超参数调优的几种框架

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flavorfan

修改于 2022-06-30 20:43:18

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代码可运行

在拟合数据训练之前需要设置超参数，以获得更健壮和优化的模型。任何模型的目标都是实现最小化误差，超参数调优（Hyperparameter Tuning / Optimization）有助于实现这一目标。

实验数据集集

实验采用kaggle小数据集手机价格预测的小数据集（mobile-price-classification）。

import pandas as pd
import numpy as np

def load_data(data_root: str):
    df = pd.read_csv(data_root)
    X = df.drop('price_range',axis=1).values
    y = df.price_range.values
    return X, y

X,y = load_data('data/mobile-price-classification/train.csv')

1 sklearn 的 Search框架

1.） Grid Search

GridSearch简单便利左右可能参数组合。Grid格点的疏密需要自己定义。

import pandas as pd
import numpy as np

from sklearn import ensemble
from sklearn import metrics
from sklearn import model_selection

classifier = ensemble.RandomForestClassifier(n_jobs=-1)

X,y = load_data('data/mobile-price-classification/train.csv')

param_grid = {
    "n_estimators" : [100, 200, 300, 400],
    "max_depth": [1,3,5,7],
    "criterion":["gini","entropy"],   
}

model = model_selection.GridSearchCV(
    estimator=classifier,
    param_grid=param_grid,
    scoring='accuracy',
    verbose=10,
    n_jobs=1,
    cv=5
)

model.fit(X,y)

print(model.best_score_)
print(model.best_estimator_.get_params())

结果输出

2）Random Search

相对于简单排列组合所有参数可能组合，Random Search用随机来查早最优解。参数搜索空间相对grid大很多。相对上述有变化的是param_grid，和传入参数。

param_grid = {
    "n_estimators" : np.arange(100,1500,100),
    "max_depth": np.arange(1,20),
    "criterion":["gini","entropy"],   
}
model = model_selection.RandomizedSearchCV(
    estimator=classifier,
    param_distributions=param_grid,
    n_iter=10,
    scoring='accuracy',
    verbose=10,
    n_jobs=1,
    cv=5
)

model.fit(X,y)
print(model.best_score_)
print(model.best_estimator_.get_params())

结果输出

3）Grid/Randomn Search with pipelines

实际应用中，还可以结合sklearn的preprocess，pipeline，把模型的数据预处理和多个处理流程整合起来，形成更宽泛意义的estimator。

import pandas as pd
import numpy as np

from sklearn import ensemble
from sklearn import metrics
from sklearn import model_selection

from sklearn import decomposition
from sklearn import preprocessing
from sklearn import pipeline

def load_data(data_root: str):
    df = pd.read_csv(data_root)
    X = df.drop('price_range',axis=1).values
    y = df.price_range.values
    return X, y
    
X,y = load_data('data/mobile-price-classification/train.csv')

scl = preprocessing.StandardScaler()
pca = decomposition.PCA()
rf = ensemble.RandomForestClassifier(n_jobs=-1)

classifier = pipeline.Pipeline([("scaling",scl), ("pca", pca),("rf",rf)])

param_grid = {
    "pca__n_components": np.arange(5,10),
    "rf__n_estimators" : np.arange(100,1500,100),
    "rf__max_depth": np.arange(1,20),
    "rf__criterion":["gini","entropy"],   
}

model = model_selection.RandomizedSearchCV(
    estimator=classifier,
    param_distributions=param_grid,
    n_iter=10,
    scoring='accuracy',
    verbose=10,
    n_jobs=1,
    cv=5
)

model.fit(X,y)
print(model.best_score_)
print(model.best_estimator_.get_params())

