UniOpt.py

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This is a universal black box optimization library. No algos (for now) are implemented here, it just implements the framework to wrap as much as possible black box optimizers as easy as possible and to use them in a unified way.

There are differrent hyperparams optimization libs, they use different formats of search space specs, differrent formats of input vectors and differrent ways to retrive the result. This lib smoothes the differences, providing a unified interface to use them all.

This is a VERY early alpha. Don't fork for now.

Doxygen documentation is available.

Requirements

How to use

Select the optimizer backend. Different optimizers are good for different tasks and perform differently. For example, here is the result of optimizing of a test function (a hybrid of Ackley and Rosenbrock functions) as a part of testing:

Some benchmarking results

#20 iters
OrderedDict([
	('MSRSM', ({'x': 3.0754612427874017e-12, 'y': 0}, (1.5205614545266144e-11, 0))),
	('Gutmann', ({'x': 4.495684760769583e-12, 'y': 0}, (2.2224444506946384e-11, 0))),
	('Yabox', ({'x': 0.04484077552690313, 'y': 0}, (0.25594782347174183, 0))),
	('TPE', ({'x': 1.2634392486190837, 'y': 2}, (4.106711553239084, 0))),
	('SKOptForest', ({'x': 2.001450714269141, 'y': 4}, (4.126995218051379, 0))),
	('PySHAC', ({'x': 1.1365327253605517, 'y': 2}, (4.142106739265552, 0))),
	('SKOptGBTree', ({'x': 1.0640782399499173, 'y': 0}, (4.6970480117446005, 0))),
	('Random', ({'x': 2.052104278286049, 'y': 5}, (4.789943923600834, 0))),
	('SKOptBayesian', ({'x': 2.0077415609175713, 'y': 3}, (4.9722440013656195, 0))),
	('GPyOptOptimizer', ({'x': 2.0268674793934447, 'y': 3}, (5.091945147326221, 0))),
	('HyperEnginePortfolio', ({'x': 2.2640333910943444, 'y': 6}, (5.909097060500178, 0))),
	('Bayessian', ({'x': 3.840114588120504, 'y': 13}, (7.910311893451979, 0))),
	('BeeColony', ({'x': 2.1060132176055504, 'y': 0}, (8.303401897709731, 0))),
	('Hyperband', ({'x': 1.0953442448796036, 'y': -7}, (10.21592133952341, 0))),
	('HyperEngineBayessian', ({'x': 0.035178716905066576, 'y': -13}, (11.73027303604122, 0))),
	('NelderMead', ({'x': 5.5546875, 'y': -4}, (16.629806203554303, 0))),
	('ParticleSwarm', ({'x': 9.512831487270224, 'y': -3}, (19.485447083871225, 0))),
	('Sobol', ({'x': 9.621289062499997, 'y': -11}, (19.561767255097276, 0))),
	('OptunityOptimizer', ({'x': 9.57421875, 'y': -13}, (19.665844964264014, 0)))
])

