Apply input transforms when computing MLL in model closures (#2527)

Summary:
Pull Request resolved: #2527

During model training, the input transforms are applied in `model.forward`. While evaluating the model closures, we pass in the train inputs to the `mll`, which passed them down to the `likelihood`. If we don't transform the inputs before passing them into `mll`, we end up evaluating `model.forward` and `likelihood` using different inputs.

This is not an issue during the `posterior` evaluation, since the transforms are applied in `model.posterior` before being passed to `model.__call__` and `likelihood`.

This diff updates the model closures to transform the inputs before passing them into `mll`.

Fixes #2515

Reviewed By: SebastianAment

Differential Revision: D62497392

fbshipit-source-id: 9850c6529eea336589c2e2bbae400a4a9dc87f12

botorch/models/gp_regression.py

@@ -345,12 +345,17 @@ def __init__(
                 MIN_INFERRED_NOISE_LEVEL, transform=None, initial_value=1.0
             ),
         )
+        # Likelihood will always get evaluated with transformed X, so we need to
+        # transform the training data before constructing the noise model.
+        with torch.no_grad():
+            transformed_X = self.transform_inputs(
+                X=train_X, input_transform=input_transform
+            )
         noise_model = SingleTaskGP(
-            train_X=train_X,
+            train_X=transformed_X,
             train_Y=train_Yvar,
             likelihood=noise_likelihood,
             outcome_transform=Log(),
-            input_transform=input_transform,
         )
         likelihood = _GaussianLikelihoodBase(HeteroskedasticNoise(noise_model))
         # This is hacky -- this class used to inherit from SingleTaskGP, but it

botorch/optim/closures/model_closures.py

@@ -9,7 +9,6 @@
 from __future__ import annotations
 
 from collections.abc import Sequence
-
 from itertools import chain, repeat
 from types import NoneType
 from typing import Any, Callable, Optional
@@ -174,9 +173,17 @@ def _get_loss_closure_exact_internal(
     r"""ExactMarginalLogLikelihood loss closure with internally managed data."""
 
     def closure(**kwargs: Any) -> Tensor:
-        model_output = mll.model(*mll.model.train_inputs)
+        model = mll.model
+        # The inputs will get transformed in forward here.
+        model_output = model(*model.train_inputs)
         log_likelihood = mll(
-            model_output, mll.model.train_targets, *mll.model.train_inputs, **kwargs
+            model_output,
+            model.train_targets,
+            # During model training, the model inputs get transformed in the forward
+            # pass. The train_inputs property is not transformed yet, so we need to
+            # transform it before passing it to the likelihood for consistency.
+            *(model.transform_inputs(X=t_in) for t_in in model.train_inputs),
+            **kwargs,
         )
         return -log_likelihood
 
@@ -190,11 +197,19 @@ def _get_loss_closure_sum_internal(
     r"""SumMarginalLogLikelihood loss closure with internally managed data."""
 
     def closure(**kwargs: Any) -> Tensor:
-        model_output = mll.model(*mll.model.train_inputs)
+        model = mll.model
+        # The inputs will get transformed in forward here.
+        model_output = model(*model.train_inputs)
         log_likelihood = mll(
             model_output,
-            mll.model.train_targets,
-            *map(list, mll.model.train_inputs),
+            model.train_targets,
+            # During model training, the model inputs get transformed in the forward
+            # pass. The train_inputs property is not transformed yet, so we need to
+            # transform it before passing it to the likelihood for consistency.
+            *(
+                (model.transform_inputs(X=t_in) for t_in in sub_t_in)
+                for sub_t_in in model.train_inputs
+            ),
             **kwargs,
         )
         return -log_likelihood

test/optim/closures/test_model_closures.py

@@ -17,35 +17,68 @@
 )
 from botorch.utils.testing import BotorchTestCase
 from gpytorch import settings as gpytorch_settings
+from gpytorch.likelihoods.gaussian_likelihood import GaussianLikelihood
 from gpytorch.mlls import ExactMarginalLogLikelihood, SumMarginalLogLikelihood
+from gpytorch.mlls.marginal_log_likelihood import MarginalLogLikelihood
+from gpytorch.module import Module
+from torch import Tensor
 from torch.utils.data import DataLoader, TensorDataset
 
