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bayesian_opt.py
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bayesian_opt.py
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"""Setup Bayesian optimization."""
import datetime
import gc
import hashlib
import json
import os
import pathlib
import platform
import pprint
import re
import signal
import traceback
import warnings
import zoneinfo
from contextlib import suppress
from csv import writer
from types import FrameType # noqa: TC003
from typing import TYPE_CHECKING, Final, TypeAlias
import bayes_opt
import humanize
import numpy as np
import pandas as pd
import psutil
import torch
import xlsxwriter
from bayes_opt.event import DEFAULT_EVENTS, Events
from bayes_opt.logger import JSONLogger, ScreenLogger
from bayes_opt.util import load_logs
# isort: off
from TSModelWrappers.TSModelWrapper import TSModelWrapper, BAD_TARGET, METRICS_KEYS
# Prophet
from TSModelWrappers.ProphetWrapper import ProphetWrapper # noqa: TC001
# PyTorch NN Models
from TSModelWrappers.NBEATSModelWrapper import NBEATSModelWrapper # noqa: TC001
from TSModelWrappers.NHiTSModelWrapper import NHiTSModelWrapper # noqa: TC001
from TSModelWrappers.TCNModelWrapper import TCNModelWrapper # noqa: TC001
from TSModelWrappers.TransformerModelWrapper import TransformerModelWrapper # noqa: TC001
from TSModelWrappers.TFTModelWrapper import TFTModelWrapper # noqa: TC001
from TSModelWrappers.TSMixerModelWrapper import TSMixerModelWrapper # noqa: TC001
from TSModelWrappers.DLinearModelWrapper import DLinearModelWrapper # noqa: TC001
from TSModelWrappers.NLinearModelWrapper import NLinearModelWrapper # noqa: TC001
from TSModelWrappers.TiDEModelWrapper import TiDEModelWrapper # noqa: TC001
from TSModelWrappers.RNNModelWrapper import RNNModelWrapper # noqa: TC001
from TSModelWrappers.BlockRNNModelWrapper import BlockRNNModelWrapper # noqa: TC001
# Statistical Models
from TSModelWrappers.AutoARIMAWrapper import AutoARIMAWrapper # noqa: TC001
from TSModelWrappers.BATSWrapper import BATSWrapper # noqa: TC001
from TSModelWrappers.TBATSWrapper import TBATSWrapper # noqa: TC001
from TSModelWrappers.FourThetaWrapper import FourThetaWrapper # noqa: TC001
from TSModelWrappers.StatsForecastAutoThetaWrapper import ( # noqa: TC001
StatsForecastAutoThetaWrapper,
)
from TSModelWrappers.FFTWrapper import FFTWrapper # noqa: TC001
from TSModelWrappers.KalmanForecasterWrapper import KalmanForecasterWrapper # noqa: TC001
from TSModelWrappers.CrostonWrapper import CrostonWrapper # noqa: TC001
# Regression Models
from TSModelWrappers.LinearRegressionModelWrapper import LinearRegressionModelWrapper # noqa: TC001
from TSModelWrappers.RandomForestWrapper import RandomForestWrapper # noqa: TC001
from TSModelWrappers.LightGBMModelWrapper import LightGBMModelWrapper # noqa: TC001
from TSModelWrappers.XGBModelWrapper import XGBModelWrapper # noqa: TC001
from TSModelWrappers.CatBoostModelWrapper import CatBoostModelWrapper # noqa: TC001
# Naive Models
from TSModelWrappers.NaiveMeanWrapper import NaiveMeanWrapper # noqa: TC001
from TSModelWrappers.NaiveSeasonalWrapper import NaiveSeasonalWrapper # noqa: TC001
from TSModelWrappers.NaiveDriftWrapper import NaiveDriftWrapper # noqa: TC001
from TSModelWrappers.NaiveMovingAverageWrapper import NaiveMovingAverageWrapper # noqa: TC001
__all__ = ["load_best_points", "load_json_log_to_dfp", "print_memory_usage", "run_bayesian_opt"]
# isort: on
# When showing warnings ignore everything except the message
# https://stackoverflow.com/a/2187390
warnings.formatwarning = lambda msg, *args, **kwargs: f"{msg}\n" # noqa: U100
WrapperTypes: TypeAlias = type[
# Prophet
ProphetWrapper
# PyTorch NN Models
| NBEATSModelWrapper
| NHiTSModelWrapper
| TCNModelWrapper
| TransformerModelWrapper
| TFTModelWrapper
| TSMixerModelWrapper
| DLinearModelWrapper
| NLinearModelWrapper
| TiDEModelWrapper
| RNNModelWrapper
| BlockRNNModelWrapper
# Statistical Models
| AutoARIMAWrapper
| BATSWrapper
| TBATSWrapper
| FourThetaWrapper
| StatsForecastAutoThetaWrapper
| FFTWrapper
| KalmanForecasterWrapper
| CrostonWrapper
# Regression Models
| LinearRegressionModelWrapper
| RandomForestWrapper
| LightGBMModelWrapper
| XGBModelWrapper
| CatBoostModelWrapper
# Naive Models
| NaiveMeanWrapper
| NaiveSeasonalWrapper
| NaiveDriftWrapper
| NaiveMovingAverageWrapper
]
BAYESIAN_OPT_PREFIX: Final = "bayesian_opt_"
BAD_METRICS: Final = {str(k): -BAD_TARGET for k in METRICS_KEYS}
BAYES_OPT_LOG_COLS_FIXED: Final = [
"datetime_start",
"datetime_end",
"id_point",
"rank_point",
"represents_point",
"is_clean",
"target",
"model_name",
"model_type",
] + [f"{_}_val_loss" for _ in METRICS_KEYS]
NON_CSV_COLS: Final = [
"rank_point",
"represents_point",
]
