def test_mix_space():
dim_r = 2 # dimension of the real values
def obj_fun(x):
x_r = np.array([x['continuous_%d' % i] for i in range(dim_r)])
x_i = x['ordinal']
x_d = x['nominal']
_ = 0 if x_d == 'OK' else 1
return np.sum(x_r**2) + abs(x_i - 10) / 123. + _ * 2
search_space = ContinuousSpace([-5, 5], var_name='continuous') * dim_r + \
OrdinalSpace([5, 15], var_name='ordinal') + \
NominalSpace(['OK', 'A', 'B', 'C', 'D', 'E', 'F', 'G'], var_name='nominal')
model = RandomForest(levels=search_space.levels)
opt = ParallelBO(
search_space=search_space,
obj_fun=obj_fun,
model=model,
max_FEs=6,
DoE_size=3, # the initial DoE size
eval_type='dict',
acquisition_fun='MGFI',
acquisition_par={'t': 2},
n_job=3, # number of processes
n_point=3, # number of the candidate solution proposed in each iteration
verbose=True # turn this off, if you prefer no output
)
xopt, fopt, stop_dict = opt.run()
print('xopt: {}'.format(xopt))
print('fopt: {}'.format(fopt))
print('stop criteria: {}'.format(stop_dict))
def test_sampling():
C = ContinuousSpace([-5, 5]) * 3
I = OrdinalSpace([[-100, 100], [-5, 5]], 'heihei')
N = NominalSpace([['OK', 'A', 'B', 'C', 'D', 'E', 'A']] * 2, ['x', 'y'])
S = N + I + C
S.sampling(5, method='LHS')
S.sampling(5, method='uniform')
def test_BO_constraints():
search_space = OrdinalSpace([1, 10], var_name='mu') + \
OrdinalSpace([1, 10], var_name='lambda') + \
ContinuousSpace([0, 1], var_name='pc') + \
ContinuousSpace([0.005, 0.5], var_name='p')
model = RandomForest(levels=search_space.levels)
xopt, _, __ = BO(search_space=search_space,
obj_fun=obj_func,
ineq_fun=g,
model=model,
max_FEs=30,
DoE_size=3,
eval_type='dict',
acquisition_fun='MGFI',
acquisition_par={
't': 2
},
n_job=1,
n_point=1,
verbose=True).run()
assert isinstance(xopt, dict)
assert all(np.array(g(xopt)) <= 0)
def test_warm_data_with_RF():
space = ContinuousSpace([-10, 10]) * 2 + \
OrdinalSpace([5, 15]) + \
NominalSpace(['OK', 'A', 'B', 'C', 'D', 'E', 'F', 'G'])
X = space.sampling(10)
y = [obj_fun(x) for x in X]
model = RandomForest(levels=space.levels)
opt = BO(search_space=space,
obj_fun=obj_fun,
model=model,
minimize=True,
eval_type='list',
max_FEs=10,
verbose=True,
acquisition_fun='EI',
warm_data=(X, y))
opt.run()
assert opt.data.shape[0] == 20
def test_ProductSpace():
C = ContinuousSpace([-5, 5], precision=1) * 3 # product of the same space
I = OrdinalSpace([[-100, 100], [-5, 5]], 'heihei')
N = NominalSpace([['OK', 'A', 'B', 'C', 'D', 'E', 'A']] * 2, ['x', 'y'])
space = C + C + C
print(space.sampling(2))
# cartesian product of heterogeneous spaces
space = C + I + N
print(space.sampling(10))
print(space.bounds)
print(space.var_name)
print(space.var_type)
print((C * 2).var_name)
print((N * 3).sampling(2))
C = ContinuousSpace([[0, 1]] * 2, var_name='weight')
print(C.var_name)
def test_MIES():
def obj_fun(X):
v = []
for x in X:
x_r = np.array([x['real_%d' % i] for i in range(2)])
x_i = np.array([x['int_%d' % i] for i in range(2)])
x_d = np.array([x['cat_%d' % i] for i in range(2)])
v.append(
np.sum(x_r ** 2) + \
np.sum(np.abs(x_i - 10) / 123.) + \
np.sum(x_d == 'OK')
)
return v
search_space = ContinuousSpace([-5, 5], var_name='real') * 2 + \
OrdinalSpace([5, 15], var_name='int') * 2 + \
NominalSpace(
['OK', 'A', 'B', 'C', 'D', 'E', 'F', 'G'],
var_name='cat'
) * 2
opt = MIES(
search_space=search_space,
obj_func=obj_fun,
max_eval=100,
eval_type='dict',
verbose=True # turn this off, if you prefer no output
)
xopt, fopt, stop_dict = opt.optimize()
print('xopt: {}'.format(xopt))
print('fopt: {}'.format(fopt))
print('stop criteria: {}'.format(stop_dict))
# def test_multi_acquisition():
# dim_r = 2 # dimension of the real values
# def obj_fun(x):
# x_r = np.array([x['continuous_%d'%i] for i in range(dim_r)])
# x_i = x['ordinal']
# x_d = x['nominal']
# _ = 0 if x_d == 'OK' else 1
# return np.sum(x_r ** 2) + abs(x_i - 10) / 123. + _ * 2
# search_space = ContinuousSpace([-5, 5], var_name='continuous') * dim_r + \
# OrdinalSpace([5, 15], var_name='ordinal') + \
# NominalSpace(['OK', 'A', 'B', 'C', 'D', 'E', 'F', 'G'], var_name='nominal')
# model = RandomForest(levels=search_space.levels)
# opt = MultiAcquisitionBO(
# search_space=search_space,
# obj_fun=obj_fun,
# model=model,
# max_FEs=8,
# DoE_size=4, # the initial DoE size
# eval_type='dict',
# n_job=4, # number of processes
# n_point=4, # number of the candidate solution proposed in each iteration
# verbose=True # turn this off, if you prefer no output
# )
# xopt, fopt, stop_dict = opt.run()
# print('xopt: {}'.format(xopt))
# print('fopt: {}'.format(fopt))
# print('stop criteria: {}'.format(stop_dict))
# Continuous variables can be specified as follows:
# a 2-D variable in [-5, 5]^2
# for 2 variables, the naming scheme is continuous0, continuous1
C = ContinuousSpace([-5, 5], var_name='continuous') * dim_r
