def test_params() -> None:
params = {"x": 1}
trial = _create_trial(
value=0.2,
params=params,
distributions={"x": FloatDistribution(0, 10)},
)
assert trial.suggest_uniform("x", 0, 10) == 1
assert trial.params == params
params = {"x": 2}
trial.params = params
assert trial.suggest_uniform("x", 0, 10) == 2
assert trial.params == params
def f(trial: optuna.trial.Trial) -> float:
x = trial.suggest_uniform("x", -10, 10)
y = trial.suggest_loguniform("y", 10, 20)
z = trial.suggest_categorical("z", (10.0, 20.5, 30.0))
assert isinstance(z, float)
return x**2 + y**2 + z
def f(trial):
# type: (optuna.trial.Trial) -> float
x = trial.suggest_uniform('x', -10, 10)
y = trial.suggest_loguniform('y', 10, 20)
z = trial.suggest_categorical('z', (10, 20.5, 30))
return x**2 + y**2 + z
def objective(trial: BaseTrial) -> float:
a = trial.suggest_uniform("a", 0.0, 10.0)
b = trial.suggest_loguniform("b", 0.1, 10.0)
c = trial.suggest_discrete_uniform("c", 0.0, 10.0, 1.0)
d = trial.suggest_int("d", 0, 10)
e = trial.suggest_categorical("e", [0, 1, 2])
f = trial.suggest_int("f", 1, 10, log=True)
assert isinstance(e, int)
return a + b + c + d + e + f
def __call__(self, trial):
# optional variables sampling ( to implement in the future)
# if x_var_num_range is not None:
# number_of_var = list(range(self.x_var_num_range[0], self.x_var_num_range[1]+1))
# x_var = np.random.choice(list(x_var.columns), number_of_var)
# else:
# x_var = x_train.columns
if self.params is not None:
params = exec(self.params)
else:
params = None
if self.method == 'SVC': # support vectors machine
SVM_params = {
'svc_c': trial.suggest_loguniform('svc_c', 1e-10, 1e10)
}
if params is not None:
SVM_params.update(params)
model = sklearn.svm.SVC(**SVM_params)
elif self.method == 'RF': # random forest
# https://scikit-learn.org/stable/modules/generated/sklearn.ensemble.RandomForestClassifier.html#sklearn.ensemble.RandomForestClassifier.feature_importances_
RF_params = {
'n_estimators':
int(trial.suggest_uniform('n_estimators', 20, 300)),
'max_depth':
int(trial.suggest_uniform('max_depth', 2, 50)),
'criterion':
trial.suggest_categorical('criterion', ['gini', 'entropy']),
'bootstrap':
trial.suggest_categorical('bootstrap', [True, False]),
'class_weight':
trial.suggest_categorical(
'class_weight', ['balanced', 'balanced_subsample', None])
}
if params is not None:
RF_params.update(params)
model = RandomForestClassifier(**RF_params, n_jobs=15)
elif self.method == 'AB': # ada boost
AB_params = {
'n_estimators':
int(trial.suggest_uniform('n_estimators', 20, 300)),
'learning_rate':
trial.suggest_uniform('learning_rate', 0.05, 0.3),
'algorithm':
trial.suggest_categorical('algorithm', ['SAMME.R', 'SAMME'])
}
if params is not None:
AB_params.update(params)
model = AdaBoostClassifier(**AB_params)
elif self.method == 'GB': # gradient boost
GB_params = {
'n_estimators':
int(trial.suggest_loguniform('n_estimators', 20, 300)),
'learning_rate':
trial.suggest_loguniform('learning_rate', 0.01, 0.5),
'max_depth':
int(trial.suggest_loguniform('max_depth', 2, 50)),
'loss':
trial.suggest_categorical('loss', ['deviance', 'exponential'])
}
if params is not None:
GB_params.update(params)
model = GradientBoostingClassifier(**GB_params)
elif self.method == 'NB': # naive bayes
NB_params = {
'var_smoothing':
trial.suggest_loguniform('var_smoothing', 1e-10, 1e-05)
}
if params is not None:
NB_params.update(params)
model = skl.naive_bayes.GaussianNB(**NB_params)
