BAYEX: Bayesian Optimization powered by JAX

Bayex is a Bayesian global optimization library using Gaussian processes. In contrast to existing Bayesian optimization libraries, Bayex is designed for JAX.

Instead of relaying on external libraries, Bayex only relies on JAX and its custom implementations, without requiring importing massive libraries such as sklearn.

What is Bayesian Optimization?

Bayesian Optimization (BO) methods are useful for optimizing functions that are expensive to evaluate, lack an analytical expression and whose evaluations can be contaminated by noise. These methods rely on a probabilistic model of the objective function, typically a Gaussian process (GP), upon which an acquisition function is built. The acquisition function guides the optimization process and measures the expected utility of performing an evaluation of the objective at a new point.

Why JAX?

Using JAX as a backend removes some of the limitations found on Python, as it gives us direct mapping to the XLA compiler.

XLA compiles and runs the JAX code into several architectures such as CPU, GPU and TPU without hassle. But the device agnostic approach is not the reason to back XLA for future scientific programs. XLA provides with optimizations under the hood such as Just-In-Time compilation and automatic parallelization that make Python (with a NumPy-like approach) a suitable candidate on some High Performance Computing scenarios.

Additionally, JAX provides Python code with automatic differentiation, which helps identify the conditions that maximize the acquisition function.

Installation

Bayex can be installed using PyPI via pip:

pip install bayex

or from GitHub directly

pip install git+git://github.com/alonfnt/bayex.git

Getting Started

import bayex

def f(x, y):
    return -y ** 2 - (x - y) ** 2 + 3 * x / y - 2

constrains = {'x': (-10, 10), 'y': (0, 10)}
x_max, y_max = bayex.optim(f, constrains=constrains, seed=42)

Contributing

Everyone can contribute to Bayex and we welcome pull requests as well as raised issues. In order to contribute code, one must begin by forking the repository. This creates a copy of the repository on your account.

Bayex uses poetry as a packaging and dependency manager. Hence, once you have cloned your repo on your own machine, you can use

poetry install

to install on the dependencies needed. You should start a new branch to write your changes on

git checkout -b name-of-change

or

git branch name-of-change
git checkout name-of-change

It is welcome if PR are composed of a single commit, to keep the feature <-> commit balance. Please, when writing the commit message, follow the conventional commit specitifcation. Once you have made your changes and created your commit. It is recommended to run the pre-commit checks.

pre-commit run --all

as well as the tests to make sure everything works

pytest -n auto tests/

Remember to amend your current commit with the fixes if any of the checks fails.

Planned Features

• Optimization on continuos domains.
• Integer parameters support.
• Categorical Variables
• Automatic Parallelization on XLA Devices.

Citation

To cite this repository

@software{
  author = {Albert Alonso, Jacob Ungar Felding},
  title = {{Bayex}: Bayesian Global Optimization with JAX tool for {P}ython+{N}um{P}y programs},
  url = {http://github.com/alonfnt/bayex},
  version = {0.0.0},
  year = {2021},
}

References

1. A Tutorial on Bayesian Optimization
2. BayesianOtpimization Library
3. JAX: Autograd and XLA