Internal Change

vizier/_src/algorithms/designers/gp/gp_models.py

@@ -277,13 +277,14 @@ def train_gp(
   """Trains a Gaussian Process model.
 
   If `spec` contains multiple elements, each will be used to train a
-  `StackedResidualGP`, sequentially. The last entry will be used to train the
+  `StackedResidualGP`, sequentially. The first entry will be used to train the
   first GP, and then subsequent GPs will be trained on the residuals from the
-  previous GP. This process completes in reverse order, such that `spec[-1]` is
-  the first GP trained and `spec[0]` is the last GP trained.
+  previous GP. This process completes in the order that `spec` and `data are
+  provided, such that `spec[0]` is the first GP trained and `spec[-1]` is the
+  last GP trained.
 
-  spec[0] and data[0] make up the top-level GP, and spec[1:] and data[1:] define
-  the priors in context of transfer learning.
+  spec[-1] and data[-1] make up the top-level GP, and spec[:-1] and data[:-1]
+  define the priors in context of transfer learning.
 
   Args:
     spec: Specification for how to train a GP model. If multiple specs are
@@ -314,7 +315,7 @@ def train_gp(
     )
 
   curr_gp: Optional[GPState] = None
-  for curr_spec, curr_data in reversed(list(zip(spec, data))):
+  for curr_spec, curr_data in zip(spec, data):
     if curr_gp is None:
       # We are on the first iteration.
       curr_gp = _train_gp(spec=curr_spec, data=curr_data)

vizier/_src/algorithms/designers/gp/gp_models_test.py

@@ -191,7 +191,7 @@ def test_sequential_base_accuracy(
 
     # Combine the good base and the bad top into transfer learning GP.
     seq_base_gp = gp_models.train_gp(
-        [top_spec, base_spec], [top_train_data, base_train_data]
+        [base_spec, top_spec], [base_train_data, top_train_data]
     )
 
     # Create a purposefully-bad GP with `bad_num_samples` for comparison.
@@ -244,8 +244,8 @@ def test_multi_base(
         ensemble_size=ensemble_size,
     )
 
-    train_specs = [top_spec]
-    train_data = [top_train_data]
+    train_specs = []
+    train_data = []
 
     for _ in range(2):
       base_spec, base_train_data, _ = _setup_lambda_search(
@@ -257,6 +257,8 @@ def test_multi_base(
       )
       train_specs.append(base_spec)
       train_data.append(base_train_data)
+    train_specs.append(top_spec)
+    train_data.append(top_train_data)
 
     seq_base_gp = gp_models.train_gp(train_specs, train_data)
 
@@ -323,10 +325,10 @@ def test_bad_base_resilience(
     # Combine the good base and the bad top into transfer learning GP.
     seq_base_gp = gp_models.train_gp(
         [
-            top_spec,
             bad_base_spec,
+            top_spec,
         ],
-        [top_train_data, bad_base_train_data],
+        [bad_base_train_data, top_train_data],
     )
 
     # Create a GP on the fake objective with sufficient training data

vizier/_src/algorithms/designers/gp_bandit.py

@@ -129,6 +129,17 @@ class VizierGPBandit(vza.Designer, vza.Predictor):
 
   _last_computed_gp: gp_models.GPState = attr.field(init=False)
 
+  # The studies used in transfer learning. Ordered in training order, i.e.
+  # a GP is trained on `_prior_studies[0]` first, then one is trained on the
+  # residuals of `_prior_studies[1]` from the GP trained on `_prior_studies[0]`,
+  # and so on.
+  _prior_studies: list[vza.CompletedTrials] = attr.field(
+      factory=list, init=False
+  )
+  _incorporated_prior_study_count: int = attr.field(
+      default=0, kw_only=True, init=False
+  )
+
   default_acquisition_optimizer_factory = vb.VectorizedOptimizerFactory(
       strategy_factory=es.VectorizedEagleStrategyFactory()
   )
@@ -205,6 +216,32 @@ def update(
     del all_active
     self._trials.extend(copy.deepcopy(completed.trials))
 
