Source code for optuna.integration.shap

from typing import Callable
from typing import Dict
from typing import List
from typing import Optional

import numpy as np

from optuna._experimental import experimental_class
from optuna._imports import try_import
from optuna._transform import _SearchSpaceTransform
from optuna.importance._base import _get_distributions
from optuna.importance._base import _get_filtered_trials
from optuna.importance._base import _get_target_values
from optuna.importance._base import _get_trans_params
from optuna.importance._base import _param_importances_to_dict
from optuna.importance._base import _sort_dict_by_importance
from optuna.importance._base import BaseImportanceEvaluator
from optuna.study import Study
from optuna.trial import FrozenTrial


with try_import() as _imports:
    from shap import TreeExplainer
    from sklearn.ensemble import RandomForestRegressor


[docs]@experimental_class("3.0.0") class ShapleyImportanceEvaluator(BaseImportanceEvaluator): """Shapley (SHAP) parameter importance evaluator. This evaluator fits a random forest regression model that predicts the objective values of :class:`~optuna.trial.TrialState.COMPLETE` trials given their parameter configurations. Feature importances are then computed as the mean absolute SHAP values. .. note:: This evaluator requires the `sklearn <https://scikit-learn.org/stable/>`_ Python package and `SHAP <https://shap.readthedocs.io/en/stable/index.html>`_. The model for the SHAP calculation is based on `sklearn.ensemble.RandomForestClassifier <https://scikit-learn.org/stable/modules/generated/sklearn.ensemble.RandomForestClassifier.html>`_. Args: n_trees: Number of trees in the random forest. max_depth: The maximum depth of each tree in the random forest. seed: Seed for the random forest. """ def __init__( self, *, n_trees: int = 64, max_depth: int = 64, seed: Optional[int] = None ) -> None: _imports.check() # Use the RandomForest as the surrogate model to evaluate the feature importances. self._forest = RandomForestRegressor( n_estimators=n_trees, max_depth=max_depth, min_samples_split=2, min_samples_leaf=1, random_state=seed, )
[docs] def evaluate( self, study: Study, params: Optional[List[str]] = None, *, target: Optional[Callable[[FrozenTrial], float]] = None, ) -> Dict[str, float]: if target is None and study._is_multi_objective(): raise ValueError( "If the `study` is being used for multi-objective optimization, " "please specify the `target`. For example, use " "`target=lambda t: t.values[0]` for the first objective value." ) distributions = _get_distributions(study, params=params) if params is None: params = list(distributions.keys()) assert params is not None if len(params) == 0: return {} trials: List[FrozenTrial] = _get_filtered_trials(study, params=params, target=target) trans = _SearchSpaceTransform(distributions, transform_log=False, transform_step=False) trans_params: np.ndarray = _get_trans_params(trials, trans) target_values: np.ndarray = _get_target_values(trials, target) forest = self._forest forest.fit(X=trans_params, y=target_values) # Create Tree Explainer object that can calculate shap values. explainer = TreeExplainer(forest) # Generate SHAP values for the parameters during the trials. feature_shap_values: np.ndarray = explainer.shap_values(trans_params) param_shap_values = np.zeros((len(trials), len(params))) np.add.at(param_shap_values.T, trans.encoded_column_to_column, feature_shap_values.T) # Calculate the mean absolute SHAP value for each parameter. # List of tuples ("feature_name": mean_abs_shap_value). mean_abs_shap_values = np.abs(param_shap_values).mean(axis=0) return _sort_dict_by_importance(_param_importances_to_dict(params, mean_abs_shap_values))