Add GPX surrogate model (SMTorg#530)

* Remove obsolete warning in mixed-integer

* Initial wrapper for egobox::Gpx surrogate model (#9)

* first version of the test and new class GPX

* Implement gpx, add gpx in test_all, add an exemple, and a manual test.

* Revert setup change

---------

Co-authored-by: Rémi Lafage <[email protected]>

* Add extra install for GPX

* Add check for egobox install and add options

* Rename lowercase

* Add missing tests for doc examples

* Update doc

* Add kpls_dim option

* Add Gpx doc

* Fix kpls_dim type spec

* Comment out learning airfoil parameters example run (too slow!) in doc

* Add egobox 0.16 in requirements

* Refactor GPX

* Add GPX test guard

* Update doc

---------

Co-authored-by: Antoine-Averland <[email protected]>

doc/_src_docs/examples/airfoil_parameters/learning_airfoil_parameters.rstx

@@ -41,5 +41,6 @@ Utilities
 Main
 ^^^^
 
-.. embed-module-print-plot :: smt.examples.airfoil_parameters.run_genn , 100
+.. 
+   Comment out as it is too long! embed-module-print-plot :: smt.examples.airfoil_parameters.run_genn , 100
 

doc/_src_docs/surrogate_models.rstx

@@ -16,6 +16,7 @@ SMT contains the surrogate modeling methods listed below.
    surrogate_models/kpls
    surrogate_models/kplsk
    surrogate_models/gekpls
+   surrogate_models/gpx
    surrogate_models/genn
    surrogate_models/mgp
    surrogate_models/sgp

doc/_src_docs/surrogate_models/gpx.rstx

@@ -0,0 +1,43 @@
+GPX
+===
+
+`GPX` is a rewrite of Kriging (aka `KRG`) and `KPLS` models of SMT in Rust. 
+Actually `GPX` is a wrapper of the `Gpx` model from the `egobox` library which is adapted here to the surrogate models API of SMT.
+
+If you find the performances of the Python implementation (training/prediction time) not sufficient for your use case,
+you may want to give `GPX` a try.
+
+You will need to install the `egobox` extra dependency with the command: `pip install smt[gpx]`
+
+More information about the `egobox` library can be found in [1]_.
+
+Limitations
+-----------
+
+* wrt `KRG/KPLS`: `GPX` does not implement mixed integer or hierarchical variables, derivatives, noise handling or KRG sampling.
+
+* wrt `egobox::Gpx`: `GPX` does not give access to mixture of gaussian processes, does not give access to GP sampling
+
+
+See [2]_ for more information on `egobox::Gpx`.  
+
+
+Reference
+---------
+
+.. [1] `Lafage, R., (2022). egobox, a Rust toolbox for efficient global optimization. Journal of Open Source Software, 7(78), 4737, <https://doi.org/10.21105/joss.04737>`_
+
+.. [2] `Tutorial egobox::Gpx <https://github.com/relf/egobox/blob/cf7e50cb23b11fda9dd255c2b29178f6d51c3242/doc/Gpx_Tutorial.ipynb>`_
+
+Usage
+-----
+
+Example
+^^^^^^^
+
+.. embed-test-print-plot :: smt.surrogate_models.tests.test_surrogate_model_examples , Test , test_gpx , 80
+
+Options
+-------
+
+.. embed-options-table :: smt.surrogate_models , GPX , options

doc/requirements.txt

@@ -5,6 +5,7 @@ scikit-learn
 pyDOE3
 numpydoc
 matplotlib
-ConfigSpace~=0.6.1
-jenn >= 1.0.2
+ConfigSpace ~= 0.6.1
+jenn >= 1.0.2, <2.0
+egobox ~= 0.16.0
 git+https://github.com/hwangjt/sphinx_auto_embed.git  # for doc generation 

requirements.txt

@@ -9,5 +9,6 @@ pytest       # tests runner
 pytest-xdist # allows running parallel testing with pytest -n <num_workers>
 pytest-cov   # allows to get coverage report
 ruff         # format and lint code
-ConfigSpace~=0.6.1
-jenn >= 1.0.2
+ConfigSpace ~= 0.6.1
+jenn >= 1.0.2, <2.0
+egobox ~= 0.16.0

setup.py

@@ -120,6 +120,7 @@
         "cs": [  # pip install smt[cs]
             "ConfigSpace~=0.6.1",
         ],
+        "gpx": ["egobox~=0.16"],  # pip install smt[gpx]
     },
     python_requires=">=3.8",
     zip_safe=False,

smt/applications/mixed_integer.py

@@ -222,9 +222,9 @@ def __init__(
             )
             and self._surrogate.options["categorical_kernel"] is None
         ):
-            self._surrogate.options["categorical_kernel"] = (
-                MixIntKernelType.HOMO_HSPHERE
-            )
+            self._surrogate.options[
+                "categorical_kernel"
+            ] = MixIntKernelType.HOMO_HSPHERE
             warnings.warn(
                 "Using MixedIntegerSurrogateModel integer model with Continuous Relaxation is not supported. \
                     Switched to homoscedastic hypersphere kernel instead."

smt/applications/tests/test_mixed_integer.py

@@ -459,7 +459,11 @@ def test_examples(self):
         self.run_mixed_integer_context_example()
         self.run_hierarchical_variables_Goldstein()
         self.run_mixed_discrete_design_space_example()
+        self.run_mixed_gower_example()
+        self.run_mixed_homo_gaussian_example()
+        self.run_mixed_homo_hyp_example()
         if ds.HAS_CONFIG_SPACE:
+            self.run_mixed_cs_example()
             self.run_hierarchical_design_space_example()  # works only with config space impl
 
     def run_mixed_integer_lhs_example(self):

smt/surrogate_models/__init__.py

@@ -4,6 +4,7 @@
 from .kpls import KPLS
 from .gekpls import GEKPLS
 from .kplsk import KPLSK
+from .gpx import GPX
 from .genn import GENN
 from .mgp import MGP
 from .sgp import SGP
@@ -25,6 +26,7 @@
     "KPLS",
     "GEKPLS",
     "KPLSK",
+    "GPX",
     "GENN",
     "MGP",
     "SGP",