class BayesianOptimization(Observable):
def __init__(self, f, pbounds, random_state=None, verbose=2, constraints=[]):
""""""
self._random_state = ensure_rng(random_state)
# Data structure containing the function to be optimized, the bounds of
# its domain, and a record of the evaluations we have done so far
self._space = TargetSpace(f, pbounds, random_state)
# queue
self._queue = Queue()
# Internal GP regressor
self._gp = GaussianProcessRegressor(
kernel=Matern(nu=2.5),
alpha=3e-3,
normalize_y=True,
n_restarts_optimizer=25,
random_state=self._random_state,
)
self._verbose = verbose
# Key constraints correspond to literal keyword names
# array constraints correspond to point in array row
self._key_constraints = constraints
self._array_constraints = self.array_like_constraints()
super(BayesianOptimization, self).__init__(events=DEFAULT_EVENTS)
@property
def space(self):
return self._space
@property
def max(self):
return self._space.max()
@property
def res(self):
return self._space.res()
@property
def constraints(self):
return self._array_constraints
@property
def verbose(self):
return self._verbose
def register(self, params, target):
"""Expect observation with known target"""
self._space.register(params, target)
self.dispatch(Events.OPTMIZATION_STEP)
def probe(self, params, lazy=True):
"""Probe target of x"""
if isinstance(params, list):
for param in params:
if lazy:
self._queue.add(param)
else:
self._space.probe(param)
self.dispatch(Events.OPTMIZATION_STEP)
else:
if lazy:
self._queue.add(params)
else:
self._space.probe(params)
self.dispatch(Events.OPTMIZATION_STEP)
def suggest(self, utility_function):
"""Most promissing point to probe next"""
if len(self._space) == 0:
return self._space.array_to_params(self._space.random_sample())
# Sklearn's GP throws a large number of warnings at times, but
# we don't really need to see them here.
with warnings.catch_warnings():
warnings.simplefilter("ignore")
self._gp.fit(self._space.params, self._space.target)
# Finding argmax of the acquisition function.
suggestion = acq_max(
ac=utility_function.utility,
gp=self._gp,
y_max=self._space.target.max(),
bounds=self._space.bounds,
random_state=self._random_state
)
return self._space.array_to_params(suggestion)
def reset_rng(self, random_state=None):
self._random_state = ensure_rng(random_state)
def _prime_queue(self, init_points):
"""Make sure there's something in the queue at the very beginning."""
if self._queue.empty and self._space.empty:
init_points = max(init_points, 1)
for _ in range(init_points):
self._queue.add(self._space.random_sample())
def _prime_subscriptions(self):
if not any([len(subs) for subs in self._events.values()]):
_logger = _get_default_logger(self._verbose)
self.subscribe(Events.OPTMIZATION_START, _logger)
self.subscribe(Events.OPTMIZATION_STEP, _logger)
self.subscribe(Events.OPTMIZATION_END, _logger)
def maximize(self,
init_points=5,
n_iter=25,
acq='ucb',
kappa=10,
xi=0,
**gp_params):
"""Mazimize your function"""
self._prime_subscriptions()
self.dispatch(Events.OPTMIZATION_START)
self._prime_queue(init_points)
self.set_gp_params(**gp_params)
util = UtilityFunction(kind=acq, kappa=kappa, xi=xi)
iteration = 0
while not self._queue.empty or iteration < n_iter:
try:
x_probe = next(self._queue)
except StopIteration:
x_probe = self.suggest(util)
iteration += 1
self.probe(x_probe, lazy=False)
self.dispatch(Events.OPTMIZATION_END)
def set_bounds(self, new_bounds):
"""
A method that allows changing the lower and upper searching bounds
Parameters
----------
new_bounds : dict
A dictionary with the parameter name and its new bounds
"""
self._space.set_bounds(new_bounds)
def set_gp_params(self, **params):
self._gp.set_params(**params)
def array_like_constraints(self):
'''
Takes list of logical constraints in terms of space keys,
and replaces the constraints in terms of array indicies.
This allows direct evaluation in the acquisition function.
Parameters
----------
constraints: list of string constraints
'''
keys = self.space.keys
array_like = []
for constraint in self._key_constraints:
tmp = constraint
for idx, key in enumerate(keys):
# tmp = tmp.replace(key,'x[0][{}]'.format(idx))
tmp = tmp.replace(key, 'x[{}]'.format(idx))
array_like.append(tmp)
return array_like
def get_constraint_dict(self):
'''
Develops inequality constraints ONLY. (>=0)
'''
dicts = []
funcs = []
for idx, constraint in enumerate(self.constraints):
st = "def f_{}(x): return pd.eval({})\nfuncs.append(f_{})".format(idx, constraint, idx)
exec(st)
dicts.append({'type': 'ineq',
'fun': funcs[idx]})
return dicts
def output_space(self, path):
"""
Outputs complete space as csv file.
