Source code for optuna.pruners._hyperband

import math
from typing import List
from typing import Optional
from typing import Tuple
from typing import Union

import optuna
from optuna import logging
from optuna.pruners._base import BasePruner
from optuna.pruners._successive_halving import SuccessiveHalvingPruner
from optuna.trial._state import TrialState


_logger = logging.get_logger(__name__)


[docs]class HyperbandPruner(BasePruner): """Pruner using Hyperband. As SuccessiveHalving (SHA) requires the number of configurations :math:`n` as its hyperparameter. For a given finite budget :math:`B`, all the configurations have the resources of :math:`B \\over n` on average. As you can see, there will be a trade-off of :math:`B` and :math:`B \\over n`. `Hyperband <http://www.jmlr.org/papers/volume18/16-558/16-558.pdf>`_ attacks this trade-off by trying different :math:`n` values for a fixed budget. .. note:: * In the Hyperband paper, the counterpart of :class:`~optuna.samplers.RandomSampler` is used. * Optuna uses :class:`~optuna.samplers.TPESampler` by default. * `The benchmark result <https://github.com/optuna/optuna/pull/828#issuecomment-575457360>`_ shows that :class:`optuna.pruners.HyperbandPruner` supports both samplers. .. note:: If you use ``HyperbandPruner`` with :class:`~optuna.samplers.TPESampler`, it's recommended to consider to set larger ``n_trials`` or ``timeout`` to make full use of the characteristics of :class:`~optuna.samplers.TPESampler` because :class:`~optuna.samplers.TPESampler` uses some (by default, :math:`10`) :class:`~optuna.trial.Trial`\\ s for its startup. As Hyperband runs multiple :class:`~optuna.pruners.SuccessiveHalvingPruner` and collect trials based on the current :class:`~optuna.trial.Trial`\\ 's bracket ID, each bracket needs to observe more than :math:`10` :class:`~optuna.trial.Trial`\\ s for :class:`~optuna.samplers.TPESampler` to adapt its search space. Thus, for example, if ``HyperbandPruner`` has :math:`4` pruners in it, at least :math:`4 \\times 10` trials are consumed for startup. .. note:: Hyperband has several :class:`~optuna.pruners.SuccessiveHalvingPruner`. Each :class:`~optuna.pruners.SuccessiveHalvingPruner` is referred as "bracket" in the original paper. The number of brackets is an important factor to control the early stopping behavior of Hyperband and is automatically determined by ``min_resource``, ``max_resource`` and ``reduction_factor`` as `The number of brackets = floor(log_{reduction_factor}(max_resource / min_resource)) + 1`. Please set ``reduction_factor`` so that the number of brackets is not too large (about 4 ~ 6 in most use cases). Please see Section 3.6 of the `original paper <http://www.jmlr.org/papers/volume18/16-558/16-558.pdf>`_ for the detail. .. seealso:: Please refer to :meth:`~optuna.trial.Trial.report`. Example: We minimize an objective function with Hyperband pruning algorithm. .. testcode:: import numpy as np from sklearn.datasets import load_iris from sklearn.linear_model import SGDClassifier from sklearn.model_selection import train_test_split import optuna X, y = load_iris(return_X_y=True) X_train, X_valid, y_train, y_valid = train_test_split(X, y) classes = np.unique(y) n_train_iter = 100 def objective(trial): alpha = trial.suggest_float("alpha", 0.0, 1.0) clf = SGDClassifier(alpha=alpha) for step in range(n_train_iter): clf.partial_fit(X_train, y_train, classes=classes) intermediate_value = clf.score(X_valid, y_valid) trial.report(intermediate_value, step) if trial.should_prune(): raise optuna.TrialPruned() return clf.score(X_valid, y_valid) study = optuna.create_study( direction="maximize", pruner=optuna.pruners.HyperbandPruner( min_resource=1, max_resource=n_train_iter, reduction_factor=3 ), ) study.optimize(objective, n_trials=20) Args: min_resource: A parameter for specifying the minimum resource allocated to a trial noted as :math:`r` in the paper. A smaller :math:`r` will give a result faster, but a larger :math:`r` will give a better guarantee of successful judging between configurations. See the details for :class:`~optuna.pruners.SuccessiveHalvingPruner`. max_resource: A parameter for specifying the maximum resource allocated to a trial. :math:`R` in the paper corresponds to ``max_resource / min_resource``. This value represents and should match the maximum iteration steps (e.g., the number of epochs for neural networks). When this argument is "auto", the maximum resource is estimated according to the completed trials. The default value of this argument is "auto". .. note:: With "auto", the maximum resource will be the largest step reported by :meth:`~optuna.trial.Trial.report` in the first, or one of the first if trained in parallel, completed trial. No trials will be pruned until the maximum resource is determined. .. note:: If the step of the last intermediate value may change with each trial, please manually specify the maximum possible step to ``max_resource``. reduction_factor: A parameter for specifying reduction factor of promotable trials noted as :math:`\\eta` in the paper. See the details for :class:`~optuna.pruners.SuccessiveHalvingPruner`. bootstrap_count: Parameter specifying the number of trials required in a rung before any trial can be promoted. Incompatible with ``max_resouce`` is ``"auto"``. See the details for :class:`~optuna.pruners.SuccessiveHalvingPruner`. """ def __init__( self, min_resource: int = 1, max_resource: Union[str, int] = "auto", reduction_factor: int = 3, bootstrap_count: int = 0, ) -> None: self._min_resource = min_resource self._max_resource = max_resource self._reduction_factor = reduction_factor self._pruners: List[SuccessiveHalvingPruner] = [] self._bootstrap_count = bootstrap_count self._total_trial_allocation_budget = 0 self._trial_allocation_budgets: List[int] = [] self._n_brackets: Optional[int] = None if not isinstance(self._max_resource, int) and self._max_resource != "auto": raise ValueError( "The 'max_resource' should be integer or 'auto'. " "But max_resource = {}".format(self._max_resource) ) if self._bootstrap_count > 0 and self._max_resource == "auto": raise ValueError( "bootstrap_count > 0 and max_resource == 'auto' " "are mutually incompatible, bootstrap_count is {}".format(self._bootstrap_count) )
