import abc
import copy
import json
import os
import pickle
import time
from typing import Any
from typing import Callable
from typing import cast
from typing import Container
from typing import Dict
from typing import Generator
from typing import Iterator
from typing import List
from typing import Optional
from typing import Tuple
from typing import Union
import warnings
import numpy as np
import tqdm
import optuna
from optuna._imports import try_import
from optuna.integration._lightgbm_tuner.alias import _handling_alias_metrics
from optuna.integration._lightgbm_tuner.alias import _handling_alias_parameters
from optuna.study import Study
from optuna.trial import FrozenTrial
from optuna.trial import TrialState
with try_import() as _imports:
import lightgbm as lgb
from sklearn.model_selection import BaseCrossValidator
VALID_SET_TYPE = Union[List[lgb.Dataset], Tuple[lgb.Dataset, ...], lgb.Dataset]
# Define key names of `Trial.system_attrs`.
_ELAPSED_SECS_KEY = "lightgbm_tuner:elapsed_secs"
_AVERAGE_ITERATION_TIME_KEY = "lightgbm_tuner:average_iteration_time"
_STEP_NAME_KEY = "lightgbm_tuner:step_name"
_LGBM_PARAMS_KEY = "lightgbm_tuner:lgbm_params"
# EPS is used to ensure that a sampled parameter value is in pre-defined value range.
_EPS = 1e-12
# Default value of tree_depth, used for upper bound of num_leaves.
_DEFAULT_TUNER_TREE_DEPTH = 8
# Default parameter values described in the official webpage.
_DEFAULT_LIGHTGBM_PARAMETERS = {
"lambda_l1": 0.0,
"lambda_l2": 0.0,
"num_leaves": 31,
"feature_fraction": 1.0,
"bagging_fraction": 1.0,
"bagging_freq": 0,
"min_child_samples": 20,
}
_logger = optuna.logging.get_logger(__name__)
class _BaseTuner:
def __init__(
self,
lgbm_params: Optional[Dict[str, Any]] = None,
lgbm_kwargs: Optional[Dict[str, Any]] = None,
) -> None:
# Handling alias metrics.
if lgbm_params is not None:
_handling_alias_metrics(lgbm_params)
self.lgbm_params = lgbm_params or {}
self.lgbm_kwargs = lgbm_kwargs or {}
def _get_metric_for_objective(self) -> str:
metric = self.lgbm_params.get("metric", "binary_logloss")
# todo (smly): This implementation is different logic from the LightGBM's python bindings.
if type(metric) is str:
pass
elif type(metric) is list:
metric = metric[-1]
elif type(metric) is set:
metric = list(metric)[-1]
else:
raise NotImplementedError
metric = self._metric_with_eval_at(metric)
return metric
def _get_booster_best_score(self, booster: "lgb.Booster") -> float:
metric = self._get_metric_for_objective()
valid_sets: Optional[VALID_SET_TYPE] = self.lgbm_kwargs.get("valid_sets")
if self.lgbm_kwargs.get("valid_names") is not None:
if type(self.lgbm_kwargs["valid_names"]) is str:
valid_name = self.lgbm_kwargs["valid_names"]
elif type(self.lgbm_kwargs["valid_names"]) in [list, tuple]:
valid_name = self.lgbm_kwargs["valid_names"][-1]
else:
raise NotImplementedError
elif type(valid_sets) is lgb.Dataset:
valid_name = "valid_0"
elif isinstance(valid_sets, (list, tuple)) and len(valid_sets) > 0:
valid_set_idx = len(valid_sets) - 1
valid_name = "valid_{}".format(valid_set_idx)
else:
raise NotImplementedError
val_score = booster.best_score[valid_name][metric]
return val_score
def _metric_with_eval_at(self, metric: str) -> str:
if metric != "ndcg" and metric != "map":
return metric
eval_at = self.lgbm_params.get("eval_at")
if eval_at is None:
eval_at = self.lgbm_params.get("{}_at".format(metric))
if eval_at is None:
eval_at = self.lgbm_params.get("{}_eval_at".format(metric))
if eval_at is None:
# Set default value of LightGBM.
# See https://lightgbm.readthedocs.io/en/latest/Parameters.html#eval_at.
eval_at = [1, 2, 3, 4, 5]
# Optuna can handle only a single metric. Choose first one.
if type(eval_at) in [list, tuple]:
return "{}@{}".format(metric, eval_at[0])
if type(eval_at) is int:
return "{}@{}".format(metric, eval_at)
raise ValueError(
"The value of eval_at is expected to be int or a list/tuple of int."
