def auto_tune(self,
X,
y,
num_evals=50,
num_folds=2,
opt_metric="r_squared",
nprocs=1):
if nprocs == -1:
nprocs = mp.cpu_count()
if nprocs != 1:
pmap = optunity.parallel.create_pmap(nprocs)
else:
pmap = inspect.signature(
optunity.minimize_structured).parameters["pmap"].default
if opt_metric == "r_squared":
optimal_configuration, info, _ = optunity.maximize_structured(
partial(self._eval_factory(num_folds, r_squared), X, y),
search_space=self.search,
num_evals=num_evals,
pmap=pmap)
if opt_metric == "mse":
optimal_configuration, info, _ = optunity.minimize_structured(
partial(self._eval_factory(num_folds, mse), X, y),
search_space=self.search,
num_evals=num_evals,
pmap=pmap)
return optimal_configuration
def compute_optimal_parameters(source,
target,
source_labels,
target_labels,
method_name,
classifier,
num_evals=50):
if 'no_transfer' in method_name:
return {}
def to_maximize(**kwargs):
kwargs = process_space_dict(kwargs, INT_ARGS)
returned = do_method(source, target, source_labels, target_labels,
method_name, classifier, kwargs)
if method_name == 'ada':
return sklearn.metrics.balanced_accuracy_score(*reversed(returned))
pred = classifier().fit(returned[0],
source_labels).predict(returned[1])
# See https://stackoverflow.com/questions/25652663/scipy-sparse-eigensolver-memoryerror-after-multiple-passes-through-loop-without
gc.collect()
return sklearn.metrics.balanced_accuracy_score(target_labels, pred)
space = SEARCH_SPACES_METHODS[method_name]
optimal_params, _, _ = optunity.maximize_structured(to_maximize,
space,
num_evals=num_evals)
optimal_params = process_space_dict(optimal_params, INT_ARGS)
return optimal_params
def fit(self, X, y):
if not self.loader:
self.loader = lambda: (X, y)
est = self.estimator
scorer = self.scoring
cv = self.cv
loader = self.loader
callback = self.callback
length = len(cv) * self.max_iter
if callback:
callback(0, length)
transforms = self.transforms
cacher = self.cacher
fit_callback = self.fit_callback
mapper = self.mapper
cv_scores = {}
def fit_func(**params):
params = apply_transforms(params, transforms)
base_id = len(cv_scores) * len(cv)
scores = PSOSearch.cross_val_score(base_index=base_id,
estimator=est,
parameters=params,
loader=loader,
cv=cv,
scorer=scorer,
fit_callback=fit_callback,
cacher=cacher,
callback=callback,
mapper=mapper)
cv_score = _CVScoreTuple(params, np.mean(scores), scores)
cv_scores[base_id] = cv_score
best_score_params = cv_scores.values()[np.argmax(
np.array(
map(lambda score: score.mean_validation_score,
cv_scores.itervalues())))]
best_score_mean = best_score_params.mean_validation_score
best_score_std = np.std(best_score_params.cv_validation_scores)
if callback:
callback(description='%.3f+-%.3f' %
(best_score_mean, best_score_std))
return scores.mean()
np.random.seed(1)
random.seed(1)
res, optimize_results, solver_info = optunity.maximize_structured(
fit_func, self.space, num_evals=self.max_iter)
self._best_score = optimize_results[0]
self._grid_scores = cv_scores
self._best_params = res
def maximise(self, target, num_evals, search=None, verbose=20,
**constants):
"""
maximise target within defined search space
target has signature score=target(**params)
constants are fixed for every iteration e.g. x and y
verbose=20 report every iteration
"""
self.verbose = verbose
if search is None:
with open("search.yaml") as f:
search = yaml.load(f)
#pprint(search_space)
self.cleanparams(search)
#pprint(search_space)
# note ignore return values as using runs instead
# runs has functions such as plot, report and correlations
optunity.maximize_structured(self.make_target(target, **constants),
search_space=search,
num_evals=num_evals)
self.runs.report()
def run_optunity(self):
cv_decorator = optunity.cross_validated(
x=self.X,
y=self.Y,
)
svm_tuned_auroc = cv_decorator(self.svm_tuned_auroc)
optimal_svm_pars, info, _ = optunity.maximize_structured(
svm_tuned_auroc, self.space, num_evals=150, pmap=optunity.pmap)
print("Optimal parameters" + str(optimal_svm_pars))
print("AUROC of tuned SVM: %1.3f" % info.optimum)
df = optunity.call_log2dataframe(info.call_log)
print(df.sort_values('value', ascending=False))
def train(self):
self._pca.fit(self._features_data)
features_pca = self._pca.transform(self._features_data)
cv_decorator = optunity.cross_validated(x=features_pca,
y=self._labels,
num_folds=5)
svm_tuned = cv_decorator(svm_tuned_precision)
optimal_svm_pars, _, _ = optunity.maximize_structured(
svm_tuned,
_SVM_SEARCH_SPACE,
num_evals=self._config.get('num_evals', 100))
self._model = _train_model(features_pca, self._labels,
**optimal_svm_pars)
def optimize(self,
data,
search_space,
val_data=None,
num_evals=50,
optimize='max',
solver_name='particle swarm'):
"""
Parameters:
-----------
data: [X, Y] - arrays
This data will be used for crossval training (considering 'train_test_split' parameter)
search_space: dict
Dict with parameters to optimize. E.g. 'units' : [100,1000]
val_data: [X, Y] - arrays
Default - None. If specified than optimizer metric will be evaluated on val_data. Also if specified than 'train_test_split' parameter will be ignored.