# The datetime format used by bayes_opt.
BAYES_OPT_DATETIME_FMT: Final = "%Y-%m-%d %H:%M:%S"
def clean_log_dfp(dfp: pd.DataFrame | None) -> None | pd.DataFrame:
"""Clean and augment log dataframe.
Args:
dfp (pd.DataFrame | None): Log dataframe.
Returns:
None | pd.DataFrame: Log cleaned and augmented.
"""
if dfp is None:
return None
has_is_clean = "is_clean" in dfp.columns
if has_is_clean:
dfp["is_clean"] = dfp["is_clean"].astype(bool)
# Setup dfp_minutes for calculations
dfp["datetime_end"] = pd.to_datetime(dfp["datetime_end"], format=BAYES_OPT_DATETIME_FMT)
has_measured_datetime_start = "datetime_start" in dfp.columns
if has_measured_datetime_start:
dfp["datetime_start"] = pd.to_datetime(dfp["datetime_start"], format=BAYES_OPT_DATETIME_FMT)
dfp_minutes = pd.DataFrame(dfp)
if not has_measured_datetime_start:
dfp_minutes["datetime_start"] = dfp_minutes["datetime_end"]
dfp_minutes = (
dfp_minutes.groupby("datetime_end", sort=False)
.agg({"datetime_start": "min"})
.reset_index()
.sort_values(by="datetime_end", ascending=True)
.reset_index(drop=True)
)
if has_measured_datetime_start:
dfp_minutes["minutes_elapsed_point"] = (
dfp_minutes["datetime_end"] - dfp_minutes["datetime_start"]
) / pd.Timedelta( # type: ignore[operator]
minutes=1
)
dfp_minutes["minutes_elapsed_total"] = dfp_minutes["minutes_elapsed_point"].cumsum()
else:
dfp_minutes["minutes_elapsed_total"] = (
dfp_minutes["datetime_end"] - dfp_minutes["datetime_end"].min()
) / pd.Timedelta( # type: ignore[operator]
minutes=1
)
dfp_minutes["minutes_elapsed_point"] = (
dfp_minutes["minutes_elapsed_total"].diff().fillna(0.0)
)
dfp = dfp.merge(dfp_minutes.drop("datetime_start", axis=1), how="left", on="datetime_end")
# Add represents_point
dfp["row_number"] = (
dfp.sort_values(
by=["is_clean", "datetime_end"] if has_is_clean else "datetime_end",
ascending=[False, True] if has_is_clean else True,
)
.groupby("id_point", sort=False)
.cumcount()
)
dfp["represents_point"] = dfp["row_number"] == 0
dfp = dfp.drop("row_number", axis=1)
# Add rank_point
if "id_point" in dfp.columns:
dfp_id_to_rank = (
dfp.groupby("id_point", sort=False)
.agg({"target": "max", "datetime_end": "min"})
.reset_index()
.sort_values(by=["target", "datetime_end"], ascending=[False, True])
.reset_index(drop=True)
)
dfp_id_to_rank["rank_point"] = dfp_id_to_rank.index
dfp_id_to_rank = dfp_id_to_rank[["id_point", "rank_point"]]
dfp = dfp.merge(dfp_id_to_rank, how="left", on="id_point")
dfp = dfp.sort_values(
by=(
["datetime_end", "is_clean", "represents_point"]
if has_is_clean
else ["datetime_end", "represents_point"]
),
ascending=True,
).reset_index(drop=True)
return dfp[
[_ for _ in BAYES_OPT_LOG_COLS_FIXED if _ in dfp.columns]
+ [_ for _ in dfp.columns if _ not in BAYES_OPT_LOG_COLS_FIXED]
]
def load_json_log_to_dfp(f_path: pathlib.Path) -> None | pd.DataFrame:
"""Load prior bayes_opt log from JSON file as a pandas dataframe.