结果输出：

2. Bayesian optimziation with Gaussian Process (skopt)

from functools import partial

from skopt import space
from skopt import gp_minimize

def optimize(params, param_names, X, y):
    params = dict(zip(param_names, params))
    model = ensemble.RandomForestClassifier(** params)
    kf = model_selection.StratifiedKFold(n_splits=5)
    accuracies = []
    for idx in kf.split(X=X, y=y):
        train_idx, test_idx = idx[0], idx[1]
        xtrain = X[train_idx]
        ytrain = y[train_idx]
        
        xtest = X[test_idx]
        ytest = y[test_idx]
        
        model.fit(xtrain, ytrain)
        preds = model.predict(xtest)
        fold_acc = metrics.accuracy_score(ytest, preds)
        accuracies.append(fold_acc)
    
    return -1.0 * np.mean(accuracies)
        
param_names = ["max_depth", "n_estimators", "criterion", "max_features" ]
param_space = [
    space.Integer(3, 15, name="max_depth"),
    space.Integer(100, 600, name="n_estimators"),
    space.Categorical(["gini","entropy"], name="criterion"),
    space.Real(0.01, 1, prior="uniform", name="max_features")   
]

optimization_function = partial(
    optimize,
    param_names=param_names,
    X=X,
    y=y
)

result = gp_minimize(
    optimization_function,
    dimensions=param_space,
    n_calls=15,
    n_random_starts=10,
    verbose=10
)
print(dict(zip(param_names, result.x)))

结果输出：

3. Hyperopt

from hyperopt import hp, fmin, tpe, Trials
from hyperopt.pyll.base import scope

def optimize(params, X, y):
    model = ensemble.RandomForestClassifier(** params)
    kf = model_selection.StratifiedKFold(n_splits=5)
    accuracies = []
    for idx in kf.split(X=X, y=y):
        train_idx, test_idx = idx[0], idx[1]
        xtrain = X[train_idx]
        ytrain = y[train_idx]
        
        xtest = X[test_idx]
        ytest = y[test_idx]
        
        model.fit(xtrain, ytrain)
        preds = model.predict(xtest)
        fold_acc = metrics.accuracy_score(ytest, preds)
        accuracies.append(fold_acc)
    
    return -1.0 * np.mean(accuracies)

param_space = {
    "max_depth": scope.int(hp.quniform("max_depth", 3, 15, 1)),
    "n_estimators": scope.int(hp.quniform("n_estimators", 100, 600, 1)),
    "criterion": hp.choice("criterion", ["gini", "entropy"]),
    "max_features": hp.uniform("max_features", 0.01, 1)
}

optimization_function = partial(optimize, X=X, y=y)

trials = Trials()

result = fmin(
    fn=optimization_function,
    space=param_space,
    algo=tpe.suggest,
    max_evals=15,
    trials=trials,
)

print(result)

结果输出：

4. Optuna

import optuna

def optimize(trial, X, y):
    criterion    = trial.suggest_categorical("criterion", ['gini', 'entropy'])
    n_estimators = trial.suggest_int("n_estimators", 100, 1500)
    max_depth    = trial.suggest_int("max_depth", 3, 15)
    max_features = trial.suggest_uniform("max_features", 0.01, 1.0)
    
    model = ensemble.RandomForestClassifier(
        n_estimators = n_estimators,
        max_depth = max_depth,
        max_features = max_features,
        criterion = criterion
    )
    
    kf = model_selection.StratifiedKFold(n_splits=5)
    accuracies = []
    for idx in kf.split(X=X, y=y):
        train_idx, test_idx = idx[0], idx[1]
        xtrain = X[train_idx]
        ytrain = y[train_idx]
        
        xtest = X[test_idx]
        ytest = y[test_idx]
        
        model.fit(xtrain, ytrain)
        preds = model.predict(xtest)
        fold_acc = metrics.accuracy_score(ytest, preds)
        accuracies.append(fold_acc)
    
    return -1.0 * np.mean(accuracies)

optimization_function = partial(optimize, X=X, y=y)

study = optuna.create_study(direction='minimize')
study.optimize(optimization_function, n_trials=15)

结果输出：