num_evals: int
Count of iterations for optunity optimizer
optimize: str
'max'/'min' supported
solver_name: str
Default 'particle swarm'. Only default parameter supported now.
"""
train_manager = self._create_train_manager(data, val_data,
search_space)
sys.setrecursionlimit(100000)
if (optimize == 'max'):
self.retr, self.extra, self.info = opt.maximize_structured(
f=train_manager.train,
num_evals=num_evals,
search_space=search_space)
elif (optimize == 'min'):
self.retr, self.extra, self.info = opt.minimize_structured(
f=train_manager.train,
search_space=search_space,
num_evals=num_evals)
else:
raise (InvalidParamError('optimize', optimize))
#load and ret best
best_model = train_manager.get_best_model(self.extra)
return best_model
def compute_roc_tuned(x_train, y_train, x_test, y_test):
# define objective function
@optunity.cross_validated(x=x_train, y=y_train, num_iter=2, num_folds=5)
def inner_cv(x_train, y_train, x_test, y_test, kernel='linear', C=0, gamma=0, degree=0, coef0=0):
model = train_model(x_train, y_train, kernel, C, gamma, degree, coef0)
decision_values = model.decision_function(x_test)
return optunity.metrics.roc_auc(y_test, decision_values)
# optimize parameters
optimal_pars, _, _ = optunity.maximize_structured(inner_cv, space, 70, pmap=optunity.pmap)
print('optimal parameters after tuning %s' % str(optimal_pars))
# if you are running this in IPython, optunity.pmap will not work
# more info at: https://github.com/claesenm/optunity/issues/8
# comment out the above line and replace by the one below:
# optimal_pars, _, _ = optunity.maximize_structured(inner_cv, space, 200)
tuned_model = train_model(x_train, y_train, **optimal_pars)
decision_values = tuned_model.decision_function(x_test)
auc = optunity.metrics.roc_auc(y_test, decision_values)
return auc
def prepare_svm(X, Y, prob_setting):
'''
Code inspired by http://optunity.readthedocs.org/en/latest/notebooks/notebooks/sklearn-svc.html#tune-svc-without-deciding-the-kernel-in-advance
'''
cv_decorator = optunity.cross_validated(x=X, y=Y, num_folds=10)
space = {'kernel': {'linear': {'C': [0, 1000], 'class_weight_param': [1, 22]},
'rbf': {'logGamma': [-5, 1], 'C': [0, 1000], 'class_weight_param': [1, 22]},
'poly': {'degree': [2, 5], 'C': [0, 1000], 'coef0': [0, 100],
'class_weight_param': [1, 22]}}}
def train_model(x_train, y_train, kernel, C, logGamma, degree, coef0, classWeightParam):
if kernel=='linear':
model = SVC(kernel=kernel, C=C, class_weight={1: classWeightParam})
elif kernel=='poly':
model = SVC(kernel=kernel, C=C, degree=degree, coef0=coef0, class_weight={1: classWeightParam})
elif kernel=='rbf':
model = SVC(kernel=kernel, C=C, gamma=10 ** logGamma, class_weight={1: classWeightParam})
else:
raise ValueError("Unknown kernel function: %s" % kernel)
model.fit(x_train, y_train)
return model
def svm_tuned_auroc(x_train, y_train, x_test, y_test, kernel='linear', C=0, logGamma=0, degree=0, coef0=0, class_weight_param=1):
model = train_model(x_train, y_train, kernel, C, logGamma, degree, coef0, class_weight_param)
decision_values = model.decision_function(x_test)
return optunity.metrics.roc_auc(y_test, decision_values)
svm_tuned_auroc = cv_decorator(svm_tuned_auroc)
