class HyperoptOptimizer(AbstractOptimizer):
primary_import = "hyperopt"
def __init__(self, api_config, random=np_random):
"""Build wrapper class to use hyperopt optimizer in benchmark.
Parameters
----------
api_config : dict-like of dict-like
Configuration of the optimization variables. See API description.
"""
AbstractOptimizer.__init__(self, api_config)
self.random = random
space, self.round_to_values = HyperoptOptimizer.get_hyperopt_dimensions(api_config)
self.domain = Domain(dummy_f, space, pass_expr_memo_ctrl=None)
self.trials = Trials()
# Some book keeping like opentuner wrapper
self.trial_id_lookup = {}
# Store just for data validation
self.param_set_chk = frozenset(api_config.keys())
@staticmethod
def hashable_dict(d):
"""A custom function for hashing dictionaries.
Parameters
----------
d : dict or dict-like
The dictionary to be converted to immutable/hashable type.
Returns
-------
hashable_object : frozenset of tuple pairs
Bijective equivalent to dict that can be hashed.
"""
hashable_object = frozenset(d.items())
return hashable_object
@staticmethod
def get_hyperopt_dimensions(api_config):
"""Help routine to setup hyperopt search space in constructor.
Take api_config as argument so this can be static.
"""
# The ordering of iteration prob makes no difference, but just to be
# safe and consistnent with space.py, I will make sorted.
param_list = sorted(api_config.keys())
space = {}
round_to_values = {}
for param_name in param_list:
param_config = api_config[param_name]
param_type = param_config["type"]
param_space = param_config.get("space", None)
param_range = param_config.get("range", None)
param_values = param_config.get("values", None)
# Some setup for case that whitelist of values is provided:
values_only_type = param_type in ("cat", "ordinal")
if (param_values is not None) and (not values_only_type):
assert param_range is None
param_values = np.unique(param_values)
param_range = (param_values[0], param_values[-1])
round_to_values[param_name] = interp1d(
param_values, param_values, kind="nearest", fill_value="extrapolate"
)
if param_type == "int":
low, high = param_range
if param_space in ("log", "logit"):
space[param_name] = hp.qloguniform(param_name, np.log(low), np.log(high), 1)
else:
space[param_name] = hp.quniform(param_name, low, high, 1)
elif param_type == "bool":
assert param_range is None
assert param_values is None
space[param_name] = hp.choice(param_name, (False, True))
elif param_type in ("cat", "ordinal"):
assert param_range is None
space[param_name] = hp.choice(param_name, param_values)
elif param_type == "real":
low, high = param_range
if param_space in ("log", "logit"):
space[param_name] = hp.loguniform(param_name, np.log(low), np.log(high))
else:
space[param_name] = hp.uniform(param_name, low, high)
else:
assert False, "type %s not handled in API" % param_type
return space, round_to_values
def get_trial(self, trial_id):
for trial in self.trials._dynamic_trials:
if trial["tid"] == trial_id:
assert isinstance(trial, dict)
# Make sure right kind of dict
assert "state" in trial and "result" in trial
assert trial["state"] == JOB_STATE_NEW
return trial
assert False, "No matching trial ID"
def cleanup_guess(self, x_guess):
assert isinstance(x_guess, dict)
# Also, check the keys are only the vars we are searching over:
assert frozenset(x_guess.keys()) == self.param_set_chk
# Do the rounding
# Make a copy to be safe, and also unpack singletons
# We may also need to consider clip_chk at some point like opentuner
x_guess = {k: only(x_guess[k]) for k in x_guess}
for param_name, round_f in self.round_to_values.items():
x_guess[param_name] = round_f(x_guess[param_name])
# Also ensure this is correct dtype so sklearn is happy
x_guess = {k: DTYPE_MAP[self.api_config[k]["type"]](x_guess[k]) for k in x_guess}
return x_guess
def _suggest(self):
"""Helper function to `suggest` that does the work of calling
`hyperopt` via its dumb API.
"""
new_ids = self.trials.new_trial_ids(1)
assert len(new_ids) == 1
self.trials.refresh()
seed = random_seed(self.random)
new_trials = tpe.suggest(new_ids, self.domain, self.trials, seed)
assert len(new_trials) == 1
self.trials.insert_trial_docs(new_trials)
self.trials.refresh()
new_trial, = new_trials # extract singleton
return new_trial
def suggest(self, n_suggestions=1):
"""Make `n_suggestions` suggestions for what to evaluate next.
