[Docs] Sampling function from posterior for Thompson sampling?

[wangell]

📚 Documentation/Examples

I'm trying to implement Thompson sampling - is there an implemented way to sample a function from the model posterior without an input? i.e. f = model.sample(); f(X)

Similar to this https://math.stackexchange.com/questions/1218718/how-do-we-sample-from-a-gaussian-process

[KeAWang]

You can't draw samples of random functions from the posterior unless you specify the points at which you want to evaluate those random functions.

To sample from a GP's posterior evaluated at points test_x, do

# Set into posterior mode
model.eval()
likelihood.eval()

preds = likelihood(model(test_x))
preds.sample()

where test_x is N x D if you're not using batched GPs. preds is a multivariate Gaussian distribution corresponding to your GP posterior at those points.

[jacobrgardner]

Very small addendum to @KeAWang's answer: if you need to backpropagate through the samples for any reason, be sure to use rsample instead of sample.

[eytan]

Are you trying to implement TS for bandits or BayesOpt? If it's for BayesOpt we have some code laying around internally which we can add to BoTorch if you'd like, @wangell

[jacobrgardner]

I'm going to close this unless someone mentions they are still having trouble with this.

[wangell]

@eytan That would be awesome

[DavidWalz]

@eytan I'd be very interested in your TS approach for BayesOpt. I only know of the approximate spectral sampling approach for stationary kernels.

[Balandat]

@DavidWalz Spectral sampling would work, what we've been doing mostly is just a discrete version that's based on drawing joint samples on a (large) discretization of the domain. That works pretty well in reasonably small dimensions and is very fast given how gpytorch exploits fast predictive variances & batched computation. Here is an old PR for this that I hope to clean up some time soon: pytorch/botorch#218