"'{}' is specified.".format(eval_at)
)
def higher_is_better(self) -> bool:
metric_name = self.lgbm_params.get("metric", "binary_logloss")
return metric_name in ("auc", "auc_mu", "ndcg", "map", "average_precision")
def compare_validation_metrics(self, val_score: float, best_score: float) -> bool:
if self.higher_is_better():
return val_score > best_score
else:
return val_score < best_score
class _OptunaObjective(_BaseTuner):
"""Objective for hyperparameter-tuning with Optuna."""
def __init__(
self,
target_param_names: List[str],
lgbm_params: Dict[str, Any],
train_set: "lgb.Dataset",
lgbm_kwargs: Dict[str, Any],
best_score: float,
step_name: str,
model_dir: Optional[str],
pbar: Optional[tqdm.tqdm] = None,
):
self.target_param_names = target_param_names
self.pbar = pbar
self.lgbm_params = lgbm_params
self.lgbm_kwargs = lgbm_kwargs
self.train_set = train_set
self.trial_count = 0
self.best_score = best_score
self.best_booster_with_trial_number: Optional[Tuple["lgb.Booster", int]] = None
self.step_name = step_name
self.model_dir = model_dir
self._check_target_names_supported()
self.pbar_fmt = "{}, val_score: {:.6f}"
def _check_target_names_supported(self) -> None:
supported_param_names = [
"lambda_l1",
"lambda_l2",
"num_leaves",
"feature_fraction",
"bagging_fraction",
"bagging_freq",
"min_child_samples",
]
for target_param_name in self.target_param_names:
if target_param_name not in supported_param_names:
raise NotImplementedError("Parameter `{}` is not supported for tuning.")
def _preprocess(self, trial: optuna.trial.Trial) -> None:
if self.pbar is not None:
self.pbar.set_description(self.pbar_fmt.format(self.step_name, self.best_score))
if "lambda_l1" in self.target_param_names:
self.lgbm_params["lambda_l1"] = trial.suggest_float("lambda_l1", 1e-8, 10.0, log=True)
if "lambda_l2" in self.target_param_names:
self.lgbm_params["lambda_l2"] = trial.suggest_float("lambda_l2", 1e-8, 10.0, log=True)
if "num_leaves" in self.target_param_names:
tree_depth = self.lgbm_params.get("max_depth", _DEFAULT_TUNER_TREE_DEPTH)
max_num_leaves = 2**tree_depth if tree_depth > 0 else 2**_DEFAULT_TUNER_TREE_DEPTH
self.lgbm_params["num_leaves"] = trial.suggest_int("num_leaves", 2, max_num_leaves)
if "feature_fraction" in self.target_param_names:
# `GridSampler` is used for sampling feature_fraction value.
# The value 1.0 for the hyperparameter is always sampled.
param_value = min(trial.suggest_float("feature_fraction", 0.4, 1.0 + _EPS), 1.0)
self.lgbm_params["feature_fraction"] = param_value
if "bagging_fraction" in self.target_param_names:
# `TPESampler` is used for sampling bagging_fraction value.
# The value 1.0 for the hyperparameter might by sampled.
param_value = min(trial.suggest_float("bagging_fraction", 0.4, 1.0 + _EPS), 1.0)
self.lgbm_params["bagging_fraction"] = param_value
if "bagging_freq" in self.target_param_names:
self.lgbm_params["bagging_freq"] = trial.suggest_int("bagging_freq", 1, 7)
if "min_child_samples" in self.target_param_names:
# `GridSampler` is used for sampling min_child_samples value.
# The value 1.0 for the hyperparameter is always sampled.
param_value = trial.suggest_int("min_child_samples", 5, 100)
self.lgbm_params["min_child_samples"] = param_value
def _copy_valid_sets(self, valid_sets: "VALID_SET_TYPE") -> "VALID_SET_TYPE":
if isinstance(valid_sets, list):
return [copy.copy(d) for d in valid_sets]
if isinstance(valid_sets, tuple):
return tuple([copy.copy(d) for d in valid_sets])
return copy.copy(valid_sets)
def __call__(self, trial: optuna.trial.Trial) -> float:
self._preprocess(trial)
start_time = time.time()
train_set = copy.copy(self.train_set)
kwargs = copy.copy(self.lgbm_kwargs)
kwargs["valid_sets"] = self._copy_valid_sets(kwargs["valid_sets"])
booster = lgb.train(self.lgbm_params, train_set, **kwargs)
val_score = self._get_booster_best_score(booster)
elapsed_secs = time.time() - start_time
average_iteration_time = elapsed_secs / booster.current_iteration()
if self.model_dir is not None:
path = os.path.join(self.model_dir, "{}.pkl".format(trial.number))
with open(path, "wb") as fout:
pickle.dump(booster, fout)
_logger.info("The booster of trial#{} was saved as {}.".format(trial.number, path))
if self.compare_validation_metrics(val_score, self.best_score):
self.best_score = val_score
self.best_booster_with_trial_number = (booster, trial.number)
self._postprocess(trial, elapsed_secs, average_iteration_time)
