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@mmahsereci mmahsereci commented Dec 6, 2022

In a Nutshell

This PR introduces acquisition functions to the quad package. Since there are no gradients yet, the corresponding policy samples random candidates and returns the one with the highest acquisition value. It will be straightforward to add a policy that uses a gradient-based optimizer once gradients are available.

Detailed Description

  • The BQState got augmented with the cholesky of the gram matrix.
  • The PR introduces a base class for acquisition functions as well as uncertainty sampling specifically for now.
  • The PR also adds some tests for default values of the options dictionary.

Should be reviewed after #748 is merged as it branches off of it.

Related Issues

Closes #...

@mmahsereci mmahsereci requested review from a team and tskarvone as code owners December 6, 2022 14:59
@mmahsereci mmahsereci marked this pull request as draft December 6, 2022 15:00
@mmahsereci mmahsereci self-assigned this Dec 6, 2022
@mmahsereci mmahsereci added the quad Issues related to quadrature label Dec 6, 2022
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codecov bot commented Dec 6, 2022

Codecov Report

Merging #749 (a389bf3) into main (90b5dd3) will increase coverage by 0.07%.
The diff coverage is 100.00%.

Impacted file tree graph

@@            Coverage Diff             @@
##             main     #749      +/-   ##
==========================================
+ Coverage   90.71%   90.79%   +0.07%     
==========================================
  Files         206      210       +4     
  Lines        7638     7703      +65     
  Branches      982      986       +4     
==========================================
+ Hits         6929     6994      +65     
  Misses        478      478              
  Partials      231      231              
Impacted Files Coverage Δ
src/probnum/quad/_bayesquad.py 100.00% <ø> (ø)
...um/quad/solvers/policies/_van_der_corput_policy.py 100.00% <ø> (ø)
src/probnum/quad/solvers/__init__.py 100.00% <100.00%> (ø)
src/probnum/quad/solvers/_bayesian_quadrature.py 100.00% <100.00%> (ø)
src/probnum/quad/solvers/_bq_state.py 100.00% <100.00%> (ø)
...num/quad/solvers/acquisition_functions/__init__.py 100.00% <100.00%> (ø)
...ers/acquisition_functions/_acquisition_function.py 100.00% <100.00%> (ø)
...vers/acquisition_functions/_predictive_variance.py 100.00% <100.00%> (ø)
...bnum/quad/solvers/belief_updates/_belief_update.py 100.00% <100.00%> (ø)
...um/quad/solvers/belief_updates/_standard_update.py 95.55% <100.00%> (ø)
... and 2 more

@mmahsereci mmahsereci marked this pull request as ready for review December 13, 2022 17:41
@mmahsereci mmahsereci merged commit 53a4302 into probabilistic-numerics:main Dec 14, 2022
@mmahsereci mmahsereci deleted the mm-quad-acquisition branch December 14, 2022 12:56
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