EHVI & NEHVI break with more than 7 objectives

[ronald-jaepel]

EHVI & NEHVI break with more than 7 objectives

[Balandat]

One thing to note is that HV-based acquisition functions generally don't scale well to problems with many objectives. 2-3 is generally fine, for 4+ you'll likely see a pretty substantial slowdown and/or memory explosion because of how complex the box decompositions of the Pareto set become. In cases with 8 objective such as yours you'll likely want to either express some of the objectives as constraints instead (if that's possible), drop them from the optimization, or use a different acquisition function such as qParEGO (which will scale better but is less sample efficient).

[esantorella]

This reproduces. Thanks for reporting. Weird bug!

[esantorella]

I started looking into this, and the bug seems to stem from hypervolume computations starting to use zero cells once m>7, because this check for Pareto dominance always evaluates to False. I'm not sure why yet. That issue didn't happen when I tried to reproduce this using pure BoTorch, so I'm leaving this as an Ax issue for now -- I'm not sure if this is a BoTorch bug or if Ax is passing bad inputs.

[Balandat]

cc @sdaulton