return val_score
def _postprocess(
self, trial: optuna.trial.Trial, elapsed_secs: float, average_iteration_time: float
) -> None:
if self.pbar is not None:
self.pbar.set_description(self.pbar_fmt.format(self.step_name, self.best_score))
self.pbar.update(1)
trial.set_system_attr(_ELAPSED_SECS_KEY, elapsed_secs)
trial.set_system_attr(_AVERAGE_ITERATION_TIME_KEY, average_iteration_time)
trial.set_system_attr(_STEP_NAME_KEY, self.step_name)
trial.set_system_attr(_LGBM_PARAMS_KEY, json.dumps(self.lgbm_params))
self.trial_count += 1
class _OptunaObjectiveCV(_OptunaObjective):
def __init__(
self,
target_param_names: List[str],
lgbm_params: Dict[str, Any],
train_set: "lgb.Dataset",
lgbm_kwargs: Dict[str, Any],
best_score: float,
step_name: str,
model_dir: Optional[str],
pbar: Optional[tqdm.tqdm] = None,
):
super().__init__(
target_param_names,
lgbm_params,
train_set,
lgbm_kwargs,
best_score,
step_name,
model_dir,
pbar=pbar,
)
def _get_cv_scores(self, cv_results: Dict[str, List[float]]) -> List[float]:
metric = self._get_metric_for_objective()
val_scores = cv_results["{}-mean".format(metric)]
return val_scores
def __call__(self, trial: optuna.trial.Trial) -> float:
self._preprocess(trial)
start_time = time.time()
train_set = copy.copy(self.train_set)
cv_results = lgb.cv(self.lgbm_params, train_set, **self.lgbm_kwargs)
val_scores = self._get_cv_scores(cv_results)
val_score = val_scores[-1]
elapsed_secs = time.time() - start_time
average_iteration_time = elapsed_secs / len(val_scores)
if self.model_dir is not None and self.lgbm_kwargs.get("return_cvbooster"):
path = os.path.join(self.model_dir, "{}.pkl".format(trial.number))
with open(path, "wb") as fout:
# At version `lightgbm==3.0.0`, :class:`lightgbm.CVBooster` does not
# have `__getstate__` which is required for pickle serialization.
cvbooster = cv_results["cvbooster"]
pickle.dump((cvbooster.boosters, cvbooster.best_iteration), fout)
_logger.info("The booster of trial#{} was saved as {}.".format(trial.number, path))
if self.compare_validation_metrics(val_score, self.best_score):
self.best_score = val_score
if self.lgbm_kwargs.get("return_cvbooster"):
self.best_booster_with_trial_number = (cv_results["cvbooster"], trial.number)
self._postprocess(trial, elapsed_secs, average_iteration_time)
return val_score
class _LightGBMBaseTuner(_BaseTuner):
"""Base class of LightGBM Tuners.
This class has common attributes and methods of
:class:`~optuna.integration.lightgbm.LightGBMTuner` and
:class:`~optuna.integration.lightgbm.LightGBMTunerCV`.
"""
def __init__(
self,
params: Dict[str, Any],
train_set: "lgb.Dataset",
num_boost_round: int = 1000,
fobj: Optional[Callable[..., Any]] = None,
feval: Optional[Callable[..., Any]] = None,
feature_name: str = "auto",
categorical_feature: str = "auto",
early_stopping_rounds: Optional[int] = None,
verbose_eval: Optional[Union[bool, int, str]] = None,
callbacks: Optional[List[Callable[..., Any]]] = None,
time_budget: Optional[int] = None,
sample_size: Optional[int] = None,
study: Optional[optuna.study.Study] = None,
optuna_callbacks: Optional[List[Callable[[Study, FrozenTrial], None]]] = None,
verbosity: Optional[int] = None,
show_progress_bar: bool = True,
model_dir: Optional[str] = None,
*,
optuna_seed: Optional[int] = None,
) -> None:
_imports.check()
params = copy.deepcopy(params)
# Handling alias metrics.
_handling_alias_metrics(params)
args = [params, train_set]
kwargs: Dict[str, Any] = dict(
num_boost_round=num_boost_round,
fobj=fobj,
feval=feval,
feature_name=feature_name,
categorical_feature=categorical_feature,
early_stopping_rounds=early_stopping_rounds,
verbose_eval=verbose_eval,
callbacks=callbacks,
time_budget=time_budget,
sample_size=sample_size,
verbosity=verbosity,
show_progress_bar=show_progress_bar,
)
self._parse_args(*args, **kwargs)
self._start_time: Optional[float] = None
self._optuna_callbacks = optuna_callbacks
self._best_booster_with_trial_number: Optional[
Tuple[Union[lgb.Booster, lgb.CVBooster], int]
] = None
self._model_dir = model_dir
self._optuna_seed = optuna_seed
# Should not alter data since `min_data_in_leaf` is tuned.
# https://lightgbm.readthedocs.io/en/latest/Parameters.html#feature_pre_filter
if self.lgbm_params.get("feature_pre_filter", False):
warnings.warn(
"feature_pre_filter is given as True but will be set to False. This is required "
"for the tuner to tune min_data_in_leaf."