#100 iters
OrderedDict([
	('SKOptBayesian', ({'x': 0.0, 'y': 0}, (0.0, 0))),
	('MSRSM', ({'x': 1.965467987064758e-12, 'y': 0}, (9.71667191151937e-12, 0))),
	('Gutmann', ({'x': 1.994094834174218e-12, 'y': 0}, (9.85878045867139e-12, 0))),
	('Yabox', ({'x': 0.02306337159200547, 'y': 0}, (0.1231750175856301, 0))),
	('HyperEngineBayessian', ({'x': 0.06472343408959413, 'y': 0}, (0.3903313038744054, 0))),
	('Bayessian', ({'x': 0.9829409844977999, 'y': 1}, (2.1634186311845145, 0))),
	('PySHAC', ({'x': 0.2991248121219703, 'y': 0}, (2.383562650155154, 0))),
	('BeeColony', ({'x': 0.7302499236805515, 'y': 1}, (3.9672566629188446, 0))),
	('GPyOptOptimizer', ({'x': 1.9750686145225131, 'y': 4}, (4.101219956972918, 0))),
	('TPE', ({'x': 1.9516353294615343, 'y': 4}, (4.120949851125776, 0))),
	('SKOptGBTree', ({'x': 2.0123977168910847, 'y': 4}, (4.152492764040694, 0))),
	('HyperEnginePortfolio', ({'x': 0.014954151978109342, 'y': 1}, (4.336781434582555, 0))),
	('Random', ({'x': 0.055334114406850876, 'y': 1}, (4.381030185221982, 0))),
	('SKOptForest', ({'x': 2.937967468371783, 'y': 9}, (5.864340107425029, 0))),
	('NelderMead', ({'x': 5.5438690185546875, 'y': -12}, (17.293342096641783, 0))),
	('OptunityOptimizer', ({'x': 9.611312133307793, 'y': -4}, (19.438307138257112, 0))),
	('ParticleSwarm', ({'x': 9.516992187499998, 'y': -3}, (19.48616547955807, 0))),
	('Sobol', ({'x': 9.49560546875, 'y': -9}, (19.607708848977282, 0))),
	('Hyperband', ({'x': 9.454121928413706, 'y': -14}, (19.67098161993487, 0)))
])

#another 100 iters
OrderedDict([
	('SKOptBayesian', ({'x': 0.0, 'y': 0}, (0.0, 0))),
	('MSRSM', ({'x': 1.965467987100698e-12, 'y': 0}, (9.71667191151937e-12, 0))),
	('Gutmann', ({'x': 2.06572139458986e-12, 'y': 0}, (1.021183138050219e-11, 0))),
	('SKOptForest', ({'x': 0.0021370756873140277, 'y': 0}, (0.01064400423985612, 0))),
	('Yabox', ({'x': 0.011806504145005392, 'y': 0},(0.06077385485484399, 0))),
	('Bayessian', ({'x': 0.08963307811319719, 'y': 0}, (0.574643646185228, 0))),
	('SKOptGBTree', ({'x': 1.001876402415787, 'y': 1}, (2.1851226071480934, 0))),
	('TPE', ({'x': 0.9393761906325264, 'y': 1}, (2.273003533796679, 0))),
	('PySHAC', ({'x': 0.3374516167260999, 'y': 0}, (2.68232205052529, 0))),
	('Random', ({'x': 0.5743099848851063, 'y': 0}, (3.91888470632373, 0))),
	('HyperEnginePortfolio', ({'x': 0.020698458554854193, 'y': 1}, (4.340036896917615, 0))),
	('HyperEngineBayessian', ({'x': 0.6695867494591756, 'y': 1}, (4.402848372305214, 0))),
	('GPyOptOptimizer', ({'x': 1.470335759775298, 'y': 2}, (4.5145625430151055, 0))),
	('BeeColony', ({'x': 1.1489461183128191, 'y': 0}, (5.289477553045166, 0))),
	('NelderMead', ({'x': 5.5438690185546875, 'y': -12}, (17.293342096641783, 0))),
	('Hyperband', ({'x': 7.534649421992623, 'y': 3}, (18.055060613166553, 0))),
	('Sobol', ({'x': 9.456933593749998, 'y': 0}, (19.374501579830856, 0))),
	('OptunityOptimizer', ({'x': 9.480038915947556, 'y': 1}, (19.374823892112662, 0))),
	('ParticleSwarm', ({'x': 9.532494333566397, 'y': -2}, (19.463592918993786, 0)))
])
#and another 100 iters
OrderedDict([
	('SKOptBayesian', ({'x': 0.0, 'y': 0}, (0.0, 0))),
	('Bayessian', ({'x': 0.0, 'y': 0}, (0.0, 0))),
	('MSRSM', ({'x': 1.965467987101057e-12, 'y': 0}, (9.71667191151937e-12, 0))),
	('Gutmann', ({'x': 2.0657213945897996e-12, 'y': 0}, (1.021183138050219e-11, 0))),
	('PySHAC', ({'x': 1.0736838586310893, 'y': 1}, (2.596181028196405, 0))),
	('TPE', ({'x': 1.112228671531816, 'y': 1}, (2.9484847125586415, 0))),
	('SKOptForest', ({'x': 1.9743490825396586, 'y': 4}, (4.101231423607379, 0))),
	('SKOptGBTree', ({'x': 1.9730793645346538, 'y': 4}, (4.101344227347713, 0))),
	('BeeColony', ({'x': 1.1480878788645177, 'y': 2}, (4.137194813288049, 0))),
	('HyperEngineBayessian', ({'x': 0.017184911830446792, 'y': -1}, (4.339052002416813, 0))),
	('HyperEnginePortfolio', ({'x': 0.039186794853671714, 'y': 1}, (4.357466574344844, 0))),
	('Yabox', ({'x': 0.10064054071073808, 'y': 1}, (4.483456305012673, 0))),
	('GPyOptOptimizer', ({'x': 1.4703357597723614, 'y': 2}, (4.514562543000367, 0))),
	('Random', ({'x': 0.8303208100740211, 'y': 2}, (5.321946188711948, 0))),
	('NelderMead', ({'x': 5.5438690185546875, 'y': -12}, (17.293342096641783, 0))),
	('Hyperband', ({'x': 7.534649421992623, 'y': 3}, (18.055060613166553, 0))),
	('ParticleSwarm', ({'x': 9.53042265695655, 'y': 7}, (19.243508799760164, 0))),
	('OptunityOptimizer', ({'x': 9.476953125, 'y': -2}, (19.443113499744367, 0))),
	('Sobol', ({'x': 9.553613281249998, 'y': -2}, (19.456426287512052, 0)))
])

