Support constrained and multi-objective functions?

[jmren168]

Hi there,

I'm new to this library, and would like to know if emukit supports to constrained and multi-objective functions. Hope anyone could help to answer my problem. Any comments are highly appreciated.

[apaleyes]

Hi, thanks for the interest.

In terms of constrained functions, Emukit supports both constraints of the input space (see https://github.com/amzn/emukit/blob/master/emukit/core/constraints.py) and acquisition constraints (see https://github.com/amzn/emukit/blob/master/emukit/bayesian_optimization/acquisitions/probability_of_feasibility.py)

As far as multi-objective goes, we haven't implemented anything yet. But it should be very straightforward to extend emukit for this use case. And we always welcome PRs!

[CuriousSingularity]

@jmren168 were you able to get the multi-objective going? Or did you find any other library which is cable of multi-objective optimization? Any hints would you really useful. Thank you.

[DavidWalz]

@CuriousSingularity BoTorch has a flexible support for multiobjective optimization https://github.com/pytorch/botorch.