)
self.lgbm_params["feature_pre_filter"] = False
if study is None:
self.study = optuna.create_study(
direction="maximize" if self.higher_is_better() else "minimize"
)
else:
self.study = study
if self.higher_is_better():
if self.study.direction != optuna.study.StudyDirection.MAXIMIZE:
metric_name = self.lgbm_params.get("metric", "binary_logloss")
raise ValueError(
"Study direction is inconsistent with the metric {}. "
"Please set 'maximize' as the direction.".format(metric_name)
)
else:
if self.study.direction != optuna.study.StudyDirection.MINIMIZE:
metric_name = self.lgbm_params.get("metric", "binary_logloss")
raise ValueError(
"Study direction is inconsistent with the metric {}. "
"Please set 'minimize' as the direction.".format(metric_name)
)
if verbosity is not None:
warnings.warn(
"`verbosity` argument is deprecated and will be removed in the future. "
"The removal of this feature is currently scheduled for v4.0.0, "
"but this schedule is subject to change. Please use optuna.logging.set_verbosity()"
" instead.",
FutureWarning,
)
if self._model_dir is not None and not os.path.exists(self._model_dir):
os.mkdir(self._model_dir)
@property
def best_score(self) -> float:
"""Return the score of the best booster."""
try:
return self.study.best_value
except ValueError:
# Return the default score because no trials have completed.
return -np.inf if self.higher_is_better() else np.inf
@property
def best_params(self) -> Dict[str, Any]:
"""Return parameters of the best booster."""
try:
return json.loads(self.study.best_trial.system_attrs[_LGBM_PARAMS_KEY])
except ValueError:
# Return the default score because no trials have completed.
params = copy.deepcopy(_DEFAULT_LIGHTGBM_PARAMETERS)
# self.lgbm_params may contain parameters given by users.
params.update(self.lgbm_params)
return params
def get_best_booster(self) -> "lgb.Booster":
"""Return the best booster.
If the best booster cannot be found, :class:`ValueError` will be raised. To prevent the
errors, please save boosters by specifying the ``model_dir`` argument of
:meth:`~optuna.integration.lightgbm.LightGBMTuner.__init__`,
when you resume tuning or you run tuning in parallel.
"""
if self._best_booster_with_trial_number is not None:
if self._best_booster_with_trial_number[1] == self.study.best_trial.number:
return self._best_booster_with_trial_number[0]
if len(self.study.trials) == 0:
raise ValueError("The best booster is not available because no trials completed.")
# The best booster exists, but this instance does not have it.
# This may be due to resuming or parallelization.
if self._model_dir is None:
raise ValueError(
"The best booster cannot be found. It may be found in the other processes due to "
"resuming or distributed computing. Please set the `model_dir` argument of "
"`LightGBMTuner.__init__` and make sure that boosters are shared with all "
"processes."
)
best_trial = self.study.best_trial
path = os.path.join(self._model_dir, "{}.pkl".format(best_trial.number))
if not os.path.exists(path):
raise ValueError(
"The best booster cannot be found in {}. If you execute `LightGBMTuner` in "
"distributed environment, please use network file system (e.g., NFS) to share "
"models with multiple workers.".format(self._model_dir)
)
with open(path, "rb") as fin:
booster = pickle.load(fin)
return booster
def _parse_args(self, *args: Any, **kwargs: Any) -> None:
self.auto_options = {
option_name: kwargs.get(option_name)
for option_name in ["time_budget", "sample_size", "verbosity", "show_progress_bar"]
}
# Split options.
for option_name in self.auto_options.keys():
if option_name in kwargs:
del kwargs[option_name]
self.lgbm_params = args[0]
self.train_set = args[1]
self.train_subset = None # Use for sampling.
self.lgbm_kwargs = kwargs
def run(self) -> None:
"""Perform the hyperparameter-tuning with given parameters."""
verbosity = self.auto_options["verbosity"]
if verbosity is not None:
if verbosity > 1:
optuna.logging.set_verbosity(optuna.logging.DEBUG)
elif verbosity == 1:
optuna.logging.set_verbosity(optuna.logging.INFO)
elif verbosity == 0:
optuna.logging.set_verbosity(optuna.logging.WARNING)
else:
optuna.logging.set_verbosity(optuna.logging.CRITICAL)
# Handling aliases.
_handling_alias_parameters(self.lgbm_params)
# Sampling.
self.sample_train_set()
self.tune_feature_fraction()
self.tune_num_leaves()
self.tune_bagging()
self.tune_feature_fraction_stage2()
self.tune_regularization_factors()
self.tune_min_data_in_leaf()
def sample_train_set(self) -> None:
"""Make subset of `self.train_set` Dataset object."""