+  def update_priors(self, prior_studies: Sequence[vza.CompletedTrials]) -> None:
+    """Updates the list of prior studies for transfer learning.
+
+    Each element is treated as a new prior study, and will be stacked in order
+    received - i.e. the first entry is for the first GP, the second entry is for
+    the GP trained on the residuals of the first GP, etc.
+
+    See section 3.3 of https://dl.acm.org/doi/10.1145/3097983.3098043 for more
+    information, or see `gp/gp_models.py` and `gp/transfer_learning.py`
+
+    Transfer learning is resilient to bad priors.
+
+    Multiple calls are permitted. It is up to the caller to ensure
+    `prior_studies` have a matching `ProblemStatement`, otherwise behavior is
+    undefined.
+
+    TODO: Decide on whether this method should become part of an
+    interface.
+
+    Args:
+      prior_studies: A list of lists of completed trials, with one list per
+        prior study. The designer will train a prior GP for each list of prior
+        trials (for each `CompletedStudy` entry), in the order received.
+    """
+    self._prior_studies.extend(copy.deepcopy(prior_studies))
+
   @property
   def _metric_info(self) -> vz.MetricInformation:
     return self._problem.metric_information.item()
@@ -286,46 +323,103 @@ def _trials_to_data(self, trials: Sequence[vz.Trial]) -> types.ModelData:
     return types.ModelData(model_data.features, labels)
 
   @_experimental_override_allowed
-  def _train_gp(
+  def _create_gp_spec(
       self, data: types.ModelData, ard_rng: jax.random.KeyArray
-  ) -> gp_models.GPState:
-    """Overrideable training of a pre-computed ensemble GP."""
-    trained_gp = gp_models.train_gp(
-        spec=gp_models.GPTrainingSpec(
-            ard_optimizer=self._ard_optimizer,
-            ard_rng=ard_rng,
-            coroutine=gp_models.get_vizier_gp_coroutine(
-                features=data.features, linear_coef=self._linear_coef
-            ),
-            ensemble_size=self._ensemble_size,
-            ard_random_restarts=self._ard_random_restarts,
+  ) -> gp_models.GPTrainingSpec:
+    """Overrideable creation of a training spec for a GP model."""
+    return gp_models.GPTrainingSpec(
+        ard_optimizer=self._ard_optimizer,
+        ard_rng=ard_rng,
+        coroutine=gp_models.get_vizier_gp_coroutine(
+            features=data.features, linear_coef=self._linear_coef
         ),
-        data=data,
+        ensemble_size=self._ensemble_size,
+        ard_random_restarts=self._ard_random_restarts,
     )
-    return trained_gp
+
+  @_experimental_override_allowed
+  def _train_gp_with_priors(
+      self,
+      data: types.ModelData,
+      ard_rng: jax.random.KeyArray,
+      priors: Sequence[types.ModelData],
+  ):
+    """Trains a transfer-learning-enabled GP with prior studies.
+
+    Args:
+      data: top-level data on which to train a GP.
+      ard_rng: RNG to do ARD to optimize GP parameters.
+      priors: Data for each sequential prior to train for transfer learning.
+        Assumed to be in order of training, i.e. element 0 is priors[0] is the
+        first GP trained, and priors[1] trains a GP on the residuals of the GP
+        trained on priors[0], and so on.
+
+    Returns:
+      A trained pre-computed ensemble GP.
+    """
+    ard_rngs = jax.random.split(ard_rng, len(priors) + 1)
+
+    # Order `specs` in training order, i.e. `specs[0]` is trained first.
+    specs = [
+        self._create_gp_spec(prior_data, ard_rngs[i])
+        for i, prior_data in enumerate(priors)
+    ]
+
+    # Use the last rng for the top level spec.
+    specs.append(self._create_gp_spec(data, ard_rngs[-1]))
+
+    # Order `training_data` in training order, i.e. `training_data[0]` is
+    # trained first.
+    training_data = list(priors)
+    training_data.append(data)
+
+    # `train_gp` expects `specs` and `data` in training order, which is how
+    # they were prepared above.
+    return gp_models.train_gp(spec=specs, data=training_data)
 
   @profiler.record_runtime
-  def _update_gp(self, data: types.ModelData) -> gp_models.GPState:
+  def _update_gp(
+      self,
+      data: types.ModelData,
+      *,
+      prior_data: Optional[Sequence[types.ModelData]] = None,
+  ) -> gp_models.GPState:
     """Compute the designer's GP and caches the result. No-op without new data.
 
