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Add Bayesian optimization option to delay_io_train function #7
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Add Bayesian optimization option to delay_io_train function #7
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Co-authored-by: dantzert <47285626+dantzert@users.noreply.github.com>
dantzert
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Sep 5, 2025
| differentiation_method= ps.FiniteDifference(), | ||
| feature_library=ps.PolynomialLibrary(degree=poly_degree,include_bias = include_bias, include_interaction=include_interaction), | ||
| optimizer = ps.ConstrainedSR3(threshold=0, thresholder = "l2",constraint_lhs=constraint_lhs, constraint_rhs = constraint_rhs, inequality_constraints=True), | ||
| optimizer = ps.STLSQ(threshold=0), |
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don't change these. they need to be this way for constrained optimizations
dantzert
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Sep 5, 2025
| differentiation_method= ps.FiniteDifference(), | ||
| feature_library=ps.PolynomialLibrary(degree=1,include_bias = False, include_interaction=False), | ||
| optimizer = ps.ConstrainedSR3(threshold=0, thresholder = "l2",constraint_lhs=constraint_lhs, constraint_rhs = constraint_rhs, inequality_constraints=True), | ||
| optimizer = ps.STLSQ(threshold=0), |
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same here. don't break the constrained optimizations
…y_io_train Co-authored-by: dantzert <47285626+dantzert@users.noreply.github.com>
…l-world testing Co-authored-by: dantzert <47285626+dantzert@users.noreply.github.com>
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[WIP] add an option to use a bayesian optimization in place of the current compass-search optimization in delay_io_train. perhaps as implemented in https://secondmind-labs.github.io/trieste/4.2.2/autoapi/trieste/index.html
Add Bayesian optimization option to delay_io_train function
Sep 5, 2025
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This PR implements Bayesian optimization as an alternative to the current compass-search optimization in the
delay_io_trainfunction, as requested in the issue. The implementation uses Gaussian Process regression with Expected Improvement acquisition to efficiently optimize transformation parameters.Changes Made
Core Implementation
optimization_methodparameter todelay_io_train()with options:"compass_search"(default) - maintains existing behavior"bayesian"- enables new Bayesian optimizationGaussianProcessRegressorKey Features
Performance Results
Synthetic Test Case
Real CAMELS Dataset
Usage Example
Technical Details
The Bayesian optimization:
This implementation provides a modern, efficient alternative to compass search while maintaining full backward compatibility. Users can easily experiment with both methods to find the best approach for their specific datasets.
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