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Heteroscedastic Evolutionary Bayesian Optimisation

Project description

Note from uploader: This is a fork of the original project with several minor modifications. I have uploaded this package to PyPi in accordance with the MIT License for distribution purposes and do not claim ownership of any work not done by me. I will happily give up control of the package to the original authors should they wish so.

README

Bayesian optimsation library developped by Huawei Noahs Ark Decision Making and Reasoning (DMnR) lab. The winning submission to the NeurIPS 2020 Black-Box Optimisation Challenge.

Summary Ablation
Results Results

Contributors

Alexander I. Cowen-Rivers, Wenlong Lyu, Zhi Wang, Antoine Grosnit, Rasul Tutunov, Hao Jianye, Jun Wang, Haitham Bou Ammar.

Installation

python setup.py develop

Demo

import pandas as pd
import numpy  as np
from hebo.design_space.design_space import DesignSpace
from hebo.optimizers.hebo import HEBO

def obj(params : pd.DataFrame) -> np.ndarray:
    return ((params.values - 0.37)**2).sum(axis = 1).reshape(-1, 1)

space = DesignSpace().parse([{'name' : 'x', 'type' : 'num', 'lb' : -3, 'ub' : 3}])
opt   = HEBO(space)
for i in range(5):
    rec = opt.suggest(n_suggestions = 4)
    opt.observe(rec, obj(rec))
    print('After %d iterations, best obj is %.2f' % (i, opt.y.min()))

Auto Tuning via Sklearn Estimator

from sklearn.datasets import load_boston
from sklearn.ensemble import RandomForestRegressor
from sklearn.metrics import r2_score, mean_squared_error

from hebo.sklearn_tuner import sklearn_tuner

space_cfg = [
    {'name' : 'max_depth', 'type' : 'int', 'lb' : 1, 'ub' : 20},
    {'name' : 'min_samples_leaf', 'type' : 'num', 'lb' : 1e-4, 'ub' : 0.5},
    {'name' : 'max_features', 'type' : 'cat', 'categories' : ['auto', 'sqrt', 'log2']},
    {'name' : 'bootstrap', 'type' : 'bool'},
    {'name' : 'min_impurity_decrease', 'type' : 'pow', 'lb' : 1e-4, 'ub' : 1.0},
    ]
X, y   = load_boston(return_X_y = True)
result = sklearn_tuner(RandomForestRegressor, space_cfg, X, y, metric = r2_score, max_iter = 16)

Documentation

cd doc
make html

You can view the compiled documentation in doc/build/html/index.html.

Test

pytest -v test/ --cov ./hebo --cov-report term-missing --cov-config ./test/.coveragerc

Reproduce Experimental Results

  • See archived_submissions/hebo, which is the exact submission that won the NeurIPS2020 Black-Box Optimsation Challenge.
  • Use run_local.sh in bbo_challenge_starter_kit to reproduce bayesmark experiments, you can just drop archived_submissions/hebo to the example_submissions directory.
  • The MACEBO in hebo.optimizers.mace is the same optimiser, with same hyperparameters but a modified interface (bayesmark dependency removed).

Features

  • Continuous, integer and categorical design parameters.
  • Constrained and multi-objective optimsation.
  • Contextual optimsation.
  • Multiple surrogate models including GP, RF and BNN.
  • Modular and flexible Bayesian Optimisation building blocks.

Cite Us

Cowen-Rivers, Alexander I., et al. "HEBO: Heteroscedastic Evolutionary Bayesian Optimisation." arXiv preprint arXiv:2012.03826 (2020).

BibTex

@article{cowen2020hebo, title={HEBO: Heteroscedastic Evolutionary Bayesian Optimisation}, author={Cowen-Rivers, Alexander I and Lyu, Wenlong and Wang, Zhi and Tutunov, Rasul and Jianye, Hao and Wang, Jun and Ammar, Haitham Bou}, journal={arXiv preprint arXiv:2012.03826}, year={2020} }

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