Import Libraries And Generate Seeds
import numpy as np np.random.seed(123) %matplotlib inline import matplotlib.pyplot as plt plt.rcParams["figure.figsize"] = (10, 6) plt.set_cmap("viridis")
Bayesian optimization or sequential model-based optimization uses a surrogate model to model the expensive to evaluate function func. There are several choices for what kind of surrogate model to use. This example compares the performance of:
extra trees, and
as surrogate models. A purely random optimization strategy is used as a baseline.
We will use the branin function as toy model for the expensive function. In a real world application this function would be unknown and expensive to evaluate.
from skopt.benchmarks import branin as _branin def branin(x, noise_level=0.): return _branin(x) + noise_level * np.random.randn()
from matplotlib.colors import LogNorm def plot_branin(): fig, ax = plt.subplots() x1_values = np.linspace(-5, 10, 100) x2_values = np.linspace(0, 15, 100) x_ax, y_ax = np.meshgrid(x1_values, x2_values) vals = np.c_[x_ax.ravel(), y_ax.ravel()] fx = np.reshape([branin(val) for val in vals], (100, 100)) cm = ax.pcolormesh(x_ax, y_ax, fx, norm=LogNorm(vmin=fx.min(), vmax=fx.max())) minima = np.array([[-np.pi, 12.275], [+np.pi, 2.275], [9.42478, 2.475]]) ax.plot(minima[:, 0], minima[:, 1], "r.", markersize=14, lw=0, label="Minima") cb = fig.colorbar(cm) cb.set_label("f(x)") ax.legend(loc="best", numpoints=1) ax.set_xlabel("X1") ax.set_xlim([-5, 10]) ax.set_ylabel("X2") ax.set_ylim([0, 15]) plot_branin()
This shows the value of the two-dimensional branin function and the three minima.
The objective of this example is to find one of these minima in as few iterations as possible. One iteration is defined as one call to the branin function.
We will evaluate each model several times using a different seed for the random number generator. Then compare the average performance of these models. This makes the comparison more robust against models that get "lucky".
from functools import partial from skopt import gp_minimize, forest_minimize, dummy_minimize func = partial(branin, noise_level=2.0) bounds = [(-5.0, 10.0), (0.0, 15.0)] x0 = [2.5, 7.5] n_calls = 80
def run(minimizer, n_iter=20): return [minimizer(func, bounds, x0=x0, n_calls=n_calls, random_state=n) for n in range(n_iter)] # Random search dummy_res = run(dummy_minimize) # Gaussian processes gp_res = run(gp_minimize) # Random forest rf_res = run(partial(forest_minimize, base_estimator="rf")) # Extra trees et_res = run(partial(forest_minimize, base_estimator="et"))
Note that this can take a few minutes.
from skopt.plots import plot_convergence plot_convergence(("dummy_minimize", dummy_res), ("gp_minimize", gp_res), ("forest_minimize('rf')", rf_res), ("forest_minimize('et)", et_res), true_minimum=0.397887, yscale="log")
This plot shows the value of the minimum found (y axis) as a function of the number of iterations performed so far (x axis). The dashed red line indicates the true value of the minimum of the branin function.
For the first ten iterations all methods perform equally well as they all start by creating ten random samples before fitting their respective model for the first time. After iteration ten the next point at which to evaluate branin is guided by the model, which is where differences start to appear.
Each minimizer only has access to noisy observations of the objective function, so as time passes (more iterations) it will start observing values that are below the true value simply because they are fluctuations.