Args:
f_path (pathlib.Path): Path to JSON log file.
Returns:
None | pd.DataFrame: Log.
"""
# Adapted from:
# https://github.com/bayesian-optimization/BayesianOptimization/blob/129caac02177b146ce315e177d4d88950b75253a/bayes_opt/util.py#L214-L241
with f_path.open("r", encoding="utf-8") as f_json:
rows = []
while True:
try:
iteration = next(f_json)
except StopIteration:
break
row = {}
for _k0, _v0 in dict(sorted(json.loads(iteration).items())).items():
if isinstance(_v0, dict):
for _k1, _v1 in dict(sorted(_v0.items())).items():
if _k0 == "datetime":
if _k1 != "datetime":
continue
_prefix = ""
_postfix = "_end"
else:
_prefix = f"{_k0}_"
_postfix = ""
row[f"{_prefix}{_k1}{_postfix}"] = _v1
else:
row[_k0] = _v0
rows.append(row)
f_json.close()
if rows:
dfp = pd.DataFrame(rows)
dfp["id_point"] = dfp.index
dfp["id_point"] = dfp["id_point"].astype(str)
return clean_log_dfp(dfp)
return None
def load_csv_log_to_dfp(f_path: pathlib.Path) -> None | pd.DataFrame:
"""Load prior bayes_opt log from CSV file as a pandas dataframe.
Args:
f_path (pathlib.Path): Path to CSV log file.
Returns:
None | pd.DataFrame: Log.
"""
with f_path.open("r", encoding="utf-8") as f_csv:
dfp = pd.read_csv(f_csv, header=0)
return clean_log_dfp(dfp)
return None
def load_best_points(
dir_path: pathlib.Path, *, use_csv: bool = True
) -> tuple[pd.DataFrame, dict[str, pd.DataFrame]]:
"""Load best points from all bayes_opt, CSV or JSON, log files in the dir_path.
Args:
dir_path (pathlib.Path): Path to search recursively for CSV, or JSON, log files.
use_csv (bool): Flag to load CSV files, rather than JSON, log files. (Default value = True)
Returns:
tuple[pd.DataFrame, dict[str, pd.DataFrame]]: Best points with metadata as pandas dataframe, and dict of all logs as pandas dataframes.
Raises:
ValueError: Could not load from disk, or found duplicate generic_model_name.
"""
dfp_runs_dict = {}
rows = []
for f_path in sorted(dir_path.glob(f"**/*.{'csv' if use_csv else 'json'}")):
generic_model_name = f_path.stem.replace(BAYESIAN_OPT_PREFIX, "")
if use_csv:
dfp = load_csv_log_to_dfp(f_path)
else:
dfp = load_json_log_to_dfp(f_path)
if dfp is None:
raise ValueError(f"Could load {f_path}!")
if TYPE_CHECKING:
assert isinstance(dfp, pd.DataFrame) # noqa: SCS108 # nosec assert_used
if generic_model_name in dfp_runs_dict:
raise ValueError(
f"Already loaded log for {generic_model_name}! Please clean the dir structure of {dir_path} and try again."
)
dfp_runs_dict[generic_model_name] = pd.DataFrame(dfp)
dfp_best_points = dfp.loc[dfp["target"] != BAD_TARGET]
if "represents_point" in dfp_best_points.columns:
dfp_best_points = dfp_best_points.loc[
(dfp["target"] == dfp["target"].max()) & dfp["represents_point"]
]
else:
dfp_best_points = dfp_best_points.loc[dfp["target"] == dfp["target"].max()]
if not dfp_best_points.index.size:
dfp_best_points = pd.DataFrame(dfp)
warnings.warn(
f"Could not find a best point for {generic_model_name} in {f_path}, just taking them all!",
stacklevel=1,
)
has_is_clean = "is_clean" in dfp_best_points.columns
dfp_best_points = dfp_best_points.sort_values(
by=["is_clean", "datetime_end"] if has_is_clean else "datetime_end",
ascending=[False, True] if has_is_clean else True,
)
best_dict = dfp_best_points.iloc[0].to_dict()
best_params = []
for k, v in best_dict.items():
if k.startswith("params_"):
best_params.append(f'{k.replace("params_", "")}: {v}')