elif self.method == 'KNN': # k-nearest neighbours
KNN_params = {
'n_neighbors':
int(trial.suggest_loguniform('n_neighbors', 3, 7))
}
if params is not None:
KNN_params.update(params)
model = skl.neighbors.KNeighborsClassifier(**KNN_params)
elif self.method == 'LR': # logistic retression
LR_params = {
'penalty':
trial.suggest_categorical('penalty', ['l1', 'l2']),
'fit_intercept':
trial.suggest_categorical('fit_intercept', [True, False])
}
if params is not None:
LR_params.update(params)
model = skl.linear_model.LogisticRegression(**LR_params)
elif self.method == 'LGBM': # logistic retression
LGBM_params = {
'penalty':
trial.suggest_categorical('penalty', ['l1', 'l2']),
'fit_intercept':
trial.suggest_categorical('fit_intercept', [True, False])
}
if params is not None:
LGBM_params.update(params)
model = LGBMClassifier(**LGBM_params)
elif self.method == 'XGB': # XGBoost
# https://xgboost.readthedocs.io/en/latest/parameter.html
XGB_params = {
'n_estimators':
int(trial.suggest_loguniform('n_estimators', 5, 300)),
'booster':
trial.suggest_categorical('booster', ['dart', 'gbtree']),
'eta':
trial.suggest_loguniform('eta', 0.01, 0.5),
'max_depth':
int(trial.suggest_loguniform('max_depth', 3, 30))
# ,'reg_lambda': trial.suggest_loguniform( 'reg_lambda', 0, 1)
# ,'reg_alpha' : trial.suggest_loguniform( 'reg_alpha', 0, 1)
}
if params is not None:
XGB_params.update(params)
model = XGBClassifier(**XGB_params, nthread=15)
elif self.method == 'CAT': # catboost
# https://catboost.ai/docs/concepts/python-reference_parameters-list.html#python-reference_parameters-list
CAT_params = {
'iterations':
int(trial.suggest_loguniform('iterations', 20, 300)),
'learning_rate':
trial.suggest_loguniform('learning_rate', 0.01, 0.5),
'depth':
int(trial.suggest_loguniform('depth', 2, 16))
}
if params is not None:
CAT_params.update(params)
model = CatBoostClassifier(**CAT_params,
early_stopping_rounds=75,
logging_level='Silent')
# calibration (optional)
if self.calibration_method is not None:
model = CalibratedClassifierCV(model,
cv=3,
method=self.calibration_method)
# model fit
model.fit(self.x_train, self.y_train)
# y labels
y_labels = list(self.y_train.drop_duplicates())
y_labels.sort()
self.y_labels = y_labels
# model prediction and classification
prob_train = pd.DataFrame(model.predict_proba(self.x_train),
columns=[str(x) for x in model.classes_])
prob_train = prob_train.reset_index(drop=True)
prob_test = pd.DataFrame(model.predict_proba(self.x_test),
columns=[str(x) for x in model.classes_])
prob_test = prob_test.reset_index(drop=True)
if self.priori is not None:
for p in range(prob_test.shape[1]):
var = prob_test.columns[p]
priori_p = self.priori[var]
prob_test.iloc[:, p] = prob_test.iloc[:, p] * priori_p
prob_train.iloc[:, p] = prob_train.iloc[:, p] * priori_p
prob_train_sum = prob_train.apply(lambda x: 1 / sum(x), axis=1)
prob_test_sum = prob_test.apply(lambda x: 1 / sum(x), axis=1)
for p in self.y_labels:
prob_train.loc[:,
p] = prob_train.loc[:, p] * prob_train_sum
prob_test.loc[:, p] = prob_test.loc[:, p] * prob_test_sum
if prob_test.shape[1] == 2 and self.threshold is not None:
var_1 = list(self.threshold.keys())[0]
var_2 = list(self.threshold.keys())[1]
threshold_var_1 = list(self.threshold.values())[0]
threshold_var_2 = list(self.threshold.values())[1]
classification_train = pd.DataFrame([
var_1 if x >= threshold_var_1 else var_2
for x in prob_train[str(var_1)]
])
classification_test = pd.DataFrame([
