Multi trust regions

tests/integration/test_bayesian_optimization.py

@@ -50,8 +50,10 @@
     AsynchronousOptimization,
     AsynchronousRuleState,
     BatchHypervolumeSharpeRatioIndicator,
+    BatchTrustRegionBox,
     DiscreteThompsonSampling,
     EfficientGlobalOptimization,
+    SingleObjectiveTRBox,
     TrustRegion,
 )
 from trieste.acquisition.sampler import ThompsonSamplerFromTrajectory
@@ -197,6 +199,17 @@ def GPR_OPTIMIZER_PARAMS() -> Tuple[str, List[ParameterSet]]:
                 TURBO(ScaledBranin.search_space, rule=DiscreteThompsonSampling(500, 3)),
                 id="Turbo",
             ),
+            pytest.param(
+                10,
+                BatchTrustRegionBox(
+                    [SingleObjectiveTRBox(ScaledBranin.search_space) for _ in range(3)],
+                    EfficientGlobalOptimization(
+                        ParallelContinuousThompsonSampling(),
+                        num_query_points=3,
+                    ),
+                ),
+                id="BatchTrustRegionBox",
+            ),
             pytest.param(15, DiscreteThompsonSampling(500, 5), id="DiscreteThompsonSampling"),
             pytest.param(
                 15,

tests/unit/acquisition/test_optimizer.py

@@ -45,6 +45,7 @@
     DiscreteSearchSpace,
     LinearConstraint,
     SearchSpace,
+    TaggedMultiSearchSpace,
     TaggedProductSearchSpace,
 )
 from trieste.types import TensorType
@@ -203,6 +204,40 @@ def test_optimize_continuous_raises_with_invalid_vectorized_batch_size(batch_siz
         generate_continuous_optimizer()(search_space, (acq_fn, batch_size))
 
 
+def test_optimize_continuous_raises_with_mismatch_multi_search_space() -> None:
+    space_A = Box([-1], [2])
+    space_B = Box([3], [4])
+    multi_space = TaggedMultiSearchSpace(spaces=[space_A, space_B])
+    acq_fn = _quadratic_sum([1.0])
+    with pytest.raises(TF_DEBUGGING_ERROR_TYPES, match="The batch shape of initial samples 2 must"):
+        generate_continuous_optimizer()(multi_space, acq_fn)
+
+
+def test_optimize_continuous_finds_points_in_multi_search_space_boxes() -> None:
+    # Test with non-overlapping grid of 2D boxes. Optimize them as a batch and check that each
+    # point is only in the corresponding box.
+    boxes = [Box([x, y], [x + 0.7, y + 0.7]) for x in range(-2, 2) for y in range(-2, 2)]
+    multi_space = TaggedMultiSearchSpace(spaces=boxes)
+    batch_size = len(boxes)
+
+    def target_function(x: TensorType) -> TensorType:  # [N, V, D] -> [N, V]
+        individual_func = [_quadratic_sum([1.0])(x[:, i : i + 1, :]) for i in range(batch_size)]
+        return tf.concat(individual_func, axis=-1)  # vectorize by repeating same function
+
+    optimizer = generate_continuous_optimizer()
+    optimizer = batchify_vectorize(optimizer, batch_size)
+    max_points = optimizer(multi_space, target_function)
+
+    # Ensure order of points is the same as the order of boxes and that each point is only in the
+    # corresponding box.
+    for i, point in enumerate(max_points):
+        for j, box in enumerate(boxes):
+            if i == j:
+                assert point in box
+            else:
+                assert point not in box
+
+
 @pytest.mark.parametrize("num_optimization_runs", [1, 10])
 @pytest.mark.parametrize("num_initial_samples", [1000, 5000])
 def test_optimize_continuous_correctly_uses_init_params(