 
+# Mock wrapping the __call__ directly is leading to errors like
+# TypeError: super(type, obj): obj must be an instance or subtype of type
+# so, doing this manually here.
+class WrapperLikelihood(GaussianLikelihood):
+    def __init__(self, base_likelihood: GaussianLikelihood):
+        """A wrapper around a GaussianLikelihood that stores the call args."""
+        Module.__init__(self)
+        self.base_likelihood = base_likelihood
+        self.call_args = []
+
+    def __call__(self, *args, **kwargs):
+        # Store the train inputs arg for testing.
+        self.call_args.append(args[1])
+        return self.base_likelihood(*args, **kwargs)
+
+
+def _get_mlls(
+    device: torch.device, wrap_likelihood: bool = False
+) -> tuple[Tensor, list[MarginalLogLikelihood]]:
+    """Returns the train X, along two MLLs: one for a SingleTaskGP and
+    one for a ModelListGP.
+
+    Args:
+        device: The device to use.
+        wrap_likelihood: If True, wrap the likelihood in a WrapperLikelihood.
+            This is useful for comparing call args later.
+    """
+    with torch.random.fork_rng():
+        torch.manual_seed(0)
+        # Inputs are not in the unit cube to ensure input transform is applied.
+        train_X = torch.linspace(0, 5, 10).unsqueeze(-1)
+        train_Y = torch.sin((2 * pi) * train_X)
+        train_Y = train_Y + 0.1 * torch.randn_like(train_Y)
+    mlls = []
+    model = SingleTaskGP(
+        train_X=train_X,
+        train_Y=train_Y,
+        input_transform=Normalize(d=1),
+        outcome_transform=Standardize(m=1),
+    )
+    if wrap_likelihood:
+        model.likelihood = WrapperLikelihood(model.likelihood)
+    mll = ExactMarginalLogLikelihood(model.likelihood, model)
+    mlls.append(mll.to(device=device, dtype=torch.double))
+
+    model = ModelListGP(model, model)
+    mll = SumMarginalLogLikelihood(model.likelihood, model)
+    mlls.append(mll.to(device=device, dtype=torch.double))
+    return train_X.to(device=device, dtype=torch.double), mlls
+
+
 class TestLossClosures(BotorchTestCase):
-    def setUp(self):
-        super().setUp()
-        with torch.random.fork_rng():
-            torch.manual_seed(0)
-            train_X = torch.linspace(0, 1, 10).unsqueeze(-1)
-            train_Y = torch.sin((2 * pi) * train_X)
-            train_Y = train_Y + 0.1 * torch.randn_like(train_Y)
-
-        self.mlls = {}
-        model = SingleTaskGP(
-            train_X=train_X,
-            train_Y=train_Y,
-            input_transform=Normalize(d=1),
-            outcome_transform=Standardize(m=1),
-        )
-        mll = ExactMarginalLogLikelihood(model.likelihood, model)
-        self.mlls[type(mll), type(model.likelihood), type(model)] = mll.to(self.device)
-
-        model = ModelListGP(model, model)
-        mll = SumMarginalLogLikelihood(model.likelihood, model)
-        self.mlls[type(mll), type(model.likelihood), type(model)] = mll.to(self.device)
-
-    def test_main(self):
-        for mll in self.mlls.values():
+    def test_main(self) -> None:
+        for mll in _get_mlls(device=self.device)[1]:
             out = mll.model(*mll.model.train_inputs)
             loss = -mll(out, mll.model.train_targets).sum()
             loss.backward()
@@ -63,8 +96,8 @@ def test_main(self):
             self.assertTrue(loss.equal(_loss))
             self.assertTrue(all(a.equal(b) for a, b in zip_longest(grads, _grads)))
 
-    def test_data_loader(self):
-        for mll in self.mlls.values():
+    def test_data_loader(self) -> None:
+        for mll in _get_mlls(device=self.device)[1]:
             if type(mll) is not ExactMarginalLogLikelihood:
                 continue
 
@@ -86,3 +119,38 @@ def test_data_loader(self):
         closure = get_loss_closure_with_grads(mll, params, data_loader=loader)
         with self.assertRaisesRegex(TypeError, "Expected .* a batch of tensors"):
             closure()
+
+    def test_with_input_transforms(self) -> None:
+        # This test reproduces the bug reported in issue #2515.
+        train_X, mlls = _get_mlls(device=self.device, wrap_likelihood=True)
+        for mll in mlls:
+            if isinstance(mll, SumMarginalLogLikelihood):
+                # The likelihood is called twice here since it is the same
+                # likelihood in both child models.
+                likelihood = mll.model.models[0].likelihood
+                expected_calls1 = 2  # In the closure call.
+                expected_calls2 = 6  # Closure + posterior calls.
+            else:
+                likelihood = mll.model.likelihood
+                expected_calls1 = 1  # In the closure call.
+                expected_calls2 = 4  # Closure + posterior calls.
+            likelihood.call_args = []  # reset since it is shared between the models.
+            params = {n: p for n, p in mll.named_parameters() if p.requires_grad}
+            # Evaluate the closure to mimic the model fitting process.
+            mll.train()
+            closure = get_loss_closure_with_grads(mll, params)
+            closure()
+            self.assertEqual(len(likelihood.call_args), expected_calls1)
+            # Call the model posterior to reproduce post-fitting usage.
+            mll.model.posterior(train_X, observation_noise=True)
+            # Compare the call args to ensure they're all the same.
+            # Likelihood is called twice on model(X) and once for adding the noise.
+            self.assertEqual(len(likelihood.call_args), expected_calls2)
+            arg0 = likelihood.call_args[0]
+            for i in range(1, expected_calls2):
+                argi = likelihood.call_args[i]
+                # The arg may be a tensor or a single element list of the tensor.
+                self.assertAllClose(
+                    arg0 if isinstance(arg0, Tensor) else arg0[0],
+                    argi if isinstance(argi, Tensor) else argi[0],
+                )