rows.append(
{
"generic_model_name": generic_model_name,
"target_best": best_dict["target"],
"model_type": best_dict.get("model_type"),
"n_points": dfp.index.size,
"n_points_bad_target": dfp.loc[dfp["target"] == BAD_TARGET].index.size,
"n_points_representative": dfp.loc[dfp["represents_point"]].index.size,
"n_points_representative_bad_target": dfp.loc[
(dfp["target"] == BAD_TARGET) & dfp["represents_point"]
].index.size,
"minutes_elapsed_total": dfp["minutes_elapsed_total"].max(),
"minutes_elapsed_point_best": best_dict["minutes_elapsed_point"],
"minutes_elapsed_mean": dfp.loc[dfp["model_name"] != "manual_bad_point"][
"minutes_elapsed_point"
].mean(),
"minutes_elapsed_stddev": dfp.loc[dfp["model_name"] != "manual_bad_point"][
"minutes_elapsed_point"
].std(),
"id_point_best": best_dict["id_point"],
"datetime_end_best": best_dict["datetime_end"],
"params_best": ", ".join(best_params),
}
)
dfp_best_points = pd.DataFrame(rows)
dfp_best_points = dfp_best_points.sort_values(
by=["target_best", "generic_model_name", "datetime_end_best"],
ascending=[False, True, False],
).reset_index(drop=True)
# Sort dfp_runs_dict in the same order as dfp_best_points
# https://stackoverflow.com/a/21773891
index_map = {v: i for i, v in enumerate(dfp_best_points["generic_model_name"].to_list())}
dfp_runs_dict = dict(sorted(dfp_runs_dict.items(), key=lambda pair: index_map[pair[0]]))
return dfp_best_points, dfp_runs_dict
def write_search_results( # noqa: C901
f_excel: pathlib.Path,
dfp_best_points: pd.DataFrame,
dfp_runs_dict: dict[str, pd.DataFrame],
*,
bad_points_frac_thr: float = 0.2,
) -> None:
"""Write search results to excel file.
Args:
f_excel (pathlib.Path): Path to output xlsx file.
dfp_best_points (pd.DataFrame): Best points dataframe created by load_best_points().
dfp_runs_dict (dict[str, pd.DataFrame]): Dict of all logs as pandas dataframes created by load_best_points().
bad_points_frac_thr (float): Bad points fraction threshold for red formatting. (Default value = 0.2)
"""
with pd.ExcelWriter(f_excel, engine="xlsxwriter") as xlsx_writer:
workbook = xlsx_writer.book
# Setup formats
elapsed_minutes_fmt = workbook.add_format({"num_format": "0.00"})
elapsed_minutes_fmt_bar = {
"type": "data_bar",
"bar_solid": True,
"bar_no_border": True,
"bar_direction": "right",
"bar_color": "#4a86e8",
}
boolean_fmt = workbook.add_format({"num_format": "BOOLEAN"})
loss_fmt = workbook.add_format({"num_format": "0.000000"})
loss_color_fmt = {
"type": "3_color_scale",
"min_color": "#57bb8a",
"mid_color": "#ffffff",
"max_color": "#e67c73",
}
target_color_fmt = {
"type": "3_color_scale",
"min_value": -0.015,
"min_color": loss_color_fmt["max_color"],
"mid_value": -0.01,
"mid_color": loss_color_fmt["mid_color"],
"max_value": -0.005,
"max_color": loss_color_fmt["min_color"],
}
red_format = workbook.add_format({"bg_color": "#e67c73"})
bad_points_color_fmt = {
"type": "cell",
"criteria": ">=",
"format": red_format,
}
for k in ["min_type", "mid_type", "max_type"]:
loss_color_fmt[k] = "num"
target_color_fmt[k] = "num"
def _fmt_worksheet(
worksheet: xlsxwriter.worksheet.Worksheet,
dfp_source: pd.DataFrame,
*,
hide_debug_cols: bool = True,
) -> None:
"""Format a log worksheet for this project.
Args:
worksheet (xlsxwriter.worksheet.Worksheet): Input worksheet.
dfp_source (pd.DataFrame): Original dataframe.