     Args:
       data: Data to go into GP.
+      prior_data: Data to train priors on, in training order.
 
     Returns:
-      GPBanditState object containing the designer's state.
+      `GPState` object containing the trained GP.
 
     1. Convert trials to features and labels.
     2. Trains a pre-computed ensemble GP.
 
     If no new trials were added since last call, no update will occur.
     """
-    if len(self._trials) == self._incorporated_trials_count:
-      # If there's no change in the number of completed trials, don't update
-      # state. The assumption is that trials can't be removed.
+    if (
+        len(self._trials) == self._incorporated_trials_count
+        and len(self._prior_studies) == self._incorporated_prior_study_count
+    ):
+      # If there's no change in the number of completed trials or the number of
+      # priors, don't update state. The assumption is that trials can't be
+      # removed.
       return self._last_computed_gp
     self._incorporated_trials_count = len(self._trials)
+    self._incorporated_prior_study_count = len(self._prior_studies)
     self._rng, ard_rng = jax.random.split(self._rng, 2)
-    self._last_computed_gp = self._train_gp(data=data, ard_rng=ard_rng)
+
+    if not prior_data:
+      self._last_computed_gp = gp_models.train_gp(
+          spec=self._create_gp_spec(data, ard_rng),
+          data=data,
+      )
+    else:
+      self._last_computed_gp = self._train_gp_with_priors(
+          data=data, ard_rng=ard_rng, priors=prior_data
+      )
+
     return self._last_computed_gp
 
   @_experimental_override_allowed
@@ -379,6 +473,29 @@ def _optimize_acquisition(
         best_candidates, self._converter
     )  # [N, D]
 
+  @profiler.record_runtime
+  @_experimental_override_allowed
+  def _generate_data(
+      self,
+  ) -> tuple[types.ModelData, Optional[list[types.ModelData]]]:
+    """Converts trials to top-level and prior training data."""
+    prior_data: Optional[list[types.ModelData]] = None
+    if self._prior_studies:
+      prior_data = [
+          self._trials_to_data(prior_study.trials)
+          for prior_study in self._prior_studies
+      ]
+
+    # The top level data must be converted last - because `_output_warper`
+    # depends on the support points that were supplied to it in `warp` to
+    # `unwarp` labels. It stores these support points each time `warp` is
+    # called, so the last `warp` call dictates the support points used in
+    # `unwarp`. Therefore, since we want to `unwarp` the predictions based off
+    # the current (top) study rather than any prior study, we need to call
+    # `warp` on the current study last.
+    data = self._trials_to_data(self._trials)
+    return data, prior_data
+
   @profiler.record_runtime
   def suggest(self, count: int = 1) -> Sequence[vz.TrialSuggestion]:
     logging.info('Suggest called with count=%d', count)
@@ -393,8 +510,8 @@ def suggest(self, count: int = 1) -> Sequence[vz.TrialSuggestion]:
 
     suggest_start_time = datetime.datetime.now()
     logging.info('Updating the designer state based on trials...')
-    data = self._trials_to_data(self._trials)
-    gp = self._update_gp(data)
+    data, prior_data = self._generate_data()
+    gp = self._update_gp(data, prior_data=prior_data)
 
     # Define acquisition function.
     scoring_fn = self._scoring_function_factory(
@@ -437,7 +554,8 @@ def sample(
     if not trials:
       return np.zeros((num_samples, 0))
 
-    gp = self._update_gp(self._trials_to_data(self._trials))
+    data, prior_data = self._generate_data()
+    gp = self._update_gp(data, prior_data=prior_data)
     xs = self._converter.to_features(trials)
     xs = types.ModelInput(
         continuous=xs.continuous.replace_fill_value(0.0),