if self.auto_options["sample_size"] is None:
return
self.train_set.construct()
n_train_instance = self.train_set.get_label().shape[0]
if n_train_instance > self.auto_options["sample_size"]:
offset = n_train_instance - self.auto_options["sample_size"]
idx_list = offset + np.arange(self.auto_options["sample_size"])
self.train_subset = self.train_set.subset(idx_list)
def tune_feature_fraction(self, n_trials: int = 7) -> None:
param_name = "feature_fraction"
param_values = np.linspace(0.4, 1.0, n_trials).tolist()
sampler = optuna.samplers.GridSampler({param_name: param_values})
self._tune_params([param_name], len(param_values), sampler, "feature_fraction")
def tune_num_leaves(self, n_trials: int = 20) -> None:
self._tune_params(
["num_leaves"],
n_trials,
optuna.samplers.TPESampler(seed=self._optuna_seed),
"num_leaves",
)
def tune_bagging(self, n_trials: int = 10) -> None:
self._tune_params(
["bagging_fraction", "bagging_freq"],
n_trials,
optuna.samplers.TPESampler(seed=self._optuna_seed),
"bagging",
)
def tune_feature_fraction_stage2(self, n_trials: int = 6) -> None:
param_name = "feature_fraction"
best_feature_fraction = self.best_params[param_name]
param_values = np.linspace(
best_feature_fraction - 0.08, best_feature_fraction + 0.08, n_trials
).tolist()
param_values = [val for val in param_values if val >= 0.4 and val <= 1.0]
sampler = optuna.samplers.GridSampler({param_name: param_values})
self._tune_params([param_name], len(param_values), sampler, "feature_fraction_stage2")
def tune_regularization_factors(self, n_trials: int = 20) -> None:
self._tune_params(
["lambda_l1", "lambda_l2"],
n_trials,
optuna.samplers.TPESampler(seed=self._optuna_seed),
"regularization_factors",
)
def tune_min_data_in_leaf(self) -> None:
param_name = "min_child_samples"
param_values = [5, 10, 25, 50, 100]
sampler = optuna.samplers.GridSampler({param_name: param_values})
self._tune_params([param_name], len(param_values), sampler, "min_data_in_leaf")
def _tune_params(
self,
target_param_names: List[str],
n_trials: int,
sampler: optuna.samplers.BaseSampler,
step_name: str,
) -> _OptunaObjective:
pbar = (
tqdm.tqdm(total=n_trials, ascii=True)
if self.auto_options["show_progress_bar"]
else None
)
# Set current best parameters.
self.lgbm_params.update(self.best_params)
train_set = self.train_set
if self.train_subset is not None:
train_set = self.train_subset
objective = self._create_objective(target_param_names, train_set, step_name, pbar)
study = self._create_stepwise_study(self.study, step_name)
study.sampler = sampler
complete_trials = study.get_trials(
deepcopy=True,
states=(optuna.trial.TrialState.COMPLETE, optuna.trial.TrialState.PRUNED),
)
_n_trials = n_trials - len(complete_trials)
if self._start_time is None:
self._start_time = time.time()
if self.auto_options["time_budget"] is not None:
_timeout = self.auto_options["time_budget"] - (time.time() - self._start_time)
else:
_timeout = None
if _n_trials > 0:
study.optimize(
objective,
n_trials=_n_trials,
timeout=_timeout,
catch=(),
callbacks=self._optuna_callbacks,
)
if pbar:
pbar.close()
del pbar
if objective.best_booster_with_trial_number is not None:
self._best_booster_with_trial_number = objective.best_booster_with_trial_number
return objective
@abc.abstractmethod
def _create_objective(
self,
target_param_names: List[str],
train_set: "lgb.Dataset",
step_name: str,
pbar: Optional[tqdm.tqdm],
) -> _OptunaObjective:
raise NotImplementedError
def _create_stepwise_study(
self, study: "optuna.study.Study", step_name: str
) -> "optuna.study.Study":
# This class is assumed to be passed to a sampler and a pruner corresponding to the step.
class _StepwiseStudy(optuna.study.Study):
def __init__(self, study: optuna.study.Study, step_name: str) -> None:
super().__init__(
study_name=study.study_name,
storage=study._storage,
sampler=study.sampler,
pruner=study.pruner,
)
self._step_name = step_name
def get_trials(
self,
deepcopy: bool = True,
states: Optional[Container[TrialState]] = None,
) -> List[optuna.trial.FrozenTrial]:
trials = super().get_trials(deepcopy=deepcopy, states=states)
return [t for t in trials if t.system_attrs.get(_STEP_NAME_KEY) == self._step_name]
@property
def best_trial(self) -> optuna.trial.FrozenTrial:
"""Return the best trial in the study.
Returns:
A :class:`~optuna.trial.FrozenTrial` object of the best trial.
"""
trials = self.get_trials(deepcopy=False)
trials = [t for t in trials if t.state is optuna.trial.TrialState.COMPLETE]
if len(trials) == 0:
raise ValueError("No trials are completed yet.")
if self.direction == optuna.study.StudyDirection.MINIMIZE:
best_trial = min(trials, key=lambda t: cast(float, t.value))
else:
best_trial = max(trials, key=lambda t: cast(float, t.value))
return copy.deepcopy(best_trial)
return _StepwiseStudy(study, step_name)
[docs]class LightGBMTuner(_LightGBMBaseTuner):
"""Hyperparameter tuner for LightGBM.
It optimizes the following hyperparameters in a stepwise manner:
``lambda_l1``, ``lambda_l2``, ``num_leaves``, ``feature_fraction``, ``bagging_fraction``,
``bagging_freq`` and ``min_child_samples``.
You can find the details of the algorithm and benchmark results in `this blog article <https:/
/medium.com/optuna/lightgbm-tuner-new-optuna-integration-for-hyperparameter-optimization-8b709
5e99258>`_ by `Kohei Ozaki <https://www.kaggle.com/confirm>`_, a Kaggle Grandmaster.
Arguments and keyword arguments for `lightgbm.train()
<https://lightgbm.readthedocs.io/en/latest/pythonapi/lightgbm.train.html>`_ can be passed.
The arguments that only :class:`~optuna.integration.lightgbm.LightGBMTuner` has are
listed below:
Args:
time_budget:
A time budget for parameter tuning in seconds.
study:
A :class:`~optuna.study.Study` instance to store optimization results. The
:class:`~optuna.trial.Trial` instances in it has the following user attributes:
``elapsed_secs`` is the elapsed time since the optimization starts.
``average_iteration_time`` is the average time of iteration to train the booster
model in the trial. ``lgbm_params`` is a JSON-serialized dictionary of LightGBM
parameters used in the trial.
optuna_callbacks:
List of Optuna callback functions that are invoked at the end of each trial.
Each function must accept two parameters with the following types in this order:
:class:`~optuna.study.Study` and :class:`~optuna.trial.FrozenTrial`.
Please note that this is not a ``callbacks`` argument of `lightgbm.train()`_ .
model_dir:
A directory to save boosters. By default, it is set to :obj:`None` and no boosters are
saved. Please set shared directory (e.g., directories on NFS) if you want to access
:meth:`~optuna.integration.LightGBMTuner.get_best_booster` in distributed environments.
Otherwise, it may raise :obj:`ValueError`. If the directory does not exist, it will be
created. The filenames of the boosters will be ``{model_dir}/{trial_number}.pkl``
(e.g., ``./boosters/0.pkl``).
verbosity:
A verbosity level to change Optuna's logging level. The level is aligned to
`LightGBM's verbosity`_ .
.. warning::
Deprecated in v2.0.0. ``verbosity`` argument will be removed in the future.
The removal of this feature is currently scheduled for v4.0.0,
but this schedule is subject to change.
Please use :func:`~optuna.logging.set_verbosity` instead.
show_progress_bar:
Flag to show progress bars or not. To disable progress bar, set this :obj:`False`.
.. note::
Progress bars will be fragmented by logging messages of LightGBM and Optuna.
Please suppress such messages to show the progress bars properly.
optuna_seed:
``seed`` of :class:`~optuna.samplers.TPESampler` for random number generator
that affects sampling for ``num_leaves``, ``bagging_fraction``, ``bagging_freq``,
``lambda_l1``, and ``lambda_l2``.
.. note::
The `deterministic`_ parameter of LightGBM makes training reproducible.
Please enable it when you use this argument.
.. _lightgbm.train(): https://lightgbm.readthedocs.io/en/latest/pythonapi/lightgbm.train.html
.. _LightGBM's verbosity: https://lightgbm.readthedocs.io/en/latest/Parameters.html#verbosity
.. _deterministic: https://lightgbm.readthedocs.io/en/latest/Parameters.html#deterministic
"""
def __init__(
self,
params: Dict[str, Any],
train_set: "lgb.Dataset",
num_boost_round: int = 1000,
valid_sets: Optional["VALID_SET_TYPE"] = None,
valid_names: Optional[Any] = None,
fobj: Optional[Callable[..., Any]] = None,
feval: Optional[Callable[..., Any]] = None,
feature_name: str = "auto",
categorical_feature: str = "auto",
early_stopping_rounds: Optional[int] = None,
evals_result: Optional[Dict[Any, Any]] = None,
verbose_eval: Optional[Union[bool, int, str]] = "warn",
learning_rates: Optional[List[float]] = None,
keep_training_booster: bool = False,
callbacks: Optional[List[Callable[..., Any]]] = None,
time_budget: Optional[int] = None,
sample_size: Optional[int] = None,
study: Optional[optuna.study.Study] = None,
optuna_callbacks: Optional[List[Callable[[Study, FrozenTrial], None]]] = None,
model_dir: Optional[str] = None,
verbosity: Optional[int] = None,
show_progress_bar: bool = True,
*,
optuna_seed: Optional[int] = None,
) -> None:
super().__init__(
params,
train_set,
num_boost_round=num_boost_round,
fobj=fobj,
feval=feval,
feature_name=feature_name,
categorical_feature=categorical_feature,
early_stopping_rounds=early_stopping_rounds,
verbose_eval=verbose_eval,
callbacks=callbacks,
time_budget=time_budget,
sample_size=sample_size,
study=study,
optuna_callbacks=optuna_callbacks,
verbosity=verbosity,
show_progress_bar=show_progress_bar,
model_dir=model_dir,
optuna_seed=optuna_seed,
)
self.lgbm_kwargs["valid_sets"] = valid_sets
self.lgbm_kwargs["valid_names"] = valid_names
self.lgbm_kwargs["evals_result"] = evals_result
self.lgbm_kwargs["learning_rates"] = learning_rates
self.lgbm_kwargs["keep_training_booster"] = keep_training_booster
self._best_booster_with_trial_number: Optional[Tuple[lgb.Booster, int]] = None
if valid_sets is None:
raise ValueError("`valid_sets` is required.")
