|
|
import sys |
|
|
import warnings |
|
|
from math import log |
|
|
from numbers import Number |
|
|
|
|
|
import numpy as np |
|
|
from joblib import Parallel, delayed |
|
|
from scipy.optimize import fmin_l_bfgs_b |
|
|
from sklearn.base import clone, is_regressor |
|
|
from sklearn.multioutput import MultiOutputRegressor |
|
|
from sklearn.utils import check_random_state |
|
|
|
|
|
from ..acquisition import _gaussian_acquisition, gaussian_acquisition_1D |
|
|
from ..learning import GaussianProcessRegressor |
|
|
from ..space import Categorical, Space |
|
|
from ..utils import ( |
|
|
check_x_in_space, |
|
|
cook_estimator, |
|
|
cook_initial_point_generator, |
|
|
create_result, |
|
|
has_gradients, |
|
|
is_2Dlistlike, |
|
|
is_listlike, |
|
|
normalize_dimensions, |
|
|
) |
|
|
|
|
|
|
|
|
class Optimizer: |
|
|
"""Run bayesian optimisation loop. |
|
|
|
|
|
An `Optimizer` represents the steps of a bayesian optimisation loop. To |
|
|
use it you need to provide your own loop mechanism. The various |
|
|
optimisers provided by `skopt` use this class under the hood. |
|
|
|
|
|
Use this class directly if you want to control the iterations of your |
|
|
bayesian optimisation loop. |
|
|
|
|
|
Parameters |
|
|
---------- |
|
|
dimensions : list, shape (n_dims,) |
|
|
List of search space dimensions. |
|
|
Each search dimension can be defined either as |
|
|
|
|
|
- a `(lower_bound, upper_bound)` tuple (for `Real` or `Integer` |
|
|
dimensions), |
|
|
- a `(lower_bound, upper_bound, "prior")` tuple (for `Real` |
|
|
dimensions), |
|
|
- as a list of categories (for `Categorical` dimensions), or |
|
|
- an instance of a `Dimension` object (`Real`, `Integer` or |
|
|
`Categorical`). |
|
|
|
|
|
base_estimator : `"GP"`, `"RF"`, `"ET"`, `"GBRT"` or sklearn regressor, \ |
|
|
default: `"GP"` |
|
|
Should inherit from :obj:`sklearn.base.RegressorMixin`. |
|
|
In addition the `predict` method, should have an optional `return_std` |
|
|
argument, which returns `std(Y | x)` along with `E[Y | x]`. |
|
|
If base_estimator is one of ["GP", "RF", "ET", "GBRT"], a default |
|
|
surrogate model of the corresponding type is used corresponding to what |
|
|
is used in the minimize functions. |
|
|
|
|
|
n_random_starts : int, default: 10 |
|
|
.. deprecated:: 0.6 |
|
|
use `n_initial_points` instead. |
|
|
|
|
|
n_initial_points : int, default: 10 |
|
|
Number of evaluations of `func` with initialization points |
|
|
before approximating it with `base_estimator`. Initial point |
|
|
generator can be changed by setting `initial_point_generator`. |
|
|
|
|
|
initial_point_generator : str, InitialPointGenerator instance, \ |
|
|
default: `"random"` |
|
|
Sets a initial points generator. Can be either |
|
|
|
|
|
- `"random"` for uniform random numbers, |
|
|
- `"sobol"` for a Sobol' sequence, |
|
|
- `"halton"` for a Halton sequence, |
|
|
- `"hammersly"` for a Hammersly sequence, |
|
|
- `"lhs"` for a latin hypercube sequence, |
|
|
- `"grid"` for a uniform grid sequence |
|
|
|
|
|
acq_func : string, default: `"gp_hedge"` |
|
|
Function to minimize over the posterior distribution. Can be either |
