hyperparameter-optimization.py

"""
============================================
Tuning a scikit-learn estimator with `skopt`
============================================

Gilles Louppe, July 2016
Katie Malone, August 2016
Reformatted by Holger Nahrstaedt 2020

.. currentmodule:: skopt

If you are looking for a :obj:`sklearn.model_selection.GridSearchCV` replacement checkout
:ref:`sphx_glr_auto_examples_sklearn-gridsearchcv-replacement.py` instead.

Problem statement
=================

Tuning the hyper-parameters of a machine learning model is often carried out
using an exhaustive exploration of (a subset of) the space all hyper-parameter
configurations (e.g., using :obj:`sklearn.model_selection.GridSearchCV`), which
often results in a very time consuming operation.

In this notebook, we illustrate how to couple :class:`gp_minimize` with sklearn's
estimators to tune hyper-parameters using sequential model-based optimisation,
hopefully resulting in equivalent or better solutions, but within fewer
evaluations.

Note: scikit-optimize provides a dedicated interface for estimator tuning via
:class:`BayesSearchCV` class which has a similar interface to those of
:obj:`sklearn.model_selection.GridSearchCV`. This class uses functions of skopt to perform hyperparameter
search efficiently. For example usage of this class, see
:ref:`sphx_glr_auto_examples_sklearn-gridsearchcv-replacement.py`
example notebook.
"""
print(__doc__)
import numpy as np

#############################################################################
# Objective
# =========
# To tune the hyper-parameters of our model we need to define a model,
# decide which parameters to optimize, and define the objective function
# we want to minimize.

from sklearn.datasets import fetch_california_housing
from sklearn.ensemble import GradientBoostingRegressor
from sklearn.model_selection import cross_val_score

housing = fetch_california_housing()
X, y = housing.data, housing.target
n_features = X.shape[1]

# gradient boosted trees tend to do well on problems like this
reg = GradientBoostingRegressor(n_estimators=50, random_state=0)

#############################################################################
# Next, we need to define the bounds of the dimensions of the search space
# we want to explore and pick the objective. In this case the cross-validation
# mean absolute error of a gradient boosting regressor over the Boston
# dataset, as a function of its hyper-parameters.

from skopt.space import Real, Integer
from skopt.utils import use_named_args


# The list of hyper-parameters we want to optimize. For each one we define the
# bounds, the corresponding scikit-learn parameter name, as well as how to
# sample values from that dimension (`'log-uniform'` for the learning rate)
space = [Integer(1, 5, name='max_depth'),
         Real(10**-5, 10**0, "log-uniform", name='learning_rate'),
         Integer(1, n_features, name='max_features'),
         Integer(2, 100, name='min_samples_split'),
         Integer(1, 100, name='min_samples_leaf')]

# this decorator allows your objective function to receive a the parameters as
# keyword arguments. This is particularly convenient when you want to set
# scikit-learn estimator parameters
@use_named_args(space)
def objective(**params):
    reg.set_params(**params)

    return -np.mean(cross_val_score(reg, X, y, cv=5, n_jobs=-1,
                                    scoring="neg_mean_absolute_error"))

#############################################################################
# Optimize all the things!
# ========================
# With these two pieces, we are now ready for sequential model-based
# optimisation. Here we use gaussian process-based optimisation.

from skopt import gp_minimize
res_gp = gp_minimize(objective, space, n_calls=50, random_state=0)

"Best score=%.4f" % res_gp.fun

#############################################################################

print("""Best parameters:
- max_depth=%d
- learning_rate=%.6f
- max_features=%d
- min_samples_split=%d
- min_samples_leaf=%d""" % (res_gp.x[0], res_gp.x[1],
                            res_gp.x[2], res_gp.x[3],
                            res_gp.x[4]))

#############################################################################
# Convergence plot
# ================

from skopt.plots import plot_convergence

plot_convergence(res_gp)