def _create_objective(
self,
target_param_names: List[str],
train_set: "lgb.Dataset",
step_name: str,
pbar: Optional[tqdm.tqdm],
) -> _OptunaObjective:
return _OptunaObjective(
target_param_names,
self.lgbm_params,
train_set,
self.lgbm_kwargs,
self.best_score,
step_name=step_name,
model_dir=self._model_dir,
pbar=pbar,
)
[docs]class LightGBMTunerCV(_LightGBMBaseTuner):
"""Hyperparameter tuner for LightGBM with cross-validation.
It employs the same stepwise approach as
:class:`~optuna.integration.lightgbm.LightGBMTuner`.
:class:`~optuna.integration.lightgbm.LightGBMTunerCV` invokes `lightgbm.cv()`_ to train
and validate boosters while :class:`~optuna.integration.lightgbm.LightGBMTuner` invokes
`lightgbm.train()`_. See
`a simple example <https://github.com/optuna/optuna-examples/tree/main/lightgbm/
lightgbm_tuner_cv.py>`_ which optimizes the validation log loss of cancer detection.
Arguments and keyword arguments for `lightgbm.cv()`_ can be passed except
``metrics``, ``init_model`` and ``eval_train_metric``.
The arguments that only :class:`~optuna.integration.lightgbm.LightGBMTunerCV` has are
listed below:
Args:
time_budget:
A time budget for parameter tuning in seconds.
study:
A :class:`~optuna.study.Study` instance to store optimization results. The
:class:`~optuna.trial.Trial` instances in it has the following user attributes:
``elapsed_secs`` is the elapsed time since the optimization starts.
``average_iteration_time`` is the average time of iteration to train the booster
model in the trial. ``lgbm_params`` is a JSON-serialized dictionary of LightGBM
parameters used in the trial.
optuna_callbacks:
List of Optuna callback functions that are invoked at the end of each trial.
Each function must accept two parameters with the following types in this order:
:class:`~optuna.study.Study` and :class:`~optuna.trial.FrozenTrial`.
Please note that this is not a ``callbacks`` argument of `lightgbm.train()`_ .
model_dir:
A directory to save boosters. By default, it is set to :obj:`None` and no boosters are
saved. Please set shared directory (e.g., directories on NFS) if you want to access
:meth:`~optuna.integration.LightGBMTunerCV.get_best_booster`
in distributed environments.
Otherwise, it may raise :obj:`ValueError`. If the directory does not exist, it will be
created. The filenames of the boosters will be ``{model_dir}/{trial_number}.pkl``
(e.g., ``./boosters/0.pkl``).
verbosity:
A verbosity level to change Optuna's logging level. The level is aligned to
`LightGBM's verbosity`_ .
.. warning::
Deprecated in v2.0.0. ``verbosity`` argument will be removed in the future.
The removal of this feature is currently scheduled for v4.0.0,
but this schedule is subject to change.
Please use :func:`~optuna.logging.set_verbosity` instead.
show_progress_bar:
Flag to show progress bars or not. To disable progress bar, set this :obj:`False`.
.. note::
Progress bars will be fragmented by logging messages of LightGBM and Optuna.
Please suppress such messages to show the progress bars properly.
return_cvbooster:
Flag to enable :meth:`~optuna.integration.LightGBMTunerCV.get_best_booster`.
optuna_seed:
``seed`` of :class:`~optuna.samplers.TPESampler` for random number generator
that affects sampling for ``num_leaves``, ``bagging_fraction``, ``bagging_freq``,
``lambda_l1``, and ``lambda_l2``.
.. note::
The `deterministic`_ parameter of LightGBM makes training reproducible.
Please enable it when you use this argument.