|
|
|
|
|
- `"LCB"` for lower confidence bound. |
|
|
- `"EI"` for negative expected improvement. |
|
|
- `"PI"` for negative probability of improvement. |
|
|
- `"MES"` for Max-value Entropy Search. |
|
|
- `"PVRS"` for Predictive Variance Reduction Search. |
|
|
- `"gp_hedge"` Probabilistically choose one of the above three |
|
|
|
|
|
- The gains `g_i` are initialized to zero. |
|
|
- At every iteration, |
|
|
|
|
|
- Each acquisition function is optimised independently to |
|
|
propose an candidate point `X_i`. |
|
|
- Out of all these candidate points, the next point `X_best` is |
|
|
chosen by :math:`softmax(\\eta g_i)` |
|
|
- After fitting the surrogate model with `(X_best, y_best)`, |
|
|
the gains are updated such that :math:`g_i -= \\mu(X_i)` |
|
|
|
|
|
- `"EIps"` for negated expected improvement per second to take into |
|
|
account the function compute time. Then, the objective function is |
|
|
assumed to return two values, the first being the objective value and |
|
|
the second being the time taken in seconds. |
|
|
- `"PIps"` for negated probability of improvement per second. The |
|
|
return type of the objective function is assumed to be similar to |
|
|
that of `"EIps"` |
|
|
|
|
|
acq_optimizer : string, `"sampling"` or `"lbfgs"`, default: `"auto"` |
|
|
Method to minimize the acquisition function. The fit model |
|
|
is updated with the optimal value obtained by optimizing `acq_func` |
|
|
with `acq_optimizer`. |
|
|
|
|
|
- If set to `"auto"`, then `acq_optimizer` is configured on the |
|
|
basis of the base_estimator and the space searched over. |
|
|
If the space is Categorical or if the estimator provided based on |
|
|
tree-models then this is set to be `"sampling"`. |
|
|
- If set to `"sampling"`, then `acq_func` is optimized by computing |
|
|
`acq_func` at `n_points` randomly sampled points. |
|
|
- If set to `"lbfgs"`, then `acq_func` is optimized by |
|
|
|
|
|
- Sampling `n_restarts_optimizer` points randomly. |
|
|
- `"lbfgs"` is run for 20 iterations with these points as initial |
|
|
points to find local minima. |
|
|
- The optimal of these local minima is used to update the prior. |
|
|
|
|
|
random_state : int, RandomState instance, or None (default) |
|
|
Set random state to something other than None for reproducible |
|
|
results. |
|
|
|
|
|
n_jobs : int, default: 1 |
|
|
The number of jobs to run in parallel in the base_estimator, |
|
|
if the base_estimator supports n_jobs as parameter and |
|
|
base_estimator was given as string. |
|
|
If -1, then the number of jobs is set to the number of cores. |
|
|
|
|
|
acq_func_kwargs : dict |
|
|
Additional arguments to be passed to the acquisition function. |
|
|
|
|
|
acq_optimizer_kwargs : dict |
|
|
Additional arguments to be passed to the acquisition optimizer. |
|
|
|
|
|
model_queue_size : int or None, default: None |
|
|
Keeps list of models only as long as the argument given. In the |
|
|
case of None, the list has no capped length. |
|
|
|
|
|
avoid_duplicates : bool, default True |
|
|
When set to True, a random point is evaluated instead of the same |
|
|
point twice. |