OrderedDict([
	('SKOptBayesian', ({'x': 0.0, 'y': 0, 'z': 3}, (0.0, 0))),
	('MSRSM', ({'x': 0.0, 'y': 0, 'z': 3}, (0.0, 0))),
	('GPyOptOptimizer', ({'x': 0.0, 'y': 0, 'z': 3}, (0.0, 0))),
	('Bayessian', ({'x': 0.0, 'y': 0, 'z': 3}, (0.0, 0))),
	('Gutmann', ({'x': 1.862587834282002e-12, 'y': 0, 'z': 3}, (9.208189766241048e-12, 0))),
	('SKOptGBTree', ({'x': 0.0006981287251917047, 'y': 0, 'z': 3}, (0.0034597748341651524, 0))),
	('TPE', ({'x': 0.04262838182879991, 'y': 0, 'z': 3}, (0.24175273938686326, 0))),
	('PySHAC', ({'x': 0.9095346430312279, 'y': 1, 'z': 3}, (2.4508629369328156, 0))),
	('SKOptForest', ({'x': 1.975551753738029, 'y': 4, 'z': 3}, (4.1012335626387895, 0))),
	('HyperEnginePortfolio', ({'x': 0.6955663900186637, 'y': 0, 'z': 3}, (4.135877638966221, 0))),
	('HyperEngineBayessian', ({'x': 0.029900210748344813, 'y': 1, 'z': 3}, (4.347401328753184, 0))),
	('Yabox', ({'x': 0.0842280390688326, 'y': 1, 'z': 3}, (4.4407866406914, 0))),
	('Random', ({'x': 0.1937494360579084, 'y': -1, 'z': 3}, (4.936616103474133, 0))),
	('BeeColony', ({'x': 2.2022165228712076, 'y': 5, 'z': 3}, (5.078197918216663, 0))),
	('Hyperband',({'x': 5.652646139447696, 'y': -7, 'z': 3}, (16.808037852272676, 0))),
	('NelderMead', ({'x': 5.482275009155273, 'y': -48, 'z': 3}, (19.01645084709497, 0))),
	('OptunityOptimizer', ({'x': 9.4734375, 'y': 0, 'z': 3}, (19.392915479901454, 0))),
	('ParticleSwarm', ({'x': 9.572687738918628, 'y': -11, 'z': 3}, (19.629448159563655, 0))),
	('Sobol', ({'x': 9.476269531249997, 'y': -20, 'z': 3}, (19.801833074160353, 0)))
])

