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Botorch with cardinality constraint via sampling

Open Waschenbacher opened this issue 1 year ago • 0 comments

This PR attempts to support cardinality constraints in botorch recommender. The core idea is

  • Determine several configurations of inactive parameters (parameters that have to be zeros) based on the cardinality constraints.
  • Optimize the acquisition function for different configurations and pick the best one.

There are two mechanisms for determining the configuration of inactive parameters.

  • When the combinatorial list of different inactive parameter configurations is not too large, we iterate the full list;
  • otherwise a fixed amount of inactive parameter configurations are randomly chosen.

In addition, a validation is added to ensure that zero is included in the bounds of all cardinality constraint parameters.

Waschenbacher avatar Jul 03 '24 20:07 Waschenbacher