|
|
|
|
|
space_constraint : callable or None, default: None |
|
|
Constraint function. Should take a single list of parameters |
|
|
(i.e. a point in space) and return True if the point satisfies |
|
|
the constraints. |
|
|
If None, the space is not conditionally constrained. |
|
|
|
|
|
Attributes |
|
|
---------- |
|
|
Xi : list |
|
|
Points at which objective has been evaluated. |
|
|
yi : scalar |
|
|
Values of objective at corresponding points in `Xi`. |
|
|
models : list |
|
|
Regression models used to fit observations and compute acquisition |
|
|
function. |
|
|
space : Space |
|
|
An instance of :class:`skopt.space.Space`. Stores parameter search |
|
|
space used to sample points, bounds, and type of parameters. |
|
|
""" |
|
|
|
|
|
def __init__( |
|
|
self, |
|
|
dimensions, |
|
|
base_estimator="gp", |
|
|
n_random_starts=None, |
|
|
n_initial_points=10, |
|
|
initial_point_generator="random", |
|
|
n_jobs=1, |
|
|
acq_func="gp_hedge", |
|
|
acq_optimizer="auto", |
|
|
random_state=None, |
|
|
model_queue_size=None, |
|
|
space_constraint=None, |
|
|
acq_func_kwargs=None, |
|
|
acq_optimizer_kwargs=None, |
|
|
avoid_duplicates=True, |
|
|
): |
|
|
args = locals().copy() |
|
|
del args['self'] |
|
|
self.specs = {"args": args, "function": "Optimizer"} |
|
|
self.rng = check_random_state(random_state) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
self.acq_func = acq_func |
|
|
self.acq_func_kwargs = acq_func_kwargs |
|
|
self.avoid_duplicates = avoid_duplicates |
|
|
|
|
|
allowed_acq_funcs = [ |
|
|
"gp_hedge", |
|
|
"EI", |
|
|
"LCB", |
|
|
"MES", |
|
|
"PVRS", |
|
|
"PI", |
|
|
"EIps", |
|
|
"PIps", |
|
|
] |
|
|
if self.acq_func not in allowed_acq_funcs: |
|
|
raise ValueError( |
|
|
"expected acq_func to be in %s, got %s" |
|
|
% (",".join(allowed_acq_funcs), self.acq_func) |
|
|
) |
|
|
|
|
|
|
|
|
if self.acq_func == "gp_hedge": |
|
|
self.cand_acq_funcs_ = ["EI", "LCB", "PI"] |
|
|
self.gains_ = np.zeros(3) |
|
|
else: |
|
|
self.cand_acq_funcs_ = [self.acq_func] |
|
|
|
|
|
if acq_func_kwargs is None: |
|
|
acq_func_kwargs = dict() |
|
|
self.eta = acq_func_kwargs.get("eta", 1.0) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
if n_random_starts is not None: |
|
|
warnings.warn( |
|
|
("n_random_starts will be removed in favour of " "n_initial_points."), |
|
|
DeprecationWarning, |
|
|
) |
|
|
n_initial_points = n_random_starts |
|
|
|
|
|
if n_initial_points < 0: |
|
|
raise ValueError( |
|
|
"Expected `n_initial_points` >= 0, got %d" % n_initial_points |
|
|
) |
|
|
self._n_initial_points = n_initial_points |
|
|
self.n_initial_points_ = n_initial_points |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
if isinstance(base_estimator, str): |
|
|
base_estimator = cook_estimator( |
|
|
base_estimator, |
|
|
space=dimensions, |
|
|
random_state=self.rng.randint(0, np.iinfo(np.int32).max), |
|
|
n_jobs=n_jobs, |
|
|
) |
|
|
|
|
|
|
|
|
if not is_regressor(base_estimator) and base_estimator is not None: |
|
|
raise ValueError("%s has to be a regressor." % base_estimator) |
|
|
|
|
|
|
|
|
is_multi_regressor = isinstance(base_estimator, MultiOutputRegressor) |