hide_debug_cols (bool): Hide low level debugging columns. (Default value = True)
"""
# Format loss columns
for i_col, col_str in enumerate(dfp_source.columns):
if not re.match(r"^.*?_val_loss$", col_str):
continue
_loss = dfp_source.loc[dfp_source[col_str] != -BAD_TARGET][col_str].to_numpy()
_loss = _loss[np.isfinite(_loss)]
if len(_loss) == 0:
continue
_min = np.min(_loss)
_q1 = np.quantile(_loss, 0.25)
_median = np.quantile(_loss, 0.50)
_q3 = np.quantile(_loss, 0.75)
_max = np.max(_loss)
loss_color_fmt["min_value"] = max(_min, _q1 - 1.5 * (_q3 - _q1))
loss_color_fmt["mid_value"] = _median
loss_color_fmt["max_value"] = min(_max, _q3 + 1.5 * (_q3 - _q1))
worksheet.set_column(i_col, i_col, None, loss_fmt)
worksheet.conditional_format(1, i_col, dfp_source.shape[0], i_col, loss_color_fmt)
# Format target columns
for i_col, col_str in enumerate(dfp_source.columns):
if not re.match(r"^target.*$", col_str):
continue
worksheet.set_column(i_col, i_col, None, loss_fmt)
worksheet.conditional_format(1, i_col, dfp_source.shape[0], i_col, target_color_fmt)
# Format minutes elapsed columns
for i_col, col_str in enumerate(dfp_source.columns):
if not re.match(r"^minutes_elapsed.*$", col_str):
continue
worksheet.set_column(i_col, i_col, None, elapsed_minutes_fmt)
elapsed_minutes_fmt_bar["min_value"] = 0.0
elapsed_minutes_fmt_bar["max_value"] = dfp_source[col_str].max()
worksheet.conditional_format(
1, i_col, dfp_source.shape[0], i_col, elapsed_minutes_fmt_bar
)
# Format n_points_ based on percent of n_points
for col_str, col_denom in {
"n_points_bad_target": "n_points",
"n_points_representative_bad_target": "n_points_representative",
}.items():
if {col_str, col_denom}.issubset(set(dfp_source.columns)):
_i_col = list(dfp_source.columns).index(col_str)
for i_row in range(1, dfp_source.shape[0] + 1):
bad_points_color_fmt["value"] = (
bad_points_frac_thr * dfp_source[col_denom].iloc[i_row - 1]
)
worksheet.conditional_format(
i_row, _i_col, i_row, _i_col, bad_points_color_fmt
)
for i_col, col_str in enumerate(dfp_source.columns):
if col_str not in ["is_clean", "represents_point"]:
continue
worksheet.set_column(i_col, i_col, None, boolean_fmt)
# Filter columns
worksheet.autofilter(0, 0, dfp_source.shape[0], dfp_source.shape[1] - 1)
if "represents_point" in dfp_source.columns:
_i_col = list(dfp_source.columns).index("represents_point")
worksheet.filter_column(_i_col, "x == TRUE")
# Hide rows which do not match the filter criteria
for i_row, row in dfp_source.iterrows(): # type: ignore[assignment]
if not row["represents_point"]:
worksheet.set_row(i_row + 1, options={"hidden": True})
# Autofit column widths
worksheet.autofit()
# Hide columns
for i_col, col_str in enumerate(dfp_source.columns):
if hide_debug_cols and (
col_str
in [
"datetime_start",
"n_points",
"n_points_bad_target",
"id_point",
"model_name",
"id_point_best",
"minutes_elapsed_point_best",
"datetime_end_best",
]
or (col_str == "model_type" and "minutes_elapsed_point" in dfp_source.columns)
):
worksheet.set_column(i_col, i_col, None, options={"hidden": True})
# Write and format sheets
dfp_best_points.to_excel(
xlsx_writer, sheet_name="Best Points", freeze_panes=(1, 1), index=False
)
_fmt_worksheet(xlsx_writer.sheets["Best Points"], dfp_best_points)
for generic_model_name, dfp in dfp_runs_dict.items():
dfp.to_excel(
xlsx_writer, sheet_name=generic_model_name, freeze_panes=(1, 2), index=False
)
_fmt_worksheet(xlsx_writer.sheets[generic_model_name], dfp)
def print_memory_usage(*, header: str | None = None) -> None:
"""Print system memory usage statistics.
Args:
header (str | None): Header to print before the rest of the memory usage. (Default value = None)
"""
ram_info = psutil.virtual_memory()
process = psutil.Process()
if header is not None and header != "":
header = f"{header}\n"
else:
header = ""
memory_usage_str = (
header
+ f"RAM Available: {humanize.naturalsize(ram_info.available)}, "
+ f"System Used: {humanize.naturalsize(ram_info.used)}, {ram_info.percent:.2f}%, "
+ f"Process Used: {humanize.naturalsize(process.memory_info().rss)}"
)
if torch.cuda.is_available():
gpu_memory_stats = {}
with suppress(Exception):
gpu_memory_stats = torch.cuda.memory_stats()
def get_gpu_mem_key(key: str) -> str:
"""Print system memory usage statistics.
Args:
key (str): Key to get from gpu_memory_stats.
Returns:
str: Clean humanized string for printing.
"""
_v = gpu_memory_stats.get(key)
if _v is not None:
return str(humanize.naturalsize(_v))
return "MISSING"
memory_usage_str += (
f", GPU RAM Current: {get_gpu_mem_key('allocated_bytes.all.current')}, "
+ f"Peak: {get_gpu_mem_key('allocated_bytes.all.peak')}"
)
print(memory_usage_str)
n_points = 0 # pylint: disable=invalid-name
# Easier than modifying the json_logger from bayes_opt
def write_csv_row( # pylint: disable=too-many-arguments
*,
enable_csv_logging: bool,
fname_csv_log: pathlib.Path,
datetime_start_str: str,
datetime_end_str: str,
id_point: str,
target: float,
metrics_val: dict[str, float],
point: dict,
is_clean: bool,
model_name: str,
model_type: str,
) -> None:
"""Save validation metrics and other metadata for this point to CSV.
