Merge work from a private repo on DyHPO, DPL surrogates, and related acquisition functions. Version without refactoring. All the further changes should be made under this branch.
Also we should probably add some basic unit tests to check for freeze-thaw sampler and MF-EI.
As a second stage, dyhpo and dpl surrogate fitting (okay if this is not part of this PR).
Merge work from a private repo on DyHPO, DPL surrogates, and related acquisition functions. Version without refactoring. All the further changes should be made under this branch.
Added Surrogates:
DeepGP
: Deep Gaussian Surrogate original implementation, paperDPL
: Deep Power Law ensemble surrogate original implementation, paperAdded Acquisition functions:
MFEI
: Multi-Fidelity Expected ImprovementMFPI
: Multi-Fidelity Probability of ImprovementMFUCB
: Multi-Fidelity Upper Confidence BoundMF{EI, UCB, PI}AtMax
: versions of each where the incumbent value is the best value at the highest fidelityMF{EI, UCB, PI}Dyna
: versions of each where the incumbent value is the best global value and model extrapolate till thehighest seen fidelity + 1
MF(EI, PI)Random
: versions of each with extrapolation at random horizons with random thresholdsAdded Optimizers:
MFEIBO
: DyHPO, DPL and many similar optimizers can be obtained by combining corresponding surrogates with acquisition functions above