modAL.acquisition added, PI acquisition function implemented

Author: cosmic-cortex

modAL/__init__.py

@@ -1,4 +1,5 @@
 from .models import ActiveLearner, Committee, CommitteeRegressor
+from .acquisition import PI, max_PI
 from .uncertainty import classifier_uncertainty, classifier_margin, classifier_entropy, \
                          uncertainty_sampling, margin_sampling, entropy_sampling
 from .disagreement import vote_entropy, consensus_entropy, KL_max_disagreement, \
@@ -7,6 +8,7 @@
 
 __all__ = [
     'ActiveLearner', 'Committee', 'CommitteeRegressor',
+    'PI', 'max_PI',
     'classifier_uncertainty', 'classifier_margin', 'classifier_entropy',
     'uncertainty_sampling', 'margin_sampling', 'entropy_sampling',
     'vote_entropy', 'consensus_entropy', 'KL_max_disagreement',

modAL/acquisition.py

@@ -0,0 +1,23 @@
+"""
+=====================
+Acquisition functions
+=====================
+-----------------------------------------------
+Acquisition functions for Bayesian optimization
+-----------------------------------------------
+"""
+
+from scipy.special import ndtr
+from modAL.utils.selection import multi_argmax
+
+
+def PI(optimizer, X, tradeoff=0):
+    mean, std = optimizer.predict(X, return_std=True)
+    return ndtr((mean - optimizer.max_val - tradeoff)/std)
+
+
+def max_PI(optimizer, X, tradeoff=0, n_instances=1):
+    pi = PI(optimizer, X, tradeoff=tradeoff)
+    query_idx = multi_argmax(pi, n_instances=n_instances)
+
+    return query_idx, X[query_idx]