|
|
if "ps" in self.acq_func and not is_multi_regressor: |
|
|
self.base_estimator_ = MultiOutputRegressor(base_estimator) |
|
|
else: |
|
|
self.base_estimator_ = base_estimator |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
if acq_optimizer == "auto": |
|
|
if has_gradients(self.base_estimator_) and acq_func not in [ |
|
|
"MES", |
|
|
"PVRS", |
|
|
]: |
|
|
acq_optimizer = "lbfgs" |
|
|
else: |
|
|
acq_optimizer = "sampling" |
|
|
|
|
|
if space_constraint is not None: |
|
|
acq_optimizer = "sampling" |
|
|
if acq_optimizer not in ["lbfgs", "sampling"]: |
|
|
raise ValueError( |
|
|
"Expected acq_optimizer to be 'lbfgs' or " |
|
|
"'sampling', got {}".format(acq_optimizer) |
|
|
) |
|
|
|
|
|
if not has_gradients(self.base_estimator_) and acq_optimizer != "sampling": |
|
|
raise ValueError( |
|
|
"The regressor {} should run with " |
|
|
"acq_optimizer" |
|
|
"='sampling'.".format(type(base_estimator)) |
|
|
) |
|
|
self.acq_optimizer = acq_optimizer |
|
|
|
|
|
|
|
|
if acq_optimizer_kwargs is None: |
|
|
acq_optimizer_kwargs = dict() |
|
|
|
|
|
self.n_points = acq_optimizer_kwargs.get("n_points", 10000) |
|
|
self.n_restarts_optimizer = acq_optimizer_kwargs.get("n_restarts_optimizer", 5) |
|
|
self.n_jobs = acq_optimizer_kwargs.get("n_jobs", 1) |
|
|
self.acq_optimizer_kwargs = acq_optimizer_kwargs |
|
|
|
|
|
|
|
|
|
|
|
if space_constraint is not None and not callable(space_constraint): |
|
|
raise ValueError( |
|
|
'Expected space_constraint to be callable ' |
|
|
'or None, got {}'.format(space_constraint) |
|
|
) |
|
|
|
|
|
|
|
|
if isinstance(self.base_estimator_, GaussianProcessRegressor): |
|
|
dimensions = normalize_dimensions(dimensions) |
|
|
self.space = Space(dimensions, constraint=space_constraint) |
|
|
|
|
|
self._initial_samples = None |
|
|
self._initial_point_generator = cook_initial_point_generator( |
|
|
initial_point_generator |
|
|
) |
|
|
|
|
|
if self._initial_point_generator is not None: |
|
|
transformer = self.space.get_transformer() |
|
|
self._initial_samples = self._initial_point_generator.generate( |
|
|
self.space.dimensions, |
|
|
n_initial_points, |
|
|
random_state=self.rng.randint(0, np.iinfo(np.int32).max), |
|
|
) |
|
|
self.space.set_transformer(transformer) |
|
|
|
|
|
|
|
|
self._cat_inds = [] |
|
|
self._non_cat_inds = [] |
|
|
for ind, dim in enumerate(self.space.dimensions): |
|
|
if isinstance(dim, Categorical): |
|
|
self._cat_inds.append(ind) |
|
|
else: |
|
|
self._non_cat_inds.append(ind) |
|
|
|
|
|
|
|
|
if not isinstance(model_queue_size, (int, type(None))): |
|
|
raise TypeError( |
|
|
"model_queue_size should be an int or None, " |
|
|
"got {}".format(type(model_queue_size)) |
|
|
) |
|
|
self.max_model_queue_size = model_queue_size |
|
|
self.models = [] |
|
|
self.Xi = [] |
|
|
self.yi = [] |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
self.cache_ = {} |
|
|
|
|
|
def copy(self, random_state=None): |
|
|
"""Create a shallow copy of an instance of the optimizer. |
|
|
|
|
|
Parameters |
|
|
---------- |
|
|
random_state : int, RandomState instance, or None (default) |
|
|