Simple function for testing
Parameters
----------
path
Returns
-------
"""
df = pd.DataFrame(data=self.space.params, columns=self.space.keys)
df['Target'] = self.space.target
df.to_csv(path)
class BayesianOptimization(Observable):
def __init__(self, f, pbounds, random_state=None, verbose=2):
"""
this is a comment
"""
self._random_state = ensure_rng(random_state)
# Data structure containing the function to be optimized, the bounds of
# its domain, and a record of the evaluations we have done so far
self._space = TargetSpace(f, pbounds, random_state)
# queue
self._queue = Queue()
# Internal GP regressor
self._gp = GaussianProcessRegressor(
kernel=Matern(nu=2.5),
alpha=1e-6,
normalize_y=True,
n_restarts_optimizer=1,
random_state=self._random_state,
#optimizer=None
)
self._verbose = verbose
super(BayesianOptimization, self).__init__(events=DEFAULT_EVENTS)
@property
def space(self):
return self._space
@property
def max(self):
return self._space.max()
@property
def res(self):
return self._space.res()
def get_lower_L(self):
return self._gp.L
def register(self, params, target):
"""Expect observation with known target"""
self._space.register(params, target)
self.dispatch(Events.OPTMIZATION_STEP)
def probe(self, params, lazy=True):
"""Probe target of x"""
x = 0
if lazy:
self._queue.add(params)
else:
x = self._space.probe(params)
self.dispatch(Events.OPTMIZATION_STEP)
return x
def suggest(self, utility_function):
"""Most promissing point to probe next"""
if len(self._space) == 0:
return self._space.array_to_params(self._space.random_sample())
# Sklearn's GP throws a large number of warnings at times, but
# we don't really need to see them here.
with warnings.catch_warnings():
warnings.simplefilter("ignore")
self._gp.fit(self._space.params, self._space.target)
# Finding argmax of the acquisition function.
suggestion = acq_max(
ac=utility_function.utility,
gp=self._gp,
y_max=self._space.target.max(),
bounds=self._space.bounds,
random_state=self._random_state
)
return self._space.array_to_params(suggestion)
def _prime_queue(self, init_points):
"""Make sure there's something in the queue at the very beginning."""
if self._queue.empty and self._space.empty:
init_points = max(init_points, 1)
for _ in range(init_points):
self._queue.add(self._space.random_sample())
def _prime_subscriptions(self):
if not any([len(subs) for subs in self._events.values()]):
_logger = _get_default_logger(self._verbose)
self.subscribe(Events.OPTMIZATION_START, _logger)
self.subscribe(Events.OPTMIZATION_STEP, _logger)
self.subscribe(Events.OPTMIZATION_END, _logger)
def maximize(self,
init_points=5,
n_iter=25,
acq='ucb',
kappa=2.576,
xi=0.01,
samples=None,
eps=0.5,
solution = 0,
**gp_params):
"""Mazimize your function"""
self._prime_subscriptions()
self.dispatch(Events.OPTMIZATION_START)
self._prime_queue(init_points) #add random points to the queue
self.set_gp_params(**gp_params)
util = UtilityFunction(kind=acq, kappa=kappa, xi=xi)
iteration = 0
total_time = 0
while not self._queue.empty or iteration < n_iter:
try:
x_probe = next(self._queue)
# print(self._gp.kernel.theta)
except StopIteration:
tstart = time.time()
x_probe = self.suggest(util)
tend = time.time()
total_time += (tend-tstart)
iteration += 1
# print(self._gp.kernel.theta)
x = self.probe(x_probe, lazy=False)
if(abs(x) -solution <eps):
break
# if samples != None :
# with open("samples.pickle", "rb") as f:
# epochs, wd, lr, m, acc = pickle.load(f)
# for _ in range(len(epochs)):
# self._space.register_seeds(x, params)
# self.dispatch(Events.OPTMIZATION_STEP)
self.dispatch(Events.OPTMIZATION_END)
def set_bounds(self, new_bounds):
"""
A method that allows changing the lower and upper searching bounds
Parameters
----------
new_bounds : dict
A dictionary with the parameter name and its new bounds
"""
self._space.set_bounds(new_bounds)
def set_gp_params(self, **params):
self._gp.set_params(**params)
class BayesianOptimization(Observable):
"""
This class takes the function to optimize as well as the parameters bounds
in order to find which values for the parameters yield the maximum value
using bayesian optimization.
Parameters
----------
f: function
Function to be maximized.
pbounds: dict
Dictionary with parameters names as keys and a tuple with minimum
and maximum values.
random_state: int or numpy.random.RandomState, optional(default=None)
If the value is an integer, it is used as the seed for creating a
numpy.random.RandomState. Otherwise the random state provieded it is used.
When set to None, an unseeded random state is generated.
verbose: int, optional(default=2)
The level of verbosity.
bounds_transformer: DomainTransformer, optional(default=None)
If provided, the transformation is applied to the bounds.
Methods
-------
probe()
Evaluates the function on the given points.