[docs] def prune(self, study: "optuna.study.Study", trial: "optuna.trial.FrozenTrial") -> bool: if len(self._pruners) == 0: self._try_initialization(study) if len(self._pruners) == 0: return False bracket_id = self._get_bracket_id(study, trial) _logger.debug("{}th bracket is selected".format(bracket_id)) bracket_study = self._create_bracket_study(study, bracket_id) return self._pruners[bracket_id].prune(bracket_study, trial)
def _try_initialization(self, study: "optuna.study.Study") -> None: if self._max_resource == "auto": trials = study.get_trials(deepcopy=False) n_steps = [ t.last_step for t in trials if t.state == TrialState.COMPLETE and t.last_step is not None ] if not n_steps: return self._max_resource = max(n_steps) + 1 assert isinstance(self._max_resource, int) if self._n_brackets is None: # In the original paper http://www.jmlr.org/papers/volume18/16-558/16-558.pdf, the # inputs of Hyperband are `R`: max resource and `\eta`: reduction factor. The # number of brackets (this is referred as `s_{max} + 1` in the paper) is calculated # by s_{max} + 1 = \floor{\log_{\eta} (R)} + 1 in Algorithm 1 of the original paper. # In this implementation, we combine this formula and that of ASHA paper # https://arxiv.org/abs/1502.07943 as # `n_brackets = floor(log_{reduction_factor}(max_resource / min_resource)) + 1` self._n_brackets = ( math.floor( math.log(self._max_resource / self._min_resource, self._reduction_factor) ) + 1 ) _logger.debug("Hyperband has {} brackets".format(self._n_brackets)) for bracket_id in range(self._n_brackets): trial_allocation_budget = self._calculate_trial_allocation_budget(bracket_id) self._total_trial_allocation_budget += trial_allocation_budget self._trial_allocation_budgets.append(trial_allocation_budget) pruner = SuccessiveHalvingPruner( min_resource=self._min_resource, reduction_factor=self._reduction_factor, min_early_stopping_rate=bracket_id, bootstrap_count=self._bootstrap_count, ) self._pruners.append(pruner) def _calculate_trial_allocation_budget(self, bracket_id: int) -> int: """Compute the trial allocated budget for a bracket of ``bracket_id``. In the `original paper <http://www.jmlr.org/papers/volume18/16-558/16-558.pdf>`, the number of trials per one bracket is referred as ``n`` in Algorithm 1. Since we do not know the total number of trials in the leaning scheme of Optuna, we calculate the ratio of the number of trials here instead. """ assert self._n_brackets is not None s = self._n_brackets - 1 - bracket_id return math.ceil(self._n_brackets * (self._reduction_factor ** s) / (s + 1)) def _get_bracket_id( self, study: "optuna.study.Study", trial: "optuna.trial.FrozenTrial" ) -> int: """Compute the index of bracket for a trial of ``trial_number``. The index of a bracket is noted as :math:`s` in `Hyperband paper <http://www.jmlr.org/papers/volume18/16-558/16-558.pdf>`_. """ if len(self._pruners) == 0: return 0 assert self._n_brackets is not None n = ( hash("{}_{}".format(study.study_name, trial.number)) % self._total_trial_allocation_budget ) for bracket_id in range(self._n_brackets): n -= self._trial_allocation_budgets[bracket_id] if n < 0: return bracket_id assert False, "This line should be unreachable." def _create_bracket_study( self, study: "optuna.study.Study", bracket_id: int ) -> "optuna.study.Study": # This class is assumed to be passed to # `SuccessiveHalvingPruner.prune` in which `get_trials`, # `direction`, and `storage` are used. # But for safety, prohibit the other attributes explicitly. class _BracketStudy(optuna.study.Study): _VALID_ATTRS = ( "get_trials", "directions", "direction", "_storage", "_study_id", "pruner", "study_name", "_bracket_id", "sampler", "trials", "_is_multi_objective", "stop", "_study", ) def __init__(self, study: "optuna.study.Study", bracket_id: int) -> None: super().__init__( study_name=study.study_name, storage=study._storage, sampler=study.sampler, pruner=study.pruner, ) self._study = study self._bracket_id = bracket_id def get_trials( self, deepcopy: bool = True, states: Optional[Tuple[TrialState, ...]] = None, ) -> List["optuna.trial.FrozenTrial"]: trials = super().get_trials(deepcopy=deepcopy, states=states) pruner = self.pruner assert isinstance(pruner, HyperbandPruner) return [t for t in trials if pruner._get_bracket_id(self, t) == self._bracket_id] def stop(self) -> None: # `stop` should stop the original study's optimization loop instead of # `_BracketStudy`. self._study.stop() def __getattribute__(self, attr_name): # type: ignore if attr_name not in _BracketStudy._VALID_ATTRS: raise AttributeError( "_BracketStudy does not have attribute of '{}'".format(attr_name) ) else: return object.__getattribute__(self, attr_name) return _BracketStudy(study, bracket_id)