Source code for optuna.pruners._percentile

import functools
import math
from typing import KeysView
from typing import List

import numpy as np

import optuna
from optuna._study_direction import StudyDirection
from optuna.pruners import BasePruner
from optuna.trial._state import TrialState


def _get_best_intermediate_result_over_steps(
    trial: "optuna.trial.FrozenTrial", direction: StudyDirection
) -> float:

    values = np.asarray(list(trial.intermediate_values.values()), dtype=float)
    if direction == StudyDirection.MAXIMIZE:
        return np.nanmax(values)
    return np.nanmin(values)


def _get_percentile_intermediate_result_over_trials(
    all_trials: List["optuna.trial.FrozenTrial"],
    direction: StudyDirection,
    step: int,
    percentile: float,
    n_min_trials: int,
) -> float:

    completed_trials = [t for t in all_trials if t.state == TrialState.COMPLETE]

    if len(completed_trials) == 0:
        raise ValueError("No trials have been completed.")

    intermediate_values = [
        t.intermediate_values[step] for t in completed_trials if step in t.intermediate_values
    ]

    if len(intermediate_values) < n_min_trials:
        return math.nan

    if direction == StudyDirection.MAXIMIZE:
        percentile = 100 - percentile

    return float(
        np.nanpercentile(
            np.array(intermediate_values, dtype=float),
            percentile,
        )
    )


def _is_first_in_interval_step(
    step: int, intermediate_steps: KeysView[int], n_warmup_steps: int, interval_steps: int
) -> bool:

    nearest_lower_pruning_step = (
        step - n_warmup_steps
    ) // interval_steps * interval_steps + n_warmup_steps
    assert nearest_lower_pruning_step >= 0

    # `intermediate_steps` may not be sorted so we must go through all elements.
    second_last_step = functools.reduce(
        lambda second_last_step, s: s if s > second_last_step and s != step else second_last_step,
        intermediate_steps,
        -1,
    )

    return second_last_step < nearest_lower_pruning_step


[docs]class PercentilePruner(BasePruner): """Pruner to keep the specified percentile of the trials. Prune if the best intermediate value is in the bottom percentile among trials at the same step. Example: .. 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) def objective(trial): alpha = trial.suggest_float("alpha", 0.0, 1.0) clf = SGDClassifier(alpha=alpha) n_train_iter = 100 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.PercentilePruner( 25.0, n_startup_trials=5, n_warmup_steps=30, interval_steps=10 ), ) study.optimize(objective, n_trials=20) Args: percentile: Percentile which must be between 0 and 100 inclusive (e.g., When given 25.0, top of 25th percentile trials are kept). n_startup_trials: Pruning is disabled until the given number of trials finish in the same study. n_warmup_steps: Pruning is disabled until the trial exceeds the given number of step. Note that this feature assumes that ``step`` starts at zero. interval_steps: Interval in number of steps between the pruning checks, offset by the warmup steps. If no value has been reported at the time of a pruning check, that particular check will be postponed until a value is reported. Value must be at least 1. n_min_trials: Minimum number of reported trial results at a step to judge whether to prune. If the number of reported intermediate values from all trials at the current step is less than ``n_min_trials``, the trial will not be pruned. This can be used to ensure that a minimum number of trials are run to completion without being pruned. """ def __init__( self, percentile: float, n_startup_trials: int = 5, n_warmup_steps: int = 0, interval_steps: int = 1, *, n_min_trials: int = 1, ) -> None: if not 0.0 <= percentile <= 100: raise ValueError( "Percentile must be between 0 and 100 inclusive but got {}.".format(percentile) ) if n_startup_trials < 0: raise ValueError( "Number of startup trials cannot be negative but got {}.".format(n_startup_trials) ) if n_warmup_steps < 0: raise ValueError( "Number of warmup steps cannot be negative but got {}.".format(n_warmup_steps) ) if interval_steps < 1: raise ValueError( "Pruning interval steps must be at least 1 but got {}.".format(interval_steps) ) if n_min_trials < 1: raise ValueError( "Number of trials for pruning must be at least 1 but got {}.".format(n_min_trials) ) self._percentile = percentile self._n_startup_trials = n_startup_trials self._n_warmup_steps = n_warmup_steps self._interval_steps = interval_steps self._n_min_trials = n_min_trials
[docs] def prune(self, study: "optuna.study.Study", trial: "optuna.trial.FrozenTrial") -> bool: all_trials = study.get_trials(deepcopy=False) n_trials = len([t for t in all_trials if t.state == TrialState.COMPLETE]) if n_trials == 0: return False if n_trials < self._n_startup_trials: return False step = trial.last_step if step is None: return False n_warmup_steps = self._n_warmup_steps if step < n_warmup_steps: return False if not _is_first_in_interval_step( step, trial.intermediate_values.keys(), n_warmup_steps, self._interval_steps ): return False direction = study.direction best_intermediate_result = _get_best_intermediate_result_over_steps(trial, direction) if math.isnan(best_intermediate_result): return True p = _get_percentile_intermediate_result_over_trials( all_trials, direction, step, self._percentile, self._n_min_trials ) if math.isnan(p): return False if direction == StudyDirection.MAXIMIZE: return best_intermediate_result < p return best_intermediate_result > p