Args:
enable_csv_logging (bool): Enable CSV logging of points.
fname_csv_log (pathlib.Path): Path to CSV log file.
datetime_start_str (str): Starting datetime string of this iteration.
datetime_end_str (str): Ending datetime string of this iteration, from JSON log.
id_point (str): ID of this point.
target (float): Target value.
metrics_val (dict[str, float]): Metrics on the validation set.
point (dict): Hyperparameter point.
is_clean (bool): Flag for if these are cleaned or raw hyperparameters.
model_name (str): Model name with training time stamp.
model_type (str): General type of model; prophet, torch, statistical, regression, or naive.
"""
if not enable_csv_logging:
return
new_row = [
datetime_start_str,
datetime_end_str,
id_point,
int(is_clean),
target,
model_name,
model_type,
]
metrics_val_sorted = {k: metrics_val[str(k)] for k in METRICS_KEYS}
new_row += list(metrics_val_sorted.values())
point = dict(sorted(point.items()))
new_row += list(point.values())
with fname_csv_log.open("a", encoding="utf-8") as f_csv:
m_writer = writer(f_csv)
if f_csv.tell() == 0:
# empty file, create header
m_writer.writerow(
[_ for _ in BAYES_OPT_LOG_COLS_FIXED if _ not in NON_CSV_COLS]
+ [f"params_{_}" for _ in point.keys()]
)
m_writer.writerow(new_row)
f_csv.close()
def get_datetime_str_from_json(*, enable_json_logging: bool, fname_json_log: pathlib.Path) -> str:
"""Load datatime str from last row in JSON log.
The {"datetime": {"datetime": "..."}} timestamp in the JSON log created by the optimizer.register() call
is a good field to have, but is only created in in the JSON logger here:
https://github.com/bayesian-optimization/BayesianOptimization/blob/129caac02177b146ce315e177d4d88950b75253a/bayes_opt/logger.py#L153C50-L158
We need to load last line of the JSON from disk and extract the datatime string.
Args:
enable_json_logging (bool): Enable JSON logging of points.
fname_json_log (pathlib.Path): Path to JSON log file.
Returns:
str: Datetime.
"""
if enable_json_logging:
with fname_json_log.open("rb") as f_json:
# https://stackoverflow.com/a/54278929
try: # catch OSError in case of a one line file
f_json.seek(-2, os.SEEK_END)
while f_json.read(1) != b"\n":
f_json.seek(-2, os.SEEK_CUR)
except OSError:
f_json.seek(0)
last_line = json.loads(f_json.readline().decode())
return last_line.get("datetime", {}).get("datetime")
return "NULL"
def get_i_point_duplicate(point: dict, optimizer: bayes_opt.BayesianOptimization) -> int:
"""Get index of duplicate prior point from optimizer, if one exists.
Args:
point (dict): The point to check.
optimizer (bayes_opt.BayesianOptimization): The optimizer to search.
Returns:
int: The index of the first duplicate prior point from optimizer, if one exists, otherwise returns -1.
"""
for i_param in range(optimizer.space.params.shape[0]):
if np.array_equiv(optimizer.space.params_to_array(point), optimizer.space.params[i_param]):
return i_param
return -1
def get_point_hash(point: dict) -> str:
"""Get hash of prior.
Args:
point (dict): The point to hash.
Returns:
str: The SHA-256 hash of the point.
"""
return hashlib.sha256(
", ".join([f"{k}: {v}" for k, v in dict(sorted(point.items())).items()]).encode("utf-8")
).hexdigest()
def signal_handler_for_stopping(
dummy_signal: int, # noqa: U100
dummy_frame: FrameType | None, # noqa: U100
) -> None:
"""Stop iteration gracefully.
https://medium.com/@chamilad/timing-out-of-long-running-methods-in-python-818b3582eed6
Args:
dummy_signal (int): signal number.
dummy_frame (FrameType | None): Frame object.
Raises:
RuntimeError: Out of Time!
