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saitcakmakfacebook-github-bot
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Lower bound noise in SaasPyroModel (#1586)
Summary: Pull Request resolved: #1586 X-link: facebook/Ax#1338 Inspecting some models where we get the Cholesky errors, I found that the noise is around 1e-14 - 1e-15, which is very small. Adding a lower bound to the noise seems to let the model fit without errors. Reviewed By: dme65 Differential Revision: D42177954 fbshipit-source-id: 77c7280ad8f0619f40eacb33f62c5c9fe75a76a8
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botorch/models/fully_bayesian.py

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@@ -243,7 +243,7 @@ def sample_mean(self, **tkwargs: Any) -> Tensor:
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def sample_noise(self, **tkwargs: Any) -> Tensor:
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r"""Sample the noise variance."""
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if self.train_Yvar is None:
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return pyro.sample(
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return MIN_INFERRED_NOISE_LEVEL + pyro.sample(
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"noise",
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pyro.distributions.Gamma(
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torch.tensor(0.9, **tkwargs),

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