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Tuning a scikit-learn estimator with skopt

Gilles Louppe, July 2016
Katie Malone, August 2016

If you are looking for a GridSearchCV replacement checkout the BayesSearchCV example instead.

%matplotlib inline
import numpy as np
import matplotlib.pyplot as plt

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 GridSearchCV. This class uses functions of skopt to perform hyperparameter search efficiently. For example usage of this class, see the BayesSearchCV example example notebook.


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 =,
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 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
def objective(**params):

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

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" %
'Best score=2.9241'
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], 
Best parameters:
- max_depth=5
- learning_rate=0.257228
- max_features=13
- min_samples_split=100
- min_samples_leaf=1

Convergence plot

from skopt.plots import plot_convergence