feat: allow EI to be adjusted by epsilon to strengthen exploration (#154

)
mlr-org · Aug 13, 2024 · 2d99077 · 2d99077
1 parent b45f868
commit 2d99077
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Showing 8 changed files with 48 additions and 8 deletions.
diff --git a/DESCRIPTION b/DESCRIPTION
@@ -72,7 +72,7 @@ Config/testthat/edition: 3
 Config/testthat/parallel: false
 NeedsCompilation: yes
 Roxygen: list(markdown = TRUE, r6 = TRUE)
-RoxygenNote: 7.3.1
+RoxygenNote: 7.3.2
 Collate:
     'mlr_acqfunctions.R'
     'AcqFunction.R'

diff --git a/R/AcqFunctionCB.R b/R/AcqFunctionCB.R
@@ -76,8 +76,8 @@ AcqFunctionCB = R6Class("AcqFunctionCB",
       constants = list(...)
       lambda  = constants$lambda
       p = self$surrogate$predict(xdt)
-      res = p$mean - self$surrogate_max_to_min * lambda * p$se
-      data.table(acq_cb = res)
+      cb = p$mean - self$surrogate_max_to_min * lambda * p$se
+      data.table(acq_cb = cb)
     }
   )
 )

diff --git a/R/AcqFunctionEI.R b/R/AcqFunctionEI.R
@@ -9,6 +9,13 @@
 #' @description
 #' Expected Improvement.
 #'
+#' @section Parameters:
+#' * `"epsilon"` (`numeric(1)`)\cr
+#'   \eqn{\epsilon} value used to determine the amount of exploration.
+#'   Higher values result in the importance of improvements predicted by the posterior mean
+#'   decreasing relative to the importance of potential improvements in regions of high predictive uncertainty.
+#'   Defaults to `0` (standard Expected Improvement).
+#'
 #' @references
 #' * `r format_bib("jones_1998")`
 #'
@@ -60,9 +67,15 @@ AcqFunctionEI = R6Class("AcqFunctionEI",
     #' Creates a new instance of this [R6][R6::R6Class] class.
     #'
     #' @param surrogate (`NULL` | [SurrogateLearner]).
-    initialize = function(surrogate = NULL) {
+    #' @param epsilon (`numeric(1)`).
+    initialize = function(surrogate = NULL, epsilon = 0) {
       assert_r6(surrogate, "SurrogateLearner", null.ok = TRUE)
-      super$initialize("acq_ei", surrogate = surrogate, requires_predict_type_se = TRUE, direction = "maximize", label = "Expected Improvement", man = "mlr3mbo::mlr_acqfunctions_ei")
+      assert_number(epsilon, lower = 0, finite = TRUE)
+
+      constants = ps(epsilon = p_dbl(lower = 0, default = 0))
+      constants$values$epsilon = epsilon
+
+      super$initialize("acq_ei", constants = constants, surrogate = surrogate, requires_predict_type_se = TRUE, direction = "maximize", label = "Expected Improvement", man = "mlr3mbo::mlr_acqfunctions_ei")
     },
 
     #' @description
@@ -73,14 +86,16 @@ AcqFunctionEI = R6Class("AcqFunctionEI",
   ),
 
   private = list(
-    .fun = function(xdt) {
+    .fun = function(xdt, ...) {
       if (is.null(self$y_best)) {
         stop("$y_best is not set. Missed to call $update()?")
       }
+      constants = list(...)
+      epsilon = constants$epsilon
       p = self$surrogate$predict(xdt)
       mu = p$mean
       se = p$se
-      d = self$y_best - self$surrogate_max_to_min * mu
+      d = (self$y_best - self$surrogate_max_to_min * mu) - epsilon
       d_norm = d / se
       ei = d * pnorm(d_norm) + se * dnorm(d_norm)
       ei = ifelse(se < 1e-20, 0, ei)

diff --git a/man/mlr_acqfunctions_ei.Rd b/man/mlr_acqfunctions_ei.Rd
diff --git a/tests/testthat/test_AcqFunctionCB.R b/tests/testthat/test_AcqFunctionCB.R
@@ -12,6 +12,9 @@ test_that("AcqFunctionCB works", {
   expect_learner(acqf$surrogate$learner)
   expect_true(acqf$requires_predict_type_se)
 
+  expect_r6(acqf$constants, "ParamSet")
+  expect_equal(acqf$constants$ids(), "lambda")
+
   design = MAKE_DESIGN(inst)
   inst$eval_batch(design)
 

diff --git a/tests/testthat/test_AcqFunctionEHVIGH.R b/tests/testthat/test_AcqFunctionEHVIGH.R
@@ -15,6 +15,9 @@ test_that("AcqFunctionEHVIGH works", {
   expect_true(acqf$requires_predict_type_se)
   expect_setequal(acqf$packages, c("emoa", "fastGHQuad"))
 
+  expect_r6(acqf$constants, "ParamSet")
+  expect_equal(acqf$constants$ids(), c("k", "r"))
+
   design = MAKE_DESIGN(inst)
   inst$eval_batch(design)
 

diff --git a/tests/testthat/test_AcqFunctionEI.R b/tests/testthat/test_AcqFunctionEI.R
@@ -13,6 +13,9 @@ test_that("AcqFunctionEI works", {
   expect_learner(acqf$surrogate$learner)
   expect_true(acqf$requires_predict_type_se)
 
+  expect_r6(acqf$constants, "ParamSet")
+  expect_equal(acqf$constants$ids(), "epsilon")
+
   design = MAKE_DESIGN(inst)
   inst$eval_batch(design)
 

diff --git a/tests/testthat/test_AcqFunctionSmsEgo.R b/tests/testthat/test_AcqFunctionSmsEgo.R
@@ -12,6 +12,9 @@ test_that("AcqFunctionSmsEgo works", {
   expect_list(acqf$surrogate$learner, types = "Learner")
   expect_true(acqf$requires_predict_type_se)
 
+  expect_r6(acqf$constants, "ParamSet")
+  expect_equal(acqf$constants$ids(), c("lambda", "epsilon"))
+
   design = MAKE_DESIGN(inst)
   inst$eval_batch(design)