optimal_svm_pars, info, _ = optunity.maximize_structured(svm_tuned_auroc, space, num_evals=200)
print("Optimal parameters:"+str(optimal_svm_pars))
print("AUROC of tuned SVM: %1.3f" % info.optimum)
classifier = build_svc(optimal_svm_pars, prob_setting)
classifier.fit(X, Y)
return classifier
model.fit(x_train, y_train)
else:
raise ArgumentError('Unknown algorithm: %s' % algorithm)
# predict the test set
if algorithm == 'SVM':
predictions = model.decision_function(x_test)
else:
predictions = model.predict_proba(x_test)[:, 1]
return optunity.metrics.roc_auc(y_test, predictions, positive=True)
performance(algorithm='k-nn', n_neighbors=3)
optimal_configuration, info, _ = optunity.maximize_structured(
performance, search_space=search, num_evals=300)
print(optimal_configuration)
print(info.optimum)
solution = dict([(k, v) for k, v in optimal_configuration.items()
if v is not None])
print('Solution\n========')
print("\n".join(map(lambda x: "%s \t %s" % (x[0], str(x[1])),
solution.items())))
#basic optim
def create_objective_function():
xoff = random.random()
yoff = random.random()
def optimise_sgd(self):
self.__log.write("Optimising SGD model")
self.__sgd_tuned_auroc_ = self.__cv_decorator_(self.__sgd_tuned_auroc_)
optimal_sgd_pars, info, _ = optunity.maximize_structured(self.__sgd_tuned_auroc_, self.__sgd_space_, num_evals=150)
print("Optimal parameters" + str(optimal_sgd_pars))
print("AUROC of tuned SVM: %1.3f" % info.optimum)
C=0,
logGamma=0,
degree=0,
coef0=0):
model = train_model(x_train, y_train, kernel, C, logGamma, degree, coef0)
decision_values = model.decision_function(x_test)
return optunity.metrics.roc_auc(y_test, decision_values)
svm_tuned_auroc = cv_decorator(svm_tuned_auroc)
#print svm_default_auroc(C=1.0, logGamma=0.0)
# optimal_rbf_pars, info, _ = optunity.maximize(svm_rbf_tuned_auroc, num_evals=150, C=[0, 10], logGamma=[-5, 0])
optimal_svm_pars, info, _ = optunity.maximize_structured(svm_tuned_auroc,
space,
num_evals=150)
# when running this outside of IPython we can parallelize via optunity.pmap
# optimal_rbf_pars, _, _ = optunity.maximize(svm_rbf_tuned_auroc, 150, C=[0, 10], gamma=[0, 0.1], pmap=optunity.pmap)
print("Optimal parameters: " + str(optimal_svm_pars))
print("AUROC of tuned SVM with RBF kernel: %1.3f" % info.optimum)
# df = optunity.call_log2dataframe(info.call_log)
# print df.sort('value', ascending=False)
# if optimal_svm_pars['kernel'] == 'rbf':
svc = SVC(C=optimal_svm_pars['C'],
kernel='rbf',
gamma=10**optimal_svm_pars['logGamma'],
def RF_pred(X_train, Y_train, X_test, Y_test, n_splits=5, num_evals=100):
@optunity.cross_validated(x=X_train, y=Y_train, num_folds=n_splits)
def fun_max(x_train, y_train, x_test, y_test, n_estimators, max_depth,
max_features, min_samples_split):
if max_features < 0.5:
max_features = "auto"
else:
max_features = "sqrt"
clf = RandomForestClassifier(n_estimators=int(n_estimators),
max_depth=int(max_depth),
max_features=max_features,
min_samples_split=int(min_samples_split),
class_weight="balanced")
clf.fit(x_train, y_train)
score = optunity.metrics.roc_auc(y_test,
clf.predict_proba(x_test)[:, 1])
#print(f"Average AUC on {n_splits}-fold validation with {int(n_estimators)} trees of max depth :{max_depth} = {score}")
return (score)
#Grid Search definition.