"""
raise RuntimeError("Out of Time!")
def run_bayesian_opt( # noqa: C901 # pylint: disable=too-many-statements,too-many-locals,too-many-arguments
*,
parent_wrapper: TSModelWrapper,
model_wrapper_class: WrapperTypes,
model_wrapper_kwargs: dict | None = None,
hyperparams_to_opt: list[str] | None = None,
n_iter: int = 100,
max_points: int | None = None,
allow_duplicate_points: bool = False,
utility_kind: str = "ucb",
utility_kappa: float = 2.576,
verbose: int = 3,
model_verbose: int = -1,
enable_torch_warnings: bool = False,
enable_torch_model_summary: bool = True,
enable_torch_progress_bars: bool = False,
disregard_training_exceptions: bool = False,
max_time_per_model: datetime.timedelta | None = None,
accelerator: str | None = "auto",
fixed_hyperparams_to_alter: dict | None = None,
enable_json_logging: bool = True,
enable_reloading: bool = True,
enable_model_saves: bool = False,
bayesian_opt_work_dir_name: str = "bayesian_optimization",
local_timezone: zoneinfo.ZoneInfo | None = None,
) -> tuple[dict, bayes_opt.BayesianOptimization, int]:
"""Run Bayesian optimization for this model wrapper.
Args:
parent_wrapper (TSModelWrapper): TSModelWrapper object containing all parent configs.
model_wrapper_class (WrapperTypes): TSModelWrapper class to optimize.
model_wrapper_kwargs (dict | None): kwargs to pass to model_wrapper. (Default value = None)
hyperparams_to_opt (list[str] | None): List of hyperparameters to optimize.
If None, use all configurable hyperparameters. (Default value = None)
n_iter (int): How many iterations of Bayesian optimization to perform.
This is the number of new models to train, in addition to any duplicated or reloaded points. (Default value = 100)
max_points (int | None): The maximum number of points to train.
If this number of points has been reached, stop optimizing even without finishing n_iter. (Default value = None)
allow_duplicate_points (bool): If True, the optimizer will allow duplicate points to be registered.
This behavior may be desired in high noise situations where repeatedly probing
the same point will give different answers. In other situations, the acquisition
may occasionally generate a duplicate point. (Default value = False)
utility_kind (str): {'ucb', 'ei', 'poi'}
* 'ucb' stands for the Upper Confidence Bounds method
* 'ei' is the Expected Improvement method
* 'poi' is the Probability Of Improvement criterion. (Default value = 'ucb')
utility_kappa (float): Parameter to indicate how closed are the next parameters sampled.
Higher value = favors spaces that are least explored.
Lower value = favors spaces where the regression function is the highest. (Default value = 2.576)
verbose (int): Optimizer verbosity
7 prints memory usage
6 prints points before training
5 prints point count at each iteration
4 prints full stack traces
3 prints basic workflow messages
2 prints all iterations
1 prints only when a maximum is observed
0 is silent (Default value = 3)
model_verbose (int): Verbose level of model_wrapper, -1 silences LightGBMModel. (Default value = -1)
enable_torch_warnings (bool): Enable torch warning messages about training devices and CUDA, globally, via the logging module. (Default value = False)
enable_torch_model_summary (bool): Enable torch model summary. (Default value = True)
enable_torch_progress_bars (bool): Enable torch progress bars. (Default value = False)
disregard_training_exceptions (bool): Flag to disregard all exceptions raised when training a model, and return BAD_TARGET instead. (Default value = False)
max_time_per_model (datetime.timedelta | None): Set the maximum amount of training time for each iteration.
Torch models will use max_time_per_model as the max time per epoch,
while non-torch models will use it for the whole iteration if signal is available e.g. Linux, Darwin. (Default value = None)
accelerator (str | None): Supports passing different accelerator types ("cpu", "gpu", "tpu", "ipu", "auto") (Default value = 'auto')
fixed_hyperparams_to_alter (dict | None): Fixed hyperparameters to alter, but not optimize. (Default value = None)
enable_json_logging (bool): Enable JSON logging of points. (Default value = True)
enable_reloading (bool): Enable reloading of prior points from JSON log. (Default value = True)
enable_model_saves (bool): Save the trained model at each iteration. (Default value = False)
bayesian_opt_work_dir_name (str): Directory name to save logs and models in, within the parent_wrapper.work_dir_base. (Default value = 'bayesian_optimization')
local_timezone (zoneinfo.ZoneInfo | None): Local timezone. (Default value = None)
Returns:
tuple[dict, bayes_opt.BayesianOptimization, int]: optimal_values - Optimal hyperparameter values,
optimizer - bayes_opt.BayesianOptimization object for further details,
exception_status - Int exception status to pass on to bash scripts.
Raises:
ValueError: Bad configuration.