Set the random state of the copy. |
|
|
""" |
|
|
|
|
|
optimizer = Optimizer( |
|
|
dimensions=self.space.dimensions, |
|
|
base_estimator=self.base_estimator_, |
|
|
n_initial_points=self.n_initial_points_, |
|
|
initial_point_generator=self._initial_point_generator, |
|
|
acq_func=self.acq_func, |
|
|
acq_optimizer=self.acq_optimizer, |
|
|
acq_func_kwargs=self.acq_func_kwargs, |
|
|
acq_optimizer_kwargs=self.acq_optimizer_kwargs, |
|
|
space_constraint=self.space.constraint, |
|
|
random_state=random_state, |
|
|
) |
|
|
optimizer._initial_samples = self._initial_samples |
|
|
if hasattr(self, "gains_"): |
|
|
optimizer.gains_ = np.copy(self.gains_) |
|
|
if self.Xi: |
|
|
optimizer._tell(self.Xi, self.yi) |
|
|
|
|
|
return optimizer |
|
|
|
|
|
def ask(self, n_points=None, strategy="cl_min"): |
|
|
"""Query point or multiple points at which objective should be evaluated. |
|
|
|
|
|
n_points : int or None, default: None |
|
|
Number of points returned by the ask method. |
|
|
If the value is None, a single point to evaluate is returned. |
|
|
Otherwise a list of points to evaluate is returned of size |
|
|
n_points. This is useful if you can evaluate your objective in |
|
|
parallel, and thus obtain more objective function evaluations per |
|
|
unit of time. |
|
|
|
|
|
strategy : string, default: "cl_min" |
|
|
Method to use to sample multiple points (see also `n_points` |
|
|
description). This parameter is ignored if n_points = None. |
|
|
Supported options are `"cl_min"`, `"cl_mean"` or `"cl_max"`. |
|
|
|
|
|
- If set to `"cl_min"`, then constant liar strategy is used |
|
|
with lie objective value being minimum of observed objective |
|
|
values. `"cl_mean"` and `"cl_max"` means mean and max of values |
|
|
respectively. For details on this strategy see: |
|
|
|
|
|
https://hal.archives-ouvertes.fr/hal-00732512/document |
|
|
|
|
|
With this strategy a copy of optimizer is created, which is |
|
|
then asked for a point, and the point is told to the copy of |
|
|
optimizer with some fake objective (lie), the next point is |
|
|
asked from copy, it is also told to the copy with fake |
|
|
objective and so on. The type of lie defines different |
|
|
flavours of `cl_x` strategies. |
|
|
""" |
|
|
if n_points is None: |
|
|
return self._ask() |
|
|
|
|
|
supported_strategies = ["cl_min", "cl_mean", "cl_max"] |
|
|
|
|
|
if not (isinstance(n_points, int) and n_points > 0): |
|
|
raise ValueError("n_points should be int > 0, got " + str(n_points)) |
|
|
|
|
|
if strategy not in supported_strategies: |
|
|
raise ValueError( |
|
|
"Expected parallel_strategy to be one of " |
|
|
+ str(supported_strategies) |
|
|
+ ", " |
|
|
+ "got %s" % strategy |
|
|
) |
|
|
|
|
|
|
|
|
|
|
|
if (n_points, strategy) in self.cache_: |
|
|
return self.cache_[(n_points, strategy)] |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
opt = self.copy(random_state=self.rng.randint(0, np.iinfo(np.int32).max)) |
|
|
|
|
|
X = [] |
|
|
for _ in range(n_points): |
|
|
x = opt.ask() |
|
|
X.append(x) |
|
|
|
|
|
ti_available = "ps" in self.acq_func and len(opt.yi) > 0 |
|
|