# Number of trees in random forest
n_estimators = [100, 1000]
# Number of features to consider at every split
max_features = [0, 1]
# Maximum number of levels in tree
max_depth = [5, 25]
#max_depth.append(None)
#Minimum number of samples required to split a node
min_samples_split = [2, 10]
# Minimum number of samples required at each leaf node
#min_samples_leaf = [1,4]
# Method of selecting samples for training each tree
#bootstrap = [True, False]
# Create the random grid
random_grid = {
'n_estimators': n_estimators,
'max_depth': max_depth,
'max_features': max_features,
'min_samples_split': min_samples_split
#'min_samples_leaf': min_samples_leaf}
#,
#'bootstrap': bootstrap
}
optimal_parameters, info, _ = optunity.maximize_structured(
fun_max,
search_space=random_grid,
num_evals=num_evals,
pmap=optunity.pmap)
print(
f"Optimal parameters : {optimal_parameters} with AUC of {info.optimum}"
)
#Evaluating on test set :
if optimal_parameters["max_features"] < 0.5:
max_feats = "auto"
else:
max_feats = "sqrt"
clf = RandomForestClassifier(
n_estimators=int(optimal_parameters["n_estimators"]),
max_depth=int(optimal_parameters["max_depth"]),
max_features=max_feats,
min_samples_split=int(optimal_parameters["min_samples_split"]),
class_weight="balanced")
clf.fit(X_train, Y_train)
fpr, tpr, _ = roc_curve(Y_test, clf.predict_proba(X_test)[:, 1])
precision, recall, _ = precision_recall_curve(
Y_test,
clf.predict_proba(X_test)[:, 1])
#np.save("./plots/fpr_RF.npy",fpr)
#np.save("./plots/tpr_RF.npy",tpr)
score = roc_auc_score(Y_test, clf.predict_proba(X_test)[:, 1])
print(f"ROC AUC with optimal set of hyperparameters : {score}")
return (score, fpr, tpr, precision, recall, clf)
def methodSelection(data,labels):
def train_svm(data, labels, kernel, C, gamma, degree, coef0):
"""A generic SVM training function, with arguments based on the chosen kernel."""
if kernel == 'linear':
model = SVC(kernel=kernel, C=C)
elif kernel == 'poly':
model = SVC(kernel=kernel, C=C, degree=degree, coef0=coef0)
elif kernel == 'rbf':
model = SVC(kernel=kernel, C=C, gamma=gamma)
else:
raise ArgumentError("Unknown kernel function: %s" % kernel)
model.fit(data, labels)
return model
search = {'algorithm': {'k-nn': {'n_neighbors': [1, 10]},
'SVM': {'kernel': {'linear': {'C': [0, 2]},
'rbf': {'gamma': [0, 1], 'C': [0, 10]},
'poly': {'degree': [2, 5], 'C': [0, 50], 'coef0': [0, 1]}
}
},
'naive-bayes': None,
'random-forest': {'n_estimators': [10, 30],
'max_features': [5, 20]}
}
}
@optunity.cross_validated(x=data, y=labels, num_folds=4)
def performance(x_train, y_train, x_test, y_test,
algorithm, n_neighbors=None, n_estimators=None, max_features=None,
kernel=None, C=None, gamma=None, degree=None, coef0=None):
# fit the model
if algorithm == 'k-nn':
model = KNeighborsClassifier(n_neighbors=int(n_neighbors))
model.fit(x_train, y_train)
elif algorithm == 'SVM':
model = train_svm(x_train, y_train, kernel, C, gamma, degree, coef0)
elif algorithm == 'naive-bayes':
model = GaussianNB()
model.fit(x_train, y_train)
elif algorithm == 'random-forest':
model = RandomForestClassifier(n_estimators=int(n_estimators),
max_features=int(max_features))
model.fit(x_train, y_train)
else:
raise ArgumentError('Unknown algorithm: %s' % algorithm)
# predict the test set
if algorithm == 'SVM':
predictions = model.decision_function(x_test)
else:
predictions = model.predict_proba(x_test)[:, 1]
return optunity.metrics.roc_auc(y_test, predictions, positive=True)
optimal_configuration, info, _ = optunity.maximize_structured(performance,
search_space=search,
num_evals=300)
solution = dict([(k, v) for k, v in optimal_configuration.items() if v is not None])
print('Solution\n========')
print("\n".join(map(lambda x: "%s \t %s" % (x[0], str(x[1])), solution.items())))
print(info.optimum)
raise ArgumentError('Unknown algorithm: %s' % algorithm)
# predict the test set
if algorithm == 'SVM':
predictions = model.decision_function(x_test)
else:
predictions = model.predict_proba(x_test)[:, 1]
return optunity.metrics.roc_auc(y_test, predictions, positive=True)
performance(algorithm='k-nn', n_neighbors=3)
optimal_configuration, info, _ = optunity.maximize_structured(performance,
search_space=search,
num_evals=300)
print(optimal_configuration)
print(info.optimum)
solution = dict([(k, v) for k, v in optimal_configuration.items() if v is not None])
print('Solution\n========')
print("\n".join(map(lambda x: "%s \t %s" % (x[0], str(x[1])), solution.items())))
#basic optim
def create_objective_function():
xoff = random.random()
yoff = random.random()
def f(x, y):
return (x - xoff)**2 + (y - yoff)**2
return f