"""
global n_points
exception_status = 0
if model_wrapper_kwargs is None:
model_wrapper_kwargs = {}
# Setup hyperparameters
model_wrapper = model_wrapper_class(TSModelWrapper=parent_wrapper, **model_wrapper_kwargs)
configurable_hyperparams = model_wrapper.get_configurable_hyperparams()
if hyperparams_to_opt is None:
hyperparams_to_opt = list(configurable_hyperparams.keys())
# Setup hyperparameter bounds
hyperparam_bounds = {}
for hyperparam in hyperparams_to_opt:
hyperparam_min = configurable_hyperparams.get(hyperparam, {}).get("min")
hyperparam_max = configurable_hyperparams.get(hyperparam, {}).get("max")
if hyperparam_min is None or hyperparam_max is None:
raise ValueError(f"Could not load hyperparameter definition for {hyperparam = }!")
hyperparam_bounds[hyperparam] = (hyperparam_min, hyperparam_max)
# Setup Bayesian optimization objects
# https://github.com/bayesian-optimization/BayesianOptimization/blob/11a0c6aba1fcc6b5d2716052da5222a84259c5b9/bayes_opt/util.py#L113
utility = bayes_opt.UtilityFunction(kind=utility_kind, kappa=utility_kappa)
optimizer = bayes_opt.BayesianOptimization(
f=None,
pbounds=hyperparam_bounds,
random_state=model_wrapper.get_random_state(),
verbose=verbose,
allow_duplicate_points=allow_duplicate_points,
)
# Setup Logging
generic_model_name: Final = model_wrapper.get_generic_model_name()
model_type: Final = model_wrapper.get_model_type()
bayesian_opt_work_dir: Final = pathlib.Path(
model_wrapper.work_dir_base, bayesian_opt_work_dir_name, generic_model_name
).expanduser()
fname_json_log: Final = (
bayesian_opt_work_dir / f"{BAYESIAN_OPT_PREFIX}{generic_model_name}.json"
)
fname_csv_log: Final = bayesian_opt_work_dir / f"{BAYESIAN_OPT_PREFIX}{generic_model_name}.csv"
# Reload prior points, must be done before json_logger is recreated to avoid duplicating past runs
n_points = 0
if enable_reloading and fname_json_log.is_file():
if 3 <= verbose:
print(f"Resuming Bayesian optimization from:\n{fname_json_log}\n")
optimizer.dispatch(Events.OPTIMIZATION_START)
load_logs(optimizer, logs=str(fname_json_log))
n_points = len(optimizer.space)
if 3 <= verbose:
print(f"Loaded {n_points} existing points.\n")
# Continue to setup logging
if enable_json_logging:
bayesian_opt_work_dir.mkdir(parents=True, exist_ok=True)
json_logger = JSONLogger(path=str(fname_json_log), reset=False)
optimizer.subscribe(Events.OPTIMIZATION_STEP, json_logger)
if verbose:
screen_logger = ScreenLogger(verbose=verbose)
# _iterations and _previous_max are not reloaded correctly by default
# https://github.com/bayesian-optimization/BayesianOptimization/blob/c7e5c3926944fc6011ae7ace29f7b5ed0f9c983b/bayes_opt/observer.py#L9
# pylint: disable=protected-access
screen_logger._iterations = n_points
screen_logger._previous_max = max(optimizer.space.target, default=BAD_TARGET)
# pylint: enable=protected-access
for event in DEFAULT_EVENTS:
if (verbose < 3) and event in [Events.OPTIMIZATION_START, Events.OPTIMIZATION_END]:
continue
optimizer.subscribe(event, screen_logger)
# Define function to complete an iteration
def complete_iter(
datetime_start_str: str,
i_iter: int,
model_wrapper: TSModelWrapper,
target: float,
metrics_val: dict[str, float],
*,
point_to_probe: dict,
point_to_probe_is_clean: bool,
point_to_probe_clean: dict,
) -> None:
"""Complete this iteration, register point(s) and clean up.
Args:
datetime_start_str (str): Starting datetime string of this iteration.
i_iter (int): Index of this iteration.
model_wrapper (TSModelWrapper): Model wrapper object to reset.
target (float): Target value to register.
metrics_val (dict[str, float]): Metrics on the validation set.
point_to_probe (dict): Raw point to probe.
point_to_probe_is_clean (bool): If point_to_probe is clean.
point_to_probe_clean (dict): Point that was actually probed.
"""
global n_points
id_point = get_point_hash(point_to_probe_clean)
model_name = model_wrapper.get_model_name()
if model_name is None:
model_name = "reusing_prior_point"
if get_i_point_duplicate(point_to_probe, optimizer) == -1:
optimizer.register(params=point_to_probe, target=target)
datetime_end_str = get_datetime_str_from_json(
enable_json_logging=enable_json_logging, fname_json_log=fname_json_log
)
write_csv_row(
enable_csv_logging=enable_json_logging,
fname_csv_log=fname_csv_log,
datetime_start_str=datetime_start_str,
datetime_end_str=datetime_end_str,
id_point=id_point,
target=target,
metrics_val=metrics_val,
point=point_to_probe,
is_clean=point_to_probe_is_clean,
model_name=model_name,
model_type=model_type,
)
n_points += 1
if get_i_point_duplicate(point_to_probe_clean, optimizer) == -1: