_base**exponent
inv_num = float(np.sum(safe_evals > self.safety_threshold))
if inv_num > 0:
self.lip_penalty_coef *= self.lip_penalty_inc_rate ** (
inv_num / self._popsize
)
else:
self.lip_penalty_coef /= self.lip_penalty_dec_rate
self.lip_penalty_coef = np.max((self.lip_penalty_coef, 1))
self.lipschitz_constant *= self.lip_penalty_coef # (eq.24)
def _add_evaluated_point(self, X: np.ndarray, safe_evals: np.ndarray) -> None:
self.sampled_points = np.concatenate([self.sampled_points, X], axis=0)
self.sampled_safe_evals = np.vstack([self.sampled_safe_evals, safe_evals])
def _naive_cma_update(
self, solutions: list[tuple[np.ndarray, float, float]]
) -> None:
"""Tell evaluation values"""
assert len(solutions) == self._popsize, "Must tell popsize-length solutions."
for s in solutions:
assert np.all(
np.abs(s[0]) < _MEAN_MAX
), f"Abs of all param values must be less than {_MEAN_MAX} to avoid overflow errors"
self._g += 1
solutions.sort(key=lambda s: s[1])
# Stores 'best' and 'worst' values of the
# last 'self._funhist_term' generations.
funhist_idx = 2 * (self.generation % self._funhist_term)
self._funhist_values[funhist_idx] = solutions[0][1]
self._funhist_values[funhist_idx + 1] = solutions[-1][1]
# Sample new population of search_points, for k=1, ..., popsize
B, D = self._eigen_decomposition()
self._B, self._D = None, None
x_k = np.array([s[0] for s in solutions]) # ~ N(m, σ^2 C)
y_k = (x_k - self._mean) / self._sigma # ~ N(0, C)
# Selection and recombination
y_w = np.sum(y_k[: self._mu].T * self._weights[: self._mu], axis=1)
self._mean += self._cm * self._sigma * y_w # (eq.7)
# Step-size control
C_2 = cast(
np.ndarray, cast(np.ndarray, B.dot(np.diag(1 / D))).dot(B.T)
) # C^(-1/2) = B D^(-1) B^T
self._p_sigma = (1 - self._c_sigma) * self._p_sigma + math.sqrt(
self._c_sigma * (2 - self._c_sigma) * self._mu_eff
) * C_2.dot(y_w)
norm_p_sigma = np.linalg.norm(self._p_sigma)
self._sigma *= np.exp(
(self._c_sigma / self._d_sigma) * (norm_p_sigma / self._chi_n - 1)
) # (eq.8)
self._sigma = min(self._sigma, _SIGMA_MAX)
# Covariance matrix adaption
h_sigma_cond_left = norm_p_sigma / math.sqrt(
1 - (1 - self._c_sigma) ** (2 * (self._g + 1))
)
h_sigma_cond_right = (1.4 + 2 / (self._n_dim + 1)) * self._chi_n
h_sigma = 1.0 if h_sigma_cond_left < h_sigma_cond_right else 0.0
self._pc = (1 - self._cc) * self._pc + h_sigma * math.sqrt(
self._cc * (2 - self._cc) * self._mu_eff
) * y_w
rank_one = np.outer(self._pc, self._pc)
rank_mu = np.sum(
np.array([w * np.outer(y, y) for w, y in zip(self._weights, y_k)]), axis=0
)
delta_h_sigma = (1 - h_sigma) * self._cc * (2 - self._cc)
assert delta_h_sigma <= 1
self._C = (
(
1
+ self._c1 * delta_h_sigma
- self._c1
- self._cmu * np.sum(self._weights)
)
* self._C
+ self._c1 * rank_one
+ self._cmu * rank_mu
) # (eq.9)
def should_stop(self) -> bool:
B, D = self._eigen_decomposition()
dC = np.diag(self._C)
# Stop if the range of function values of the recent generation is below tolfun.
if (
self.generation > self._funhist_term
and np.max(self._funhist_values) - np.min(self._funhist_values)
< self._tolfun
):
return True
# Stop if the std of the normal distribution is smaller than tolx
# in all coordinates and pc is smaller than tolx in all components.
if np.all(self._sigma * dC < self._tolx) and np.all(
self._sigma * self._pc < self._tolx
):
return True
# Stop if detecting divergent behavior.
if self._sigma * np.max(D) > self._tolxup:
return True
# No effect coordinates: stop if adding 0.2-standard deviations
# in any single coordinate does not change m.
if np.any(self._mean == self._mean + (0.2 * self._sigma * np.sqrt(dC))):
return True
# No effect axis: stop if adding 0.1-standard deviation vector in
# any principal axis direction of C does not change m. "pycma" check
# axis one by one at each generation.
i = self.generation % self.dim
if np.all(self._mean == self._mean + (0.1 * self._sigma * D[i] * B[:, i])):
return True
# Stop if the condition number of the covariance matrix exceeds 1e14.
condition_cov = np.max(D) / np.min(D)
if condition_cov > self._tolconditioncov:
return True
return False
def _is_valid_bounds(bounds: Optional[np.ndarray], mean: np.ndarray) -> bool:
if bounds is None:
return True
if (mean.size, 2) != bounds.shape:
return False
if not np.all(bounds[:, 0] <= mean):
return False
if not np.all(mean <= bounds[:, 1]):
return False
return True
def _compress_symmetric(sym2d: np.ndarray) -> np.ndarray:
assert len(sym2d.shape) == 2 and sym2d.shape[0] == sym2d.shape[1]
n = sym2d.shape[0]
dim = (n * (n + 1)) // 2
sym1d = np.zeros(dim)
start = 0
for i in range(n):
sym1d[start : start + n - i] = sym2d[i][i:] # noqa: E203
start += n - i
return sym1d
def _decompress_symmetric(sym1d: np.ndarray) -> np.ndarray:
n = int(np.sqrt(sym1d.size * 2))
assert (n * (n + 1)) // 2 == sym1d.size
R, C = np.triu_indices(n)
out = np.zeros((n, n), dtype=sym1d.dtype)
out[R, C] = sym1d
out[C, R] = sym1d
return out
class ExactGPModel(gpytorch.models.ExactGP):
def __init__(
self,
train_x: np.ndarray,
train_y: np.ndarray,
likelihood: gpytorch.likelihoods.Likelihood,
kernel: gpytorch.kernels.Kernel,
) -> None:
super(ExactGPModel, self).__init__(
torch.from_numpy(train_x), torch.from_numpy(train_y), likelihood
)
self.mean_module = gpytorch.means.ConstantMean()
self.covar_module = kernel
self.eval()
likelihood.eval()
def forward(self, x: torch.Tensor) -> gpytorch.distributions.Distribution:
mean_x = self.mean_module(x)
covar_x = self.covar_module(x)
return gpytorch.distributions.MultivariateNormal(mean_x, covar_x)
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