ti = [t for (_, t) in opt.yi] if ti_available else None |
|
|
|
|
|
if strategy == "cl_min": |
|
|
y_lie = np.min(opt.yi) if opt.yi else 0.0 |
|
|
t_lie = np.min(ti) if ti is not None else log(sys.float_info.max) |
|
|
elif strategy == "cl_mean": |
|
|
y_lie = np.mean(opt.yi) if opt.yi else 0.0 |
|
|
t_lie = np.mean(ti) if ti is not None else log(sys.float_info.max) |
|
|
else: |
|
|
y_lie = np.max(opt.yi) if opt.yi else 0.0 |
|
|
t_lie = np.max(ti) if ti is not None else log(sys.float_info.max) |
|
|
|
|
|
|
|
|
if "ps" in self.acq_func: |
|
|
|
|
|
|
|
|
opt._tell(x, (y_lie, t_lie)) |
|
|
else: |
|
|
opt._tell(x, y_lie) |
|
|
|
|
|
self.cache_ = {(n_points, strategy): X} |
|
|
|
|
|
return X |
|
|
|
|
|
def _ask(self): |
|
|
"""Suggest next point at which to evaluate the objective. |
|
|
|
|
|
Return a random point while not at least `n_initial_points` |
|
|
observations have been `tell`ed, after that `base_estimator` is used |
|
|
to determine the next point. |
|
|
""" |
|
|
if self._n_initial_points > 0 or self.base_estimator_ is None: |
|
|
|
|
|
|
|
|
if self._initial_samples is None: |
|
|
return self.space.rvs(random_state=self.rng)[0] |
|
|
else: |
|
|
|
|
|
return self._initial_samples[ |
|
|
len(self._initial_samples) - self._n_initial_points |
|
|
] |
|
|
|
|
|
else: |
|
|
if not self.models: |
|
|
raise RuntimeError( |
|
|
"Random evaluations exhausted and no " "model has been fit." |
|
|
) |
|
|
|
|
|
next_x = self._next_x |
|
|
min_delta_x = min([self.space.distance(next_x, xi) for xi in self.Xi]) |
|
|
if abs(min_delta_x) <= 1e-8: |
|
|
if self.avoid_duplicates: |
|
|
next_x_new = next_x |
|
|
if hasattr(self, "next_xs_"): |
|
|
|
|
|
|
|
|
for x in self.next_xs_: |
|
|
next_x_new_ = self.space.inverse_transform( |
|
|
x.reshape((1, -1)) |
|
|
)[0] |
|
|
if next_x_new_ != next_x: |
|
|
|
|
|
if next_x_new_ in self.Xi: |
|
|
continue |
|
|
else: |
|
|
next_x_new = next_x_new_ |
|
|
break |
|
|
|
|
|
if next_x_new == next_x: |
|
|
|
|
|
next_x_new = self.space.rvs(random_state=self.rng)[0] |
|
|
warnings.warn( |
|
|
"The objective has been evaluated at " |
|
|
"point {} before, using random point {}".format( |
|
|
next_x, next_x_new |
|
|
) |
|
|
) |
|
|
next_x = next_x_new |
|
|
else: |
|
|
warnings.warn( |
|
|
"The objective has been evaluated at point " |
|
|
"{} before".format(next_x) |
|
|
) |
|
|
|
|
|
return next_x |
|
|
|
|
|
def tell(self, x, y, fit=True): |
|
|
"""Record an observation (or several) of the objective function. |
|
|
|
|
|
Provide values of the objective function at points suggested by |
|
|
`ask()` or other points. By default a new model will be fit to all |
|
|
observations. The new model is used to suggest the next point at |
|
|
which to evaluate the objective. This point can be retrieved by calling |
|
|
`ask()`. |
|
|
|
|
|
To add observations without fitting a new model set `fit` to False. |
|
|
|
|
|
To add multiple observations in a batch pass a list-of-lists for `x` |
|
|
and a list of scalars for `y`. |
|
|
|
|
|
Parameters |
|
|
---------- |
|
|
x : list or list-of-lists |
|
|
Point at which objective was evaluated. |
|
|
|
|
|
y : scalar or list |