The backends are available directly in UniOpt package, and you can enumerate them

for optimizer in UniOpt:
	print("optimizer: " + optimizer.__name__)

Here we choose hyperopt's tree of Parzen estimators:

import UniOpt
optimizer=UniOpt.TPE

Specify a search space. We use the term spec for this specification. The spec is a flat Mapping-compatible object. It consists of:
- HyperparamDefinition objects. HyperDef alias is available. For the help on it see its docstring, here is the brief guide:
  - the first arg is the data type, int or float.
  - the second one is a distribution from scipy.stats. Yes, we are tied tightly to scipy. No, I have no plans to change it for now, we use scipy internally for the case the optimizer doesn't have this distribution implemented internally, and even if it has, it is very likely it uses scipy. I could create an own registry of distributions to get rid of mandatory scipy, but this unneedly complicates the things since I would have to maintain it and to write convertors from them to optimizer-specific specs, and most likely I will still use scipy for them. If you are not OK with this, post your ideas into the corresponding issue. A couple of words about some special distributions:
    - uniform assumes that there is SOME smooth enough relation between a number and the value of a function. You (and the surrogate model) can somehow predict the effect of changing this variable on the loss.
    - randint assumes that there is NO smooth enough relation between a number and the value of a function. Changing this variable anyhow makes the result be changing unpredictably.
- scalars: strings and numbers
- tuples and lists of scalars. It represents a categorical variable. If you need nonuniformly distributed categories, you have to use the appropriate scipy.stats distribution and convert a number into a category yourself.
- other objects. They can be processed by a backend if this is implemented.

import scipy.stats
from UniOpt.core.Spec import *
spaceSpec={
	"x": HyperDef(float, scipy.stats.uniform(loc=0, scale=10)),
	"y": HyperDef(int, scipy.stats.uniform(loc=0, scale=10)),
	"z": HyperDef(float, scipy.stats.norm(loc=0, scale=10)), #discrete
	"w": 3,
	"v": (0, 1)
}

Create the function you wanna optimize. It takes a dict of hyperparams and returns a tuple (mean, variance) of the target function, use variance of 0 if the variance is unknown or not present. Variance is useful for some optimizers and may be available in some crossvalidation routines.

import numpy as np
def optimizee(hyperparamsDict:typing.Mapping[str, typing.Any]):
	return (np.sum(np.array(tuple(hyperparamsDict.values()))**2), 0)

If you wanna resumption, create a PointsStorage object. from UniOpt.core.PointsStorage imporrt * a) stor=MemoryStorage() for storing in an array b) stor=SQLiteStorage("Points.sqlite") for storing in a SQLite DB.
Create an optimizer object.

opt = optimizer(optimizee, spaceSpec, iters=100, pointsStorage=stor)

Call it. You will get the minimal value of your hyperparams. If you provided it with a link to points storage, and injection of points is implemented for the backend you use, it will load points from the storage, so you can transfer progress between optimizers. This will result in a metaoptimizer somewhen. And it will save all the probed points into the storage too.

res=opt()

Optimizer-specific result (usually the optimizer object) is available via details field.

opt.details

Implementing an own backend

See Contributing.md.

Implemented backends

The backends for following libraries have been implemented:

Name, link	Docs	Misc
Hyperopt	https://hyperopt.github.io/hyperopt/
hyperband (no official package, backend imports `hyperband.py`)
hyperengine
GPyOpt
scikit-optimize	https://scikit-optimize.github.io/
SMAC	https://automl.github.io/SMAC3/
ECABC
optunity
Yabox
PySHAC	https://titu1994.github.io/pyshac/
RBFOpt
fmfn/BayesianOptimization
pySOT
RoBO	https://automl.github.io/RoBO/
~~SOpt~~		Calls the same target function even if unneeded
BayTune / BTB	https://hdi-project.github.io/BTB/

License

KOLANICH-ML/UniOpt.py

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