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hyperopt-sklearn

Hyperopt-sklearn is Hyperopt-based model selection among machine learning algorithms in scikit-learn.

See how to use hyperopt-sklearn through examples More examples can be found in the Example Usage section of the SciPy paper

Komer B., Bergstra J., and Eliasmith C. "Hyperopt-Sklearn: automatic hyperparameter configuration for Scikit-learn" Proc. SciPy 2014. http://conference.scipy.org/proceedings/scipy2014/pdfs/komer.pdf

Installation

Installation from the GitHub repository is supported using pip:

pip install git+https://github.com/hyperopt/hyperopt-sklearn

Optionally you can install a specific tag, branch or commit:

pip install git+https://github.com/hyperopt/hyperopt-sklearn@1.0.3
pip install git+https://github.com/hyperopt/hyperopt-sklearn@master
pip install git+https://github.com/hyperopt/hyperopt-sklearn@fd718c44fc440bd6e2718ec1442b1af58cafcb18

Usage

If you are familiar with sklearn, adding the hyperparameter search with hyperopt-sklearn is only a one line change from the standard pipeline.

from hpsklearn import HyperoptEstimator, svc
from sklearn import svm

# Load Data
# ...

if __name__ == "__main__":
    if use_hpsklearn:
        estim = HyperoptEstimator(classifier=svc("mySVC"))
    else:
        estim = svm.SVC()
    
    estim.fit(X_train, y_train)
    
    print(estim.score(X_test, y_test))
# <<show score here>>

Each component comes with a default search space. The search space for each parameter can be changed or set constant by passing in keyword arguments. In the following example the penalty parameter is held constant during the search, and the loss and alpha parameters have their search space modified from the default.

from hpsklearn import HyperoptEstimator, sgd_classifier
from hyperopt import hp
import numpy as np

sgd_penalty = "l2"
sgd_loss = hp.pchoice("loss", [(0.50, "hinge"), (0.25, "log"), (0.25, "huber")])
sgd_alpha = hp.loguniform("alpha", low=np.log(1e-5), high=np.log(1))

if __name__ == "__main__":
    estim = HyperoptEstimator(classifier=sgd_classifier("my_sgd", penalty=sgd_penalty, loss=sgd_loss, alpha=sgd_alpha))
    estim.fit(X_train, y_train)

Complete example using the Iris dataset:

from hpsklearn import HyperoptEstimator, any_classifier, any_preprocessing
from sklearn.datasets import load_iris
from hyperopt import tpe
import numpy as np

# Download the data and split into training and test sets

iris = load_iris()

X = iris.data
y = iris.target

test_size = int(0.2 * len(y))
np.random.seed(13)
indices = np.random.permutation(len(X))
X_train = X[indices[:-test_size]]
y_train = y[indices[:-test_size]]
X_test = X[indices[-test_size:]]
y_test = y[indices[-test_size:]]


if __name__ == "__main__":
    # Instantiate a HyperoptEstimator with the search space and number of evaluations
    estim = HyperoptEstimator(classifier=any_classifier("my_clf"),
                              preprocessing=any_preprocessing("my_pre"),
                              algo=tpe.suggest,
                              max_evals=100,
                              trial_timeout=120)
    
    # Search the hyperparameter space based on the data
    estim.fit(X_train, y_train)
    
    # Show the results
    print(estim.score(X_test, y_test))
    # 1.0
    
    print(estim.best_model())
    # {'learner': ExtraTreesClassifier(bootstrap=False, class_weight=None, criterion='gini',
    #           max_depth=3, max_features='log2', max_leaf_nodes=None,
    #           min_impurity_decrease=0.0, min_impurity_split=None,
    #           min_samples_leaf=1, min_samples_split=2,
    #           min_weight_fraction_leaf=0.0, n_estimators=13, n_jobs=1,
    #           oob_score=False, random_state=1, verbose=False,
    #           warm_start=False), 'preprocs': (), 'ex_preprocs': ()}

Here's an example using MNIST and being more specific on the classifier and preprocessing.

from hpsklearn import HyperoptEstimator, extra_tree_classifier
from sklearn.datasets import load_digits
from hyperopt import tpe
import numpy as np

# Download the data and split into training and test sets

digits = load_digits()

X = digits.data
y = digits.target

test_size = int(0.2 * len(y))
np.random.seed(13)
indices = np.random.permutation(len(X))
X_train = X[indices[:-test_size]]
y_train = y[indices[:-test_size]]
X_test = X[indices[-test_size:]]
y_test = y[indices[-test_size:]]


if __name__ == "__main__":
    # Instantiate a HyperoptEstimator with the search space and number of evaluations
    estim = HyperoptEstimator(classifier=extra_tree_classifier("my_clf"),
                              preprocessing=[],
                              algo=tpe.suggest,
                              max_evals=10,
                              trial_timeout=300)