|
|
Value of objective at `x`. |
|
|
|
|
|
fit : bool, default: True |
|
|
Fit a model to observed evaluations of the objective. A model will |
|
|
only be fitted after `n_initial_points` points have been told to |
|
|
the optimizer irrespective of the value of `fit`. |
|
|
""" |
|
|
check_x_in_space(x, self.space) |
|
|
self._check_y_is_valid(x, y) |
|
|
|
|
|
|
|
|
if "ps" in self.acq_func: |
|
|
if is_2Dlistlike(x): |
|
|
y = [[val, log(t)] for (val, t) in y] |
|
|
elif is_listlike(x): |
|
|
y = list(y) |
|
|
y[1] = log(y[1]) |
|
|
|
|
|
return self._tell(x, y, fit=fit) |
|
|
|
|
|
def _tell(self, x, y, fit=True): |
|
|
"""Perform the actual work of incorporating one or more new points. See `tell()` |
|
|
for the full description. |
|
|
|
|
|
This method exists to give access to the internals of adding |
|
|
points by side stepping all input validation and transformation. |
|
|
""" |
|
|
|
|
|
if "ps" in self.acq_func: |
|
|
if is_2Dlistlike(x): |
|
|
self.Xi.extend(x) |
|
|
self.yi.extend(y) |
|
|
self._n_initial_points -= len(y) |
|
|
elif is_listlike(x): |
|
|
self.Xi.append(x) |
|
|
self.yi.append(y) |
|
|
self._n_initial_points -= 1 |
|
|
|
|
|
elif is_listlike(y) and is_2Dlistlike(x): |
|
|
self.Xi.extend(x) |
|
|
self.yi.extend(y) |
|
|
self._n_initial_points -= len(y) |
|
|
elif is_listlike(x): |
|
|
self.Xi.append(x) |
|
|
self.yi.append(y) |
|
|
self._n_initial_points -= 1 |
|
|
else: |
|
|
raise ValueError( |
|
|
"Type of arguments `x` (%s) and `y` (%s) " |
|
|
"not compatible." % (type(x), type(y)) |
|
|
) |
|
|
|
|
|
|
|
|
self.cache_ = {} |
|
|
|
|
|
|
|
|
|
|
|
if fit and self._n_initial_points <= 0 and self.base_estimator_ is not None: |
|
|
transformed_bounds = np.array(self.space.transformed_bounds) |
|
|
est = clone(self.base_estimator_) |
|
|
|
|
|
with warnings.catch_warnings(): |
|
|
warnings.simplefilter("ignore") |
|
|
est.fit(self.space.transform(self.Xi), self.yi) |
|
|
|
|
|
if hasattr(self, "next_xs_") and self.acq_func == "gp_hedge": |
|
|
self.gains_ -= est.predict(np.vstack(self.next_xs_)) |
|
|
|
|
|
if self.max_model_queue_size is None: |
|
|
self.models.append(est) |
|
|
elif len(self.models) < self.max_model_queue_size: |
|
|
self.models.append(est) |
|
|
else: |
|
|
|
|
|
self.models.pop(0) |
|
|
self.models.append(est) |
|
|
|
|
|
|
|
|
|
|
|
X = self.space.transform( |
|
|
self.space.rvs(n_samples=self.n_points, random_state=self.rng) |
|
|
) |
|
|
|
|
|
self.next_xs_ = [] |
|
|
for cand_acq_func in self.cand_acq_funcs_: |
|
|
values = _gaussian_acquisition( |
|
|
X=X, |
|
|
model=est, |
|
|
y_opt=np.min(self.yi), |
|
|
acq_func=cand_acq_func, |
|
|
acq_func_kwargs=self.acq_func_kwargs, |
|
|
) |
|
|
|
|
|
|
|
|
if self.acq_optimizer == "sampling": |
|
|
next_x = X[np.argmin(values)] |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
elif self.acq_optimizer == "lbfgs": |
|
|
x0 = X[np.argsort(values)[: self.n_restarts_optimizer]] |
|
|
|
|
|
with warnings.catch_warnings(): |
|
|
warnings.simplefilter("ignore") |
|
|
results = Parallel(n_jobs=self.n_jobs)( |
|
|
delayed(fmin_l_bfgs_b)( |
|
|
gaussian_acquisition_1D, |
|
|
x, |