var_1 if x >= threshold_var_1 else var_2
for x in prob_test[str(var_1)]
])
else:
classification_train = pd.DataFrame(prob_train.idxmax(
axis=1)) # zapis jako DataFrame by dalej zrobić 'concat'
classification_test = pd.DataFrame(prob_test.idxmax(
axis=1)) # zapis jako DataFrame by dalej zrobić 'concat'
# selection and determining score function to optimize
balanced_accuracy = skm.balanced_accuracy_score(
y_true=self.y_test, y_pred=classification_test)
accuracy = skm.accuracy_score(y_true=self.y_test,
y_pred=classification_test)
# ta funkcja nie jest napisane pod katem modeli multilabel
aps = average_precision_score(y_true=self.y_test,
y_score=prob_test[str(self.pos_label)],
pos_label=str(self.pos_label))
skm.recall_score(y_true=self.y_test.astype(int),
y_pred=classification_test.astype(int),
average='binary',
pos_label=self.pos_label)
# recall
try:
if len(self.y_labels) < 3:
recall_train = skm.recall_score(
y_true=self.y_train.astype(int),
y_pred=classification_train.astype(int),
average='binary',
pos_label=self.pos_label)
recall_test = skm.recall_score(
y_true=self.y_test.astype(int),
y_pred=classification_test.astype(int),
average='binary',
pos_label=self.pos_label)
else:
recall_train = skm.recall_score(
y_true=self.y_train.astype(str),
y_pred=classification_train.astype(str),
average='weighted')
recall_test = skm.recall_score(
y_true=self.y_test.astype(str),
y_pred=classification_test.astype(str),
average='weighted')
except:
recall_train = np.nan
recall_test = np.nan
# precision
try:
if len(self.y_labels) < 3:
precision_train = skm.precision_score(
y_true=self.y_train.astype(int),
y_pred=classification_train.astype(int),
average='binary',
pos_label=self.pos_label)
precision_test = skm.precision_score(
y_true=self.y_test.astype(int),
y_pred=classification_test.astype(int),
average='binary',
pos_label=self.pos_label)
else:
precision_train = skm.precision_score(
y_true=self.y_train.astype(str),
y_pred=classification_train.astype(str),
average='weighted')
precision_test = skm.precision_score(
y_true=self.y_test.astype(str),
y_pred=classification_test.astype(str),
average='weighted')
except:
precision_train = np.nan
precision_test = np.nan
# f1
try:
if len(self.y_labels) < 3:
f1_train = skm.f1_score(y_true=self.y_train,
y_pred=classification_train,
average='binary',
pos_label=str(self.pos_label))
f1_test = skm.f1_score(y_true=self.y_test,
y_pred=classification_test,
average='binary',
pos_label=str(self.pos_label))
else:
f1_train = skm.f1_score(y_true=self.y_train,
y_pred=classification_train,
average='weighted')
f1_test = skm.f1_score(y_true=self.y_test,
y_pred=classification_test,
average='weighted')
except:
f1_train = np.nan
f1_test = np.nan
scores = pd.DataFrame([[
balanced_accuracy, accuracy, recall_train, recall_test,
precision_train, precision_test, f1_train, f1_test, aps
]],
columns=[
'balanced_accuracy', 'accuracy',
'recall_train', 'recall_test',
'precision_train', 'precision_test',
'f1_train', 'f1_test', 'aps'
])
self.scores = pd.concat([self.scores, scores])
# zeracanie scoru którego 'optuna' używa do optymalizacji grida (możemy chyba tylko jedną wartość zwrócić.
if self.opt_function == 'balanced_accuracy':
return (balanced_accuracy)
elif self.opt_function == 'aps':
return (aps)
elif self.opt_function == 'accuracy':
return (accuracy)
elif self.opt_function == 'recall':
return (recall_test)
elif self.opt_function == 'precision':
return (precision_test)