# Equivalently, you can also use
# C = ContinuousSpace([[-5, 5]]] * dim)
# The general usage is:
# ContinuousSpace([[lb_1, ub_1], [lb_2, ub_2], ..., [lb_n, ub_n]])
# Integer (ordinal) variables can be specified as follows:
# The domain of integer variables can be given as with continuous ones
# var_name is optional
I = OrdinalSpace([5, 15], var_name='ordinal')
# Discrete (nominal) variables can be specified as follows:
# No lb, ub... a list of categories instead
N = NominalSpace(['OK', 'A', 'B', 'C', 'D', 'E', 'F', 'G'], var_name='nominal')
# The whole search space can be constructed:
search_space = C + I + N
# Bayesian optimization also uses a Surrogate model
# For mixed variable type, the random forest is typically used
model = RandomForest(levels=search_space.levels)
opt = ParallelBO(
search_space=search_space,
obj_fun=obj_fun,
def modeling(train, targets, to_optimize, **kwargs):
"""
Training and performing hyperparmeter optimization
by Bayesian Optimization. Currently only supporting
Random Forests.
TODO: Make the HO and train_seting more interactive
:param to_optimize: perform or not HO (boolean)
:param train: train set (pandas)
:param targets: targets (labels) (np.arrays)
:cv: CV count for hyperparameter optimization
:to_drop: Features to be dropped from learning such as unit numbers,
cycles, etc (list of string names)
:DoE_size: Initial design of experiment for the BO HO.
:max_FEs: maximum number of function evaluations of the BO HO
:features_list= a list of features to use, cv=
:return: trained model and list of used features
"""
start = time.time()
features_list = kwargs.get('features_list', None)
to_drop = kwargs.get('to_drop', None)
cv = kwargs.get('cv', 10)
DoE_size = kwargs.get('DoE_size', 200)
max_FEs = kwargs.get('max_FEs', 20)
train_set = train.copy()
if to_drop:
print(f'The following features will not be used in training: {to_drop}')
train_set.drop(to_drop, axis=1, inplace=True)
if features_list:
print('Features selected by user')
train_set = train_set[features_list]
train_set = train_set.values
else:
print('Feature Selection (this will take a while...)')
train_set, features_list = boruta_feature_selection(train_set, targets)
with open('./features_list.pkl', 'wb') as f:
pkl.dump(features_list, f)
df_columns = ['acc', 'max_depth', 'n_estimators', 'bootstrap', 'max_features', 'min_samples_leaf',
'min_samples_split']
df_eval = pd.DataFrame(columns=df_columns)
# Hyperparameter optimization
# objective function
def obj_func(x):
# logger.info('Started internal cross-validation')
nonlocal df_eval
performance_ = []
skf = StratifiedKFold(n_splits=cv, random_state=np.random, shuffle=True)
for train_set_index, test_index in tqdm(skf.split(train_set, targets), 'Optimizing HO'):
X_train_set, X_test = train_set[train_set_index], train_set[test_index]
y_train_set, y_test = targets[train_set_index], targets[test_index]
rf_ = RandomForestClassifier(n_estimators=int(x[1]), max_depth=int(x[0]), bootstrap=x[2],
max_features=x[3], min_samples_leaf=x[4], min_samples_split=x[5],
n_jobs=-1)
rf_.fit(X_train_set, y_train_set)
predictions_ = rf_.predict(X_test)
performance_.append(accuracy_score(y_test, predictions_))
val = np.mean(performance_)
df_eval_tmp = pd.DataFrame([[val, x[0], x[1], x[2], x[3], x[4], x[5]]],
columns=df_columns)
df_eval = df_eval.append(df_eval_tmp)
return val
# definition of hyperparameter search space:
max_depth = OrdinalSpace([2, 100])
n_estimators = OrdinalSpace([1, 1000])
min_samples_leaf = OrdinalSpace([1, 10])
min_samples_split = OrdinalSpace([2, 20])
bootstrap = NominalSpace(['True', 'False'])
max_features = NominalSpace(['auto', 'sqrt', 'log2'])
search_space = max_depth + n_estimators + bootstrap + max_features + min_samples_leaf + min_samples_split
model = RandomForest(levels=search_space.levels)
opt = BO(search_space=search_space, obj_fun=obj_func, model=model, max_FEs=max_FEs,
DoE_size=DoE_size,
n_point=1,
n_job=1,
minimize=False,
verbose=False)
if to_optimize:
print(f'Hyperparameter optimization with {cv}-folds and {max_FEs} function evaluations')
opt.run()
best_params_ = df_eval[df_columns[1:]][df_eval['acc'] == df_eval['acc'].max()][:1].to_dict('records')
# Training using the best parameters
if to_optimize:
rf = RandomForestClassifier(n_jobs=-1, **best_params_[0])
else:
rf = RandomForestClassifier(n_jobs=-1)
rf.fit(train_set, targets)
dump(rf, './rf_model.joblib')
end = time.time()
print(f'----Duration of training is {(end - start) / 60} minutes')
return rf, features_list