.. _lightgbm.train(): https://lightgbm.readthedocs.io/en/latest/pythonapi/lightgbm.train.html
.. _lightgbm.cv(): https://lightgbm.readthedocs.io/en/latest/pythonapi/lightgbm.cv.html
.. _LightGBM's verbosity: https://lightgbm.readthedocs.io/en/latest/Parameters.html#verbosity
.. _deterministic: https://lightgbm.readthedocs.io/en/latest/Parameters.html#deterministic
"""
def __init__(
self,
params: Dict[str, Any],
train_set: "lgb.Dataset",
num_boost_round: int = 1000,
folds: Optional[
Union[
Generator[Tuple[int, int], None, None],
Iterator[Tuple[int, int]],
"BaseCrossValidator",
]
] = None,
nfold: int = 5,
stratified: bool = True,
shuffle: bool = True,
fobj: Optional[Callable[..., Any]] = None,
feval: Optional[Callable[..., Any]] = None,
feature_name: str = "auto",
categorical_feature: str = "auto",
early_stopping_rounds: Optional[int] = None,
fpreproc: Optional[Callable[..., Any]] = None,
verbose_eval: Optional[Union[bool, int]] = None,
show_stdv: bool = True,
seed: int = 0,
callbacks: Optional[List[Callable[..., Any]]] = None,
time_budget: Optional[int] = None,
sample_size: Optional[int] = None,
study: Optional[optuna.study.Study] = None,
optuna_callbacks: Optional[List[Callable[[Study, FrozenTrial], None]]] = None,
verbosity: Optional[int] = None,
show_progress_bar: bool = True,
model_dir: Optional[str] = None,
return_cvbooster: bool = False,
*,
optuna_seed: Optional[int] = None,
) -> None:
super().__init__(
params,
train_set,
num_boost_round,
fobj=fobj,
feval=feval,
feature_name=feature_name,
categorical_feature=categorical_feature,
early_stopping_rounds=early_stopping_rounds,
verbose_eval=verbose_eval,
callbacks=callbacks,
time_budget=time_budget,
sample_size=sample_size,
study=study,
optuna_callbacks=optuna_callbacks,
verbosity=verbosity,
show_progress_bar=show_progress_bar,
model_dir=model_dir,
optuna_seed=optuna_seed,
)
self.lgbm_kwargs["folds"] = folds
self.lgbm_kwargs["nfold"] = nfold
self.lgbm_kwargs["stratified"] = stratified
self.lgbm_kwargs["shuffle"] = shuffle
self.lgbm_kwargs["show_stdv"] = show_stdv
self.lgbm_kwargs["seed"] = seed
self.lgbm_kwargs["fpreproc"] = fpreproc
self.lgbm_kwargs["return_cvbooster"] = return_cvbooster
def _create_objective(
self,
target_param_names: List[str],
train_set: "lgb.Dataset",
step_name: str,
pbar: Optional[tqdm.tqdm],
) -> _OptunaObjective:
return _OptunaObjectiveCV(
target_param_names,
self.lgbm_params,
train_set,
self.lgbm_kwargs,
self.best_score,
step_name=step_name,
model_dir=self._model_dir,
pbar=pbar,
)
[docs] def get_best_booster(self) -> "lgb.CVBooster":
"""Return the best cvbooster.
If the best booster cannot be found, :class:`ValueError` will be raised.
To prevent the errors, please save boosters by specifying
both of the ``model_dir`` and the ``return_cvbooster`` arguments of
:meth:`~optuna.integration.lightgbm.LightGBMTunerCV.__init__`,
when you resume tuning or you run tuning in parallel.
"""
if self.lgbm_kwargs.get("return_cvbooster") is not True:
raise ValueError(
"LightGBMTunerCV requires `return_cvbooster=True` for method `get_best_booster()`."
)
if self._best_booster_with_trial_number is not None:
if self._best_booster_with_trial_number[1] == self.study.best_trial.number:
return self._best_booster_with_trial_number[0]
if len(self.study.trials) == 0:
raise ValueError("The best booster is not available because no trials completed.")
# The best booster exists, but this instance does not have it.
# This may be due to resuming or parallelization.
if self._model_dir is None:
raise ValueError(
"The best booster cannot be found. It may be found in the other processes due to "
"resuming or distributed computing. Please set the `model_dir` argument of "
"`LightGBMTunerCV.__init__` and make sure that boosters are shared with all "
"processes."
)
best_trial = self.study.best_trial
path = os.path.join(self._model_dir, "{}.pkl".format(best_trial.number))
if not os.path.exists(path):
raise ValueError(
"The best booster cannot be found in {}. If you execute `LightGBMTunerCV` in "
"distributed environment, please use network file system (e.g., NFS) to share "
"models with multiple workers.".format(self._model_dir)
)
with open(path, "rb") as fin:
boosters, best_iteration = pickle.load(fin)
# At version `lightgbm==3.0.0`, :class:`lightgbm.CVBooster` does not
# have `__getstate__` which is required for pickle serialization.
cvbooster = lgb.CVBooster()
cvbooster.boosters = boosters
cvbooster.best_iteration = best_iteration
return cvbooster