Tuning a scikit-learn estimator with skopt

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

If you are looking for a sklearn.model_selection.GridSearchCV replacement checkout Scikit-learn hyperparameter search wrapper 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 sklearn.model_selection.GridSearchCV), which often results in a very time consuming operation.

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

Note: scikit-optimize provides a dedicated interface for estimator tuning via BayesSearchCV class which has a similar interface to those of sklearn.model_selection.GridSearchCV. This class uses functions of skopt to perform hyperparameter search efficiently. For example usage of this class, see Scikit-learn hyperparameter search wrapper 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 load_boston
from sklearn.ensemble import GradientBoostingRegressor
from sklearn.model_selection import cross_val_score

boston = load_boston()
X, y = boston.data, boston.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

Out:

'Best score=2.8451'
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]))

Out:

Best parameters:
- max_depth=5
- learning_rate=0.119428
- max_features=9
- min_samples_split=2
- min_samples_leaf=1

Convergence plot

from skopt.plots import plot_convergence

plot_convergence(res_gp)
../_images/sphx_glr_hyperparameter-optimization_001.png

Out:

<matplotlib.axes._subplots.AxesSubplot object at 0x7f8320cacdc0>

Total running time of the script: ( 0 minutes 30.711 seconds)

Estimated memory usage: 33 MB

Gallery generated by Sphinx-Gallery