def optimize_hp(X,
Y,
E,
mode='grid',
n_splits=3,
n_repeats=5,
verbose=True,
**params):
"""
Optimize the (hyper)parameters of a DeepSurvK model using
cross-validation.
Parameters
----------
X: pandas DataFrame
Data
Y: pandas DataFrame
It needs to have column 'T'
E: pandas DataFrame
It needs to have column 'E'
mode: string
Possible values are:
'grid' (default)
'random' TODO
n_splits: int (optional)
Number of folds. Default value is 3, as suggested in [1].
n_repeats: int (optional)
Number of CV repetition. Default value is 5.
verbose: boolean (optional)
Define if verbose output is desired (True, default) or not (False)
params: dictionary
Each key corresponds to a parameter.
The values correspond to a list of parameters to be explored.
The number of epochs can be defined here. It should also be given as
an entry of the dictionary with key `epochs` and value a list
comprised of only one element. If the list has more than
one element, only the first one will be considered. If number
of epochs isn't defined by the user, then a default of 1000 will
be used.
Returns
-------
best_params: dictionary
Best parameters.
Each key corresponds to a parameter.
The values correspond to the optimized parameter.
References
----------
[1] Katzman, Jared L., et al. "DeepSurv: personalized treatment recommender system using a Cox proportional hazards deep neural network." BMC medical research methodology 18.1 (2018): 24.
"""
# Check if number of epochs was defined.
if 'epochs' in params:
# If yes, extract its value (and remove it from the dictionary,
# since it won't be optimized).
epochs = params['epochs'][0]
params.pop('epochs')
else:
# If not, set a default value of 1000.
epochs = 1000
# Generating a list of dictionaries with all possible combinations.
# Trick from https://stackoverflow.com/a/61335465/948768
keys, values = zip(*params.items())
params_list = [dict(zip(keys, v)) for v in itertools.product(*values)]
# Compute important parameters.
n_features = X.shape[1]
n_combinations = len(params_list)
if verbose:
print(f"Optimizing {n_combinations} parameter combinations.")
if verbose:
started_at = datetime.datetime.now().replace(microsecond=0)
print("Optimization started at: ", end='', flush=True)
print(started_at.strftime("%Y-%m-%d %H:%M:%S"))
# Initialize important variables.
c_index_mean = []
c_index_std = []
# Loop through all possible parameter combinations.
for ii, params_curr in enumerate(params_list):
if verbose:
print(f"Parameter set {ii+1}/{n_combinations}...")
print(params_curr)
# Create RepatedKFold object.
rkf = RepeatedKFold(n_splits=n_splits, n_repeats=n_repeats)
# To store results.
c_index_param = []
# Loop through different data partitions.
for jj, (train_index, val_index) in enumerate(rkf.split(X, Y)):
if verbose:
print(f"\tIteration {jj+1}/{n_splits*n_repeats}...",
end='',
flush=True)
# Perform data partition.
X_train, X_val = X.iloc[train_index, :], X.iloc[val_index, :]
Y_train, Y_val = Y.iloc[train_index, :], Y.iloc[val_index, :]
E_train, E_val = E.iloc[train_index, :], E.iloc[val_index, :]
# Create DSK model (with current loop's parameters)
dsk = deepsurvk.DeepSurvK(n_features=n_features,
E=E_train,
**params_curr)
loss = deepsurvk.negative_log_likelihood(E_train)
dsk.compile(loss=loss)
callbacks = deepsurvk.common_callbacks()
# Fit model.
n_patients_train = X_train.shape[0]
dsk.fit(X_train,
Y_train,
batch_size=n_patients_train,
epochs=epochs,
callbacks=callbacks,
shuffle=False)
# Generate predictions.
Y_pred_val = np.exp(-dsk.predict(X_val))
# Compute quality metric (c-index)
c = deepsurvk.concordance_index(Y_val, Y_pred_val, E_val)
c_index_param.append(c)
if verbose:
print(f"\tc-index = {c}")
# Calculate c-index mean and STD for current parameter set.
c_index_mean.append(np.nanmean(c_index_param))
c_index_std.append(np.nanstd(c_index_param))
if verbose:
ended_at = datetime.datetime.now().replace(microsecond=0)
print("Optimization ended at: ", end='', flush=True)
print(ended_at.strftime("%Y-%m-%d %H:%M:%S"))
print(f"Optimization took {ended_at-started_at}")
# Find parameter combination with highest c-index.
c_index_mean_max = max(c_index_mean)
idx = c_index_mean.index(c_index_mean_max)
best_params = params_list[idx]
return best_params
'n_layers': 1,
'n_nodes': 8,
'activation': 'selu',
'learning_rate': 0.154,
'decays': 5.667e-3,
'momentum': 0.887,
'l2_reg': 6.551,
'dropout': 0.661,
'optimizer': 'nadam'
}
#%%
dsk = deepsurvk.DeepSurvK(n_features=n_features, E=E_train, **params)
#%%
loss = deepsurvk.negative_log_likelihood(E_train)
dsk.compile(loss=loss)
#%%
callbacks = deepsurvk.common_callbacks()
epochs = 1000
history = dsk.fit(X_train,
Y_train,
batch_size=n_patients_train,
epochs=epochs,
callbacks=callbacks,
shuffle=False)
#%%
deepsurvk.plot_loss(history)