Acquisition Function Wrapping Multiple Acquisition Functions

Wrapping multiple AcqFunctions resulting in a multi-objective acquisition function composed of the individual ones. Note that the optimization direction of each wrapped acquisition function is corrected for maximization.

For each acquisition function, the same Surrogate must be used. If acquisition functions passed during construction already have been initialized with a surrogate, it is checked whether the surrogate is the same for all acquisition functions. If acquisition functions have not been initialized with a surrogate, the surrogate passed during construction or lazy initialization will be used for all acquisition functions.

For optimization, AcqOptimizer can be used as for any other AcqFunction, however, the bbotk::OptimizerBatch wrapped within the AcqOptimizer must support multi-objective optimization as indicated via the multi-crit property.

Dictionary

This AcqFunction can be instantiated via the dictionary mlr_acqfunctions or with the associated sugar function acqf():

mlr_acqfunctions$get("multi")
acqf("multi")

See also

Other Acquisition Function: AcqFunction, mlr_acqfunctions, mlr_acqfunctions_aei, mlr_acqfunctions_cb, mlr_acqfunctions_ehvi, mlr_acqfunctions_ehvigh, mlr_acqfunctions_ei, mlr_acqfunctions_eips, mlr_acqfunctions_mean, mlr_acqfunctions_pi, mlr_acqfunctions_sd, mlr_acqfunctions_smsego, mlr_acqfunctions_stochastic_cb, mlr_acqfunctions_stochastic_ei

Super classes

bbotk::Objective -> mlr3mbo::AcqFunction -> AcqFunctionMulti

Active bindings

surrogate

(Surrogate)
Surrogate.

acq_functions

(list of AcqFunction)
Points to the list of the individual acquisition functions.

acq_function_ids

(character())
Points to the ids of the individual acquisition functions.

Methods

Public methods

• AcqFunctionMulti$new()

• AcqFunctionMulti$update()

• AcqFunctionMulti$clone()

Inherited methods

• bbotk::Objective$eval()
• bbotk::Objective$format()
• bbotk::Objective$help()
• bbotk::Objective$print()
• mlr3mbo::AcqFunction$eval_dt()
• mlr3mbo::AcqFunction$eval_many()
• mlr3mbo::AcqFunction$reset()

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Method new()

Creates a new instance of this R6 class.

Usage

AcqFunctionMulti$new(acq_functions, surrogate = NULL)

Arguments

acq_functions

(list of AcqFunctions).

surrogate

(NULL | Surrogate).

---

Method update()

Update each of the wrapped acquisition functions.

Usage

AcqFunctionMulti$update()

---

Method clone()

The objects of this class are cloneable with this method.

Usage

AcqFunctionMulti$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.

Examples

if (requireNamespace("mlr3learners") &
    requireNamespace("DiceKriging") &
    requireNamespace("rgenoud")) {
  library(bbotk)
  library(paradox)
  library(mlr3learners)
  library(data.table)

  fun = function(xs) {
    list(y = xs$x ^ 2)
  }
  domain = ps(x = p_dbl(lower = -10, upper = 10))
  codomain = ps(y = p_dbl(tags = "minimize"))
  objective = ObjectiveRFun$new(fun = fun, domain = domain, codomain = codomain)

  instance = OptimInstanceBatchSingleCrit$new(
    objective = objective,
    terminator = trm("evals", n_evals = 5))

  instance$eval_batch(data.table(x = c(-6, -5, 3, 9)))

  learner = default_gp()

  surrogate = srlrn(learner, archive = instance$archive)

  acq_function = acqf("multi",
    acq_functions = acqfs(c("ei", "pi", "cb")),
    surrogate = surrogate
  )

  acq_function$surrogate$update()
  acq_function$update()
  acq_function$eval_dt(data.table(x = c(-1, 0, 1)))
}
#>      acq_ei    acq_pi   acq_cb
#>       <num>     <num>    <num>
#> 1: 4.400964 0.2666736 28.30071
#> 2: 4.864368 0.2939486 29.30224
#> 3: 5.296907 0.3509359 27.23262