|
|
args=( |
|
|
est, |
|
|
np.min(self.yi), |
|
|
cand_acq_func, |
|
|
self.acq_func_kwargs, |
|
|
), |
|
|
bounds=self.space.transformed_bounds, |
|
|
approx_grad=False, |
|
|
maxiter=20, |
|
|
) |
|
|
for x in x0 |
|
|
) |
|
|
|
|
|
cand_xs = np.array([r[0] for r in results]) |
|
|
cand_acqs = np.array([r[1] for r in results]) |
|
|
next_x = cand_xs[np.argmin(cand_acqs)] |
|
|
|
|
|
|
|
|
|
|
|
if not self.space.is_categorical: |
|
|
next_x = np.clip( |
|
|
next_x, transformed_bounds[:, 0], transformed_bounds[:, 1] |
|
|
) |
|
|
self.next_xs_.append(next_x) |
|
|
|
|
|
if self.acq_func == "gp_hedge": |
|
|
logits = np.array(self.gains_) |
|
|
logits -= np.max(logits) |
|
|
exp_logits = np.exp(self.eta * logits) |
|
|
probs = exp_logits / np.sum(exp_logits) |
|
|
next_x = self.next_xs_[np.argmax(self.rng.multinomial(1, probs))] |
|
|
else: |
|
|
next_x = self.next_xs_[0] |
|
|
|
|
|
|
|
|
self._next_x = self.space.inverse_transform(next_x.reshape((1, -1)))[0] |
|
|
|
|
|
|
|
|
result = create_result( |
|
|
self.Xi, self.yi, self.space, self.rng, models=self.models |
|
|
) |
|
|
|
|
|
result.specs = self.specs |
|
|
return result |
|
|
|
|
|
def _check_y_is_valid(self, x, y): |
|
|
"""Check if the shape and types of x and y are consistent.""" |
|
|
|
|
|
if "ps" in self.acq_func: |
|
|
if is_2Dlistlike(x): |
|
|
if not (np.ndim(y) == 2 and np.shape(y)[1] == 2): |
|
|
raise TypeError("expected y to be a list of (func_val, t)") |
|
|
elif is_listlike(x): |
|
|
if not (np.ndim(y) == 1 and len(y) == 2): |
|
|
raise TypeError("expected y to be (func_val, t)") |
|
|
|
|
|
|
|
|
elif is_listlike(y) and is_2Dlistlike(x): |
|
|
for y_value in y: |
|
|
if not isinstance(y_value, Number): |
|
|
raise ValueError("expected y to be a list of scalars") |
|
|
|
|
|
elif is_listlike(x): |
|
|
if not isinstance(y, Number): |
|
|
raise ValueError("`func` should return a scalar") |
|
|
|
|
|
else: |
|
|
raise ValueError( |
|
|
"Type of arguments `x` (%s) and `y` (%s) " |
|
|
"not compatible." % (type(x), type(y)) |
|
|
) |
|
|
|
|
|
def run(self, func, n_iter=1): |
|
|
"""Execute ask() + tell() `n_iter` times.""" |
|
|
for _ in range(n_iter): |
|
|
x = self.ask() |
|
|
self.tell(x, func(x)) |
|
|
|
|
|
result = create_result( |
|
|
self.Xi, self.yi, self.space, self.rng, models=self.models |
|
|
) |
|
|
result.specs = self.specs |
|
|
return result |
|
|
|
|
|
def update_next(self): |
|
|
"""Updates the value returned by opt.ask(). |
|
|
|
|
|
Useful if a parameter was updated after ask was called. |
|
|
""" |
|
|
self.cache_ = {} |
|
|
|
|
|
|
|
|
if hasattr(self, '_next_x'): |
|
|
opt = self.copy(random_state=self.rng) |
|
|
self._next_x = opt._next_x |
|
|
|
|
|
def get_result(self): |
|
|
"""Returns the same result that would be returned by opt.tell() but without |
|
|
calling tell. |
|
|
|
|
|
Returns |
|
|
------- |
|
|
res : `OptimizeResult`, scipy object |
|
|
OptimizeResult instance with the required information. |
|
|
""" |
|
|
result = create_result( |
|
|
self.Xi, self.yi, self.space, self.rng, models=self.models |
|
|
) |
|
|
result.specs = self.specs |
|
|
return result |
|
|
|