Can be used to guide the optimizer.
maximize()
Tries to find the parameters that yield the maximum value for the
given function.
set_bounds()
Allows changing the lower and upper searching bounds
"""
def __init__(self,
f,
pbounds,
random_state=None,
verbose=2,
bounds_transformer=None):
self._random_state = ensure_rng(random_state)
# Data structure containing the function to be optimized, the bounds of
# its domain, and a record of the evaluations we have done so far
self._space = TargetSpace(f, pbounds, random_state)
self._queue = Queue()
# Internal GP regressor
self._gp = GaussianProcessRegressor(
kernel=Matern(nu=2.5),
alpha=1e-6,
normalize_y=True,
n_restarts_optimizer=5,
random_state=self._random_state,
)
self._verbose = verbose
self._bounds_transformer = bounds_transformer
if self._bounds_transformer:
try:
self._bounds_transformer.initialize(self._space)
except (AttributeError, TypeError):
raise TypeError('The transformer must be an instance of '
'DomainTransformer')
super(BayesianOptimization, self).__init__(events=DEFAULT_EVENTS)
@property
def space(self):
return self._space
@property
def max(self):
return self._space.max()
@property
def res(self):
return self._space.res()
def register(self, params, target):
"""Expect observation with known target"""
self._space.register(params, target)
self.dispatch(Events.OPTIMIZATION_STEP)
def probe(self, params, lazy=True):
"""
Evaluates the function on the given points. Useful to guide the optimizer.
Parameters
----------
params: dict or list
The parameters where the optimizer will evaluate the function.
lazy: bool, optional(default=True)
If True, the optimizer will evaluate the points when calling
maximize(). Otherwise it will evaluate it at the moment.
"""
if lazy:
self._queue.add(params)
else:
self._space.probe(params)
self.dispatch(Events.OPTIMIZATION_STEP)
def suggest(self, utility_function):
"""Most promising point to probe next"""
if len(self._space) == 0:
return self._space.array_to_params(self._space.random_sample())
# Sklearn's GP throws a large number of warnings at times, but
# we don't really need to see them here.
with warnings.catch_warnings():
warnings.simplefilter("ignore")
self._gp.fit(self._space.params, self._space.target)
# Finding argmax of the acquisition function.
suggestion = acq_max(ac=utility_function.utility,
gp=self._gp,
y_max=self._space.target.max(),
bounds=self._space.bounds,
random_state=self._random_state)
return self._space.array_to_params(suggestion)
def _prime_queue(self, init_points):
"""Make sure there's something in the queue at the very beginning."""
if self._queue.empty and self._space.empty:
init_points = max(init_points, 1)
for _ in range(init_points):
self._queue.add(self._space.random_sample())
def _prime_subscriptions(self):
if not any([len(subs) for subs in self._events.values()]):
_logger = _get_default_logger(self._verbose)
self.subscribe(Events.OPTIMIZATION_START, _logger)
self.subscribe(Events.OPTIMIZATION_STEP, _logger)
self.subscribe(Events.OPTIMIZATION_END, _logger)
def maximize(self,
init_points=5,
n_iter=25,
acq='ucb',
kappa=2.576,
kappa_decay=1,
kappa_decay_delay=0,
xi=0.0,
**gp_params):
"""
Probes the target space to find the parameters that yield the maximum
value for the given function.
Parameters
----------
init_points : int, optional(default=5)
Number of iterations before the explorations starts the exploration
for the maximum.
n_iter: int, optional(default=25)
Number of iterations where the method attempts to find the maximum
value.
acq: {'ucb', 'ei', 'poi'}
The acquisition method used.
* 'ucb' stands for the Upper Confidence Bounds method
* 'ei' is the Expected Improvement method
* 'poi' is the Probability Of Improvement criterion.
kappa: float, optional(default=2.576)
Parameter to indicate how closed are the next parameters sampled.
Higher value = favors spaces that are least explored.
Lower value = favors spaces where the regression function is the
highest.
kappa_decay: float, optional(default=1)
`kappa` is multiplied by this factor every iteration.
kappa_decay_delay: int, optional(default=0)
Number of iterations that must have passed before applying the decay
to `kappa`.
xi: float, optional(default=0.0)
[unused]
"""
self._prime_subscriptions()
self.dispatch(Events.OPTIMIZATION_START)
self._prime_queue(init_points)
self.set_gp_params(**gp_params)
util = UtilityFunction(kind=acq,
kappa=kappa,
xi=xi,
kappa_decay=kappa_decay,
kappa_decay_delay=kappa_decay_delay)
iteration = 0
while not self._queue.empty or iteration < n_iter:
try:
x_probe = next(self._queue)
except StopIteration:
util.update_params()
x_probe = self.suggest(util)
iteration += 1
self.probe(x_probe, lazy=False)
if self._bounds_transformer:
self.set_bounds(self._bounds_transformer.transform(
self._space))
self.dispatch(Events.OPTIMIZATION_END)
def set_bounds(self, new_bounds):
"""
A method that allows changing the lower and upper searching bounds
Parameters
----------
new_bounds : dict
A dictionary with the parameter name and its new bounds
"""
self._space.set_bounds(new_bounds)
def set_gp_params(self, **params):
"""Set parameters to the internal Gaussian Process Regressor"""
self._gp.set_params(**params)