    # Search the hyperparameter space based on the data
    estim.fit(X_train, y_train)

    # Show the results
    print(estim.score(X_test, y_test))
    # 0.962785714286

    print(estim.best_model())
    # {'learner': ExtraTreesClassifier(bootstrap=True, class_weight=None, criterion='entropy',
    #           max_depth=None, max_features=0.959202875857,
    #           max_leaf_nodes=None, min_impurity_decrease=0.0,
    #           min_impurity_split=None, min_samples_leaf=1,
    #           min_samples_split=2, min_weight_fraction_leaf=0.0,
    #           n_estimators=20, n_jobs=1, oob_score=False, random_state=3,
    #           verbose=False, warm_start=False), 'preprocs': (), 'ex_preprocs': ()}

Available Components

Almost all classifiers/regressors/preprocessing scikit-learn components are implemented. If there is something you would like that is not yet implemented, feel free to make an issue or a pull request!

Classifiers

random_forest_classifier
extra_trees_classifier
bagging_classifier
ada_boost_classifier
gradient_boosting_classifier
hist_gradient_boosting_classifier

bernoulli_nb
categorical_nb
complement_nb
gaussian_nb
multinomial_nb

sgd_classifier
sgd_one_class_svm
ridge_classifier
ridge_classifier_cv
passive_aggressive_classifier
perceptron

dummy_classifier

gaussian_process_classifier

mlp_classifier

linear_svc
nu_svc
svc

decision_tree_classifier
extra_tree_classifier

label_propagation
label_spreading

elliptic_envelope

linear_discriminant_analysis
quadratic_discriminant_analysis

bayesian_gaussian_mixture
gaussian_mixture

k_neighbors_classifier
radius_neighbors_classifier
nearest_centroid

xgboost_classification
lightgbm_classification

one_vs_rest
one_vs_one
output_code

For a simple generic search space across many classifiers, use any_classifier. If your data is in a sparse matrix format, use any_sparse_classifier. For a complete search space across all possible classifiers, use all_classifiers.

Regressors

random_forest_regressor
extra_trees_regressor
bagging_regressor
isolation_forest
ada_boost_regressor
gradient_boosting_regressor
hist_gradient_boosting_regressor

linear_regression
bayesian_ridge
ard_regression
lars
lasso_lars
lars_cv
lasso_lars_cv
lasso_lars_ic
lasso
elastic_net
lasso_cv
elastic_net_cv
multi_task_lasso
multi_task_elastic_net
multi_task_lasso_cv
multi_task_elastic_net_cv
poisson_regressor
gamma_regressor
tweedie_regressor
huber_regressor
sgd_regressor
ridge
ridge_cv
logistic_regression
logistic_regression_cv
orthogonal_matching_pursuit
orthogonal_matching_pursuit_cv
passive_aggressive_regressor
quantile_regression
ransac_regression
theil_sen_regressor

dummy_regressor

gaussian_process_regressor

mlp_regressor

cca
pls_canonical
pls_regression

linear_svr
nu_svr
one_class_svm
svr

decision_tree_regressor
extra_tree_regressor

transformed_target_regressor

hp_sklearn_kernel_ridge

bayesian_gaussian_mixture
gaussian_mixture

k_neighbors_regressor
radius_neighbors_regressor

k_means
mini_batch_k_means

xgboost_regression

lightgbm_regression

For a simple generic search space across many regressors, use any_regressor. If your data is in a sparse matrix format, use any_sparse_regressor. For a complete search space across all possible regressors, use all_regressors.

Preprocessing

binarizer
min_max_scaler
max_abs_scaler
normalizer
robust_scaler
standard_scaler
quantile_transformer
power_transformer
one_hot_encoder
ordinal_encoder
polynomial_features
spline_transformer
k_bins_discretizer

tfidf

pca

ts_lagselector

colkmeans

For a simple generic search space across many preprocessing algorithms, use any_preprocessing. If your data is in a sparse matrix format, use any_sparse_preprocessing. For a complete search space across all preprocessing algorithms, use all_preprocessing. If you are working with raw text data, use any_text_preprocessing. Currently, only TFIDF is used for text, but more may be added in the future.

Note that the preprocessing parameter in HyperoptEstimator is expecting a list, since various preprocessing steps can be chained together. The generic search space functions any_preprocessing and any_text_preprocessing already return a list, but the others do not, so they should be wrapped in a list. If you do not want to do any preprocessing, pass in an empty list [].