This requires the user observe all previous suggestions before calling
again.
Parameters
----------
n_suggestions : int
The number of suggestions to return.
Returns
-------
next_guess : list of dict
List of `n_suggestions` suggestions to evaluate the objective
function. Each suggestion is a dictionary where each key
corresponds to a parameter being optimized.
"""
assert n_suggestions >= 1, "invalid value for n_suggestions"
# Get the new trials, it seems hyperopt either uses random search or
# guesses one at a time anyway, so we might as welll call serially.
new_trials = [self._suggest() for _ in range(n_suggestions)]
X = []
for trial in new_trials:
x_guess = self.cleanup_guess(trial["misc"]["vals"])
X.append(x_guess)
# Build lookup to get original trial object
x_guess_ = HyperoptOptimizer.hashable_dict(x_guess)
assert x_guess_ not in self.trial_id_lookup, "the suggestions should not already be in the trial dict"
self.trial_id_lookup[x_guess_] = trial["tid"]
assert len(X) == n_suggestions
return X
def observe(self, X, y):
"""Feed the observations back to hyperopt.
Parameters
----------
X : list of dict-like
Places where the objective function has already been evaluated.
Each suggestion is a dictionary where each key corresponds to a
parameter being optimized.
y : array-like, shape (n,)
Corresponding values where objective has been evaluated.
"""
assert len(X) == len(y)
for x_guess, y_ in zip(X, y):
x_guess_ = HyperoptOptimizer.hashable_dict(x_guess)
assert x_guess_ in self.trial_id_lookup, "Appears to be guess that did not originate from suggest"
trial_id = self.trial_id_lookup.pop(x_guess_)
trial = self.get_trial(trial_id)
assert self.cleanup_guess(trial["misc"]["vals"]) == x_guess, "trial ID not consistent with x values stored"
# Cast to float to ensure native type
result = {"loss": float(y_), "status": STATUS_OK}
trial["state"] = JOB_STATE_DONE
trial["result"] = result
# hyperopt.fmin.FMinIter.serial_evaluate only does one refresh at end
# of loop of a bunch of evals, so we will do the same thing here.
self.trials.refresh()
class tuSOTOptimizer(AbstractOptimizer):
primary_import = "pysot"
def __init__(self, api_config):
"""Build wrapper class to use an optimizer in benchmark.
Parameters
----------
api_config : dict-like of dict-like
Configuration of the optimization variables. See API description.
"""
AbstractOptimizer.__init__(self, api_config)
self.space_x = JointSpace(api_config)
self.bounds = self.space_x.get_bounds()
self.create_opt_prob(
) # Sets up the optimization problem (needs self.bounds)
self.max_evals = np.iinfo(np.int32).max # NOTE: Largest possible int
self.turbo_batch_size = None
self.pysot_batch_size = None
self.history = []
self.proposals = []
self.lb, self.ub = self.bounds[:, 0], self.bounds[:, 1]
self.dim = len(self.bounds)
self.turbo = Turbo1(
f=None,
lb=self.bounds[:, 0],
ub=self.bounds[:, 1],
n_init=2 * self.dim + 1,
max_evals=self.max_evals,
batch_size=4, # We need to update this later
verbose=False,
)
# hyperopt
self.random = np_random
space, self.round_to_values = tuSOTOptimizer.get_hyperopt_dimensions(
api_config)
self.domain = Domain(dummy_f, space, pass_expr_memo_ctrl=None)
self.trials = Trials()
# Some book keeping like opentuner wrapper
self.trial_id_lookup = {}
# Store just for data validation
self.param_set_chk = frozenset(api_config.keys())
def restart(self):
self.turbo._restart()
self.turbo._X = np.zeros((0, self.turbo.dim))
self.turbo._fX = np.zeros((0, 1))
X_init = latin_hypercube(self.turbo.n_init, self.dim)
self.X_init = from_unit_cube(X_init, self.lb, self.ub)
def create_opt_prob(self):
"""Create an optimization problem object."""
opt = OptimizationProblem()
opt.lb = self.bounds[:, 0] # In warped space
opt.ub = self.bounds[:, 1] # In warped space
opt.dim = len(self.bounds)
opt.cont_var = np.arange(len(self.bounds))
opt.int_var = []
assert len(opt.cont_var) + len(opt.int_var) == opt.dim
opt.objfun = None
self.opt = opt
def start(self):
"""Starts a new pySOT run."""
self.history = []
self.proposals = []
# Symmetric Latin hypercube design
des_pts = max([self.pysot_batch_size, 2 * (self.opt.dim + 1)])
slhd = SymmetricLatinHypercube(dim=self.opt.dim, num_pts=des_pts)
# Warped RBF interpolant
rbf = RBFInterpolant(dim=self.opt.dim,
kernel=CubicKernel(),
tail=LinearTail(self.opt.dim),
eta=1e-4)
rbf = SurrogateUnitBox(rbf, lb=self.opt.lb, ub=self.opt.ub)
# Optimization strategy
self.strategy = SRBFStrategy(
max_evals=self.max_evals,
opt_prob=self.opt,
exp_design=slhd,
surrogate=rbf,
asynchronous=True,
batch_size=1,
use_restarts=True,
)
@staticmethod
def hashable_dict(d):
hashable_object = frozenset(d.items())
return hashable_object
@staticmethod
def get_hyperopt_dimensions(api_config):
param_list = sorted(api_config.keys())
space = {}
round_to_values = {}
for param_name in param_list:
param_config = api_config[param_name]
param_type = param_config["type"]
param_space = param_config.get("space", None)
param_range = param_config.get("range", None)
param_values = param_config.get("values", None)
# Some setup for case that whitelist of values is provided:
values_only_type = param_type in ("cat", "ordinal")
if (param_values is not None) and (not values_only_type):
assert param_range is None
param_values = np.unique(param_values)
param_range = (param_values[0], param_values[-1])
round_to_values[param_name] = interp1d(
param_values,
param_values,
kind="nearest",
fill_value="extrapolate")
if param_type == "int":
low, high = param_range
if param_space in ("log", "logit"):
space[param_name] = hp.qloguniform(param_name, np.log(low),
np.log(high), 1)
else:
space[param_name] = hp.quniform(param_name, low, high, 1)
elif param_type == "bool":
assert param_range is None
assert param_values is None
space[param_name] = hp.choice(param_name, (False, True))
elif param_type in ("cat", "ordinal"):
assert param_range is None
space[param_name] = hp.choice(param_name, param_values)
elif param_type == "real":
low, high = param_range
if param_space in ("log", "logit"):
space[param_name] = hp.loguniform(param_name, np.log(low),
np.log(high))
else:
space[param_name] = hp.uniform(param_name, low, high)
else:
assert False, "type %s not handled in API" % param_type
return space, round_to_values
def get_trial(self, trial_id):
for trial in self.trials._dynamic_trials:
if trial["tid"] == trial_id:
assert isinstance(trial, dict)
# Make sure right kind of dict
assert "state" in trial and "result" in trial
assert trial["state"] == JOB_STATE_NEW
return trial
assert False, "No matching trial ID"
def cleanup_guess(self, x_guess):
assert isinstance(x_guess, dict)
# Also, check the keys are only the vars we are searching over:
assert frozenset(x_guess.keys()) == self.param_set_chk
# Do the rounding
# Make a copy to be safe, and also unpack singletons
# We may also need to consider clip_chk at some point like opentuner
x_guess = {k: only(x_guess[k]) for k in x_guess}
for param_name, round_f in self.round_to_values.items():
x_guess[param_name] = round_f(x_guess[param_name])
# Also ensure this is correct dtype so sklearn is happy
x_guess = {
k: DTYPE_MAP[self.api_config[k]["type"]](x_guess[k])
for k in x_guess
}
return x_guess
def pysot_suggest(self, n_suggestions=1):
if self.pysot_batch_size is None: # First call to suggest
self.pysot_batch_size = n_suggestions
self.start()
# Set the tolerances pretending like we are running batch
d, p = float(self.opt.dim), float(n_suggestions)
self.strategy.failtol = p * int(max(np.ceil(d / p), np.ceil(4 / p)))
# Now we can make suggestions
x_w = []
self.proposals = []
for _ in range(n_suggestions):
proposal = self.strategy.propose_action()
record = EvalRecord(proposal.args, status="pending")
proposal.record = record
proposal.accept() # This triggers all the callbacks
# It is possible that pySOT proposes a previously evaluated point
# when all variables are integers, so we just abort in this case
# since we have likely converged anyway. See PySOT issue #30.
x = list(proposal.record.params) # From tuple to list
x_unwarped, = self.space_x.unwarp(x)
if x_unwarped in self.history:
warnings.warn("pySOT proposed the same point twice")
self.start()
return self.suggest(n_suggestions=n_suggestions)
# NOTE: Append unwarped to avoid rounding issues
self.history.append(copy(x_unwarped))
self.proposals.append(proposal)
x_w.append(copy(x_unwarped))
return x_w
def pysot_get_suggest(self, suggests):
turbo_suggest_warps = self.space_x.warp(suggests)
for i, warps in enumerate(turbo_suggest_warps):
proposal = self.strategy.make_proposal(warps)
proposal.add_callback(self.strategy.on_initial_proposal)
record = EvalRecord(proposal.args, status="pending")
proposal.record = record
proposal.accept()
self.history.append(copy(suggests[i]))
self.proposals.append(proposal)
def turbo_suggest(self, n_suggestions=1):
if self.turbo_batch_size is None: # Remember the batch size on the first call to suggest
self.turbo_batch_size = n_suggestions
self.turbo.batch_size = n_suggestions
self.turbo.failtol = np.ceil(
np.max([
4.0 / self.turbo_batch_size,
self.dim / self.turbo_batch_size
]))
self.turbo.n_init = max([self.turbo.n_init, self.turbo_batch_size])
self.restart()
X_next = np.zeros((n_suggestions, self.dim))
# Pick from the initial points
n_init = min(len(self.X_init), n_suggestions)
if n_init > 0:
X_next[:n_init] = deepcopy(self.X_init[:n_init, :])
self.X_init = self.X_init[
n_init:, :] # Remove these pending points
# Get remaining points from TuRBO
n_adapt = n_suggestions - n_init
if n_adapt > 0:
if len(self.turbo._X
) > 0: # Use random points if we can't fit a GP
X = to_unit_cube(deepcopy(self.turbo._X), self.lb, self.ub)
fX = copula_standardize(deepcopy(
self.turbo._fX).ravel()) # Use Copula
X_cand, y_cand, _ = self.turbo._create_candidates(
X,
fX,
length=self.turbo.length,
n_training_steps=100,
hypers={})
X_next[-n_adapt:, :] = self.turbo._select_candidates(
X_cand, y_cand)[:n_adapt, :]
X_next[-n_adapt:, :] = from_unit_cube(X_next[-n_adapt:, :],
self.lb, self.ub)
# Unwarp the suggestions
suggestions = self.space_x.unwarp(X_next)
return suggestions
def _hyperopt_suggest(self):
new_ids = self.trials.new_trial_ids(1)
assert len(new_ids) == 1
self.trials.refresh()
seed = random_seed(self.random)
new_trials = tpe.suggest(new_ids, self.domain, self.trials, seed)
assert len(new_trials) == 1
self.trials.insert_trial_docs(new_trials)
self.trials.refresh()
new_trial, = new_trials # extract singleton
return new_trial
def _hyperopt_transform(self, x):
new_id = self.trials.new_trial_ids(1)[0]
domain = self.domain
rng = np.random.RandomState(1)
idxs, vals = pyll.rec_eval(domain.s_idxs_vals,
memo={
domain.s_new_ids: [new_id],
domain.s_rng: rng,
})
rval_miscs = [dict(tid=new_id, cmd=domain.cmd, workdir=domain.workdir)]
rval_results = domain.new_result()
for (k, _) in vals.items():
vals[k][0] = x[k]
miscs_update_idxs_vals(rval_miscs, idxs, vals)
rval_docs = self.trials.new_trial_docs([new_id], [None], rval_results,
rval_miscs)
return rval_docs[0]
def hyperopt_suggest(self, n_suggestions=1):
assert n_suggestions >= 1, "invalid value for n_suggestions"
# Get the new trials, it seems hyperopt either uses random search or
# guesses one at a time anyway, so we might as welll call serially.
new_trials = [self._hyperopt_suggest() for _ in range(n_suggestions)]
X = []
for trial in new_trials:
x_guess = self.cleanup_guess(trial["misc"]["vals"])
X.append(x_guess)
# Build lookup to get original trial object
x_guess_ = tuSOTOptimizer.hashable_dict(x_guess)
assert x_guess_ not in self.trial_id_lookup, "the suggestions should not already be in the trial dict"
self.trial_id_lookup[x_guess_] = trial["tid"]
assert len(X) == n_suggestions
return X
def hyperopt_get_suggest(self, suggests):
trials = [self._hyperopt_transform(x) for x in suggests]
for trial in trials:
x_guess = self.cleanup_guess(trial["misc"]["vals"])
x_guess_ = tuSOTOptimizer.hashable_dict(x_guess)
assert x_guess_ not in self.trial_id_lookup, "the suggestions should not already be in the trial dict"
self.trial_id_lookup[x_guess_] = trial["tid"]
self.trials.insert_trial_docs(trials)
self.trials.refresh()
def suggest(self, n_suggestions=1):
if n_suggestions == 1:
return self.turbo_suggest(n_suggestions)
else:
# t_suggestion = n_suggestions // 2
p_suggestion = n_suggestions // 2
h_suggestion = n_suggestions - p_suggestion
# turbo_suggest = self.turbo_suggest(t_suggestion)
pysot_suggest = self.pysot_suggest(p_suggestion)
hyperopt_suggest = self.hyperopt_suggest(h_suggestion)
self.hyperopt_get_suggest(pysot_suggest)
self.pysot_get_suggest(hyperopt_suggest)
return pysot_suggest + hyperopt_suggest
def _observe(self, x, y):
# Find the matching proposal and execute its callbacks
idx = [x == xx for xx in self.history]
if np.any(idx):
i = np.argwhere(
idx)[0].item() # Pick the first index if there are ties
proposal = self.proposals[i]
proposal.record.complete(y)
self.proposals.pop(i)
self.history.pop(i)
def observe(self, X, y):
"""Send an observation of a suggestion back to the optimizer.
Parameters
----------
X : list of dict-like
Places where the objective function has already been evaluated.
Each suggestion is a dictionary where each key corresponds to a
parameter being optimized.
y : array-like, shape (n,)
Corresponding values where objective has been evaluated
"""
assert len(X) == len(y)
# pysot observe
for x_, y_ in zip(X, y):
# Just ignore, any inf observations we got, unclear if right thing
if np.isfinite(y_):
self._observe(x_, y_)
# # turbo observe
# XX, yy = self.space_x.warp(X), np.array(y)[:, None]
#
# if len(self.turbo._fX) >= self.turbo.n_init:
# self.turbo._adjust_length(yy)
#
# self.turbo.n_evals += self.turbo_batch_size
#
# self.turbo._X = np.vstack((self.turbo._X, deepcopy(XX)))
# self.turbo._fX = np.vstack((self.turbo._fX, deepcopy(yy)))
# self.turbo.X = np.vstack((self.turbo.X, deepcopy(XX)))
# self.turbo.fX = np.vstack((self.turbo.fX, deepcopy(yy)))
#
# # Check for a restart
# if self.turbo.length < self.turbo.length_min:
# self.restart()
# hyperopt observe
for x_guess, y_ in zip(X, y):
x_guess_ = tuSOTOptimizer.hashable_dict(x_guess)
assert x_guess_ in self.trial_id_lookup, "Appears to be guess that did not originate from suggest"
assert x_guess_ in self.trial_id_lookup, "trial object not available in trial dict"
trial_id = self.trial_id_lookup.pop(x_guess_)
trial = self.get_trial(trial_id)
assert self.cleanup_guess(
trial["misc"]["vals"]
) == x_guess, "trial ID not consistent with x values stored"
# Cast to float to ensure native type
result = {"loss": float(y_), "status": STATUS_OK}
trial["state"] = JOB_STATE_DONE
trial["result"] = result
self.trials.refresh()
