Use Cobyla by default for noisy Kriging (SMTorg#511)

* use cobyla by default whenever noise is included * add warnings for when switching from TNC to Cobyla --------- Co-authored-by: Rémi Lafage <[email protected]>
Paul-Saves · Feb 15, 2024 · 2fd5c5a · 2fd5c5a
1 parent 0c4b243
commit 2fd5c5a
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Showing 3 changed files with 22 additions and 2 deletions.
diff --git a/smt/applications/mfk.py b/smt/applications/mfk.py
@@ -9,7 +9,7 @@
 """
 
 from copy import deepcopy
-
+import warnings
 import numpy as np
 from scipy.linalg import solve_triangular
 from scipy import linalg
@@ -983,7 +983,11 @@ def _check_param(self):
                 raise ValueError(
                     "MFKPLSK only works with a squared exponential kernel (until we prove the contrary)"
                 )
-
+        if self.options["eval_noise"] or np.max(self.options["noise0"]) > 1e-12:
+            self.options["hyper_opt"] = "Cobyla"
+            warnings.warn(
+                "TNC not available yet for noise handling. Switching to Cobyla"
+            )
         n_param = d
 
         if self.options["categorical_kernel"] is not None:

diff --git a/smt/applications/mixed_integer.py b/smt/applications/mixed_integer.py
@@ -204,6 +204,11 @@ def __init__(
                 + " is not supported. Please use MixedIntegerSurrogateModel instead."
             )
         self.options["design_space"] = self._surrogate.design_space
+        if surrogate.options["hyper_opt"] == "TNC":
+            warnings.warn(
+                "TNC not available yet for mixed integer handling. Switching to Cobyla"
+            )
+
         self._surrogate.options["hyper_opt"] = "Cobyla"
 
         self._input_in_folded_space = input_in_folded_space
@@ -340,6 +345,12 @@ def build_kriging_model(self, surrogate):
         Build MixedIntegerKrigingModel from given SMT surrogate model.
         """
         surrogate.options["design_space"] = self._design_space
+
+        if surrogate.options["hyper_opt"] == "TNC":
+            warnings.warn(
+                "TNC not available yet for mixed integer handling. Switching to Cobyla"
+            )
+
         surrogate.options["hyper_opt"] = "Cobyla"
         return MixedIntegerKrigingModel(
             surrogate=surrogate,

diff --git a/smt/surrogate_models/krg_based.py b/smt/surrogate_models/krg_based.py
@@ -2110,6 +2110,11 @@ def _check_param(self):
                     "the length of theta0 (%s) should be equal to the number of dim (%s)."
                     % (len(self.options["theta0"]), d)
                 )
+        if self.options["eval_noise"] or np.max(self.options["noise0"]) > 1e-12:
+            self.options["hyper_opt"] = "Cobyla"
+            warnings.warn(
+                "TNC not available yet for noise handling. Switching to Cobyla"
+            )
 
         if self.options["use_het_noise"] and not self.options["eval_noise"]:
             if len(self.options["noise0"]) != self.nt: