TPE Algorithm¶
Tree-structured Parzen Estimator Approach¶
- class orion.algo.tpe.CategoricalSampler(tpe, observations, choices)[source]¶
Categorical Sampler for discrete integer and categorical choices
- Parameters
- tpe: `TPE` algorithm
The tpe algorithm object which this sampler will be part of.
- observations: list
Observed values in the dimension
- choices: list
Candidate values for the dimension
Methods
get_loglikelis
(points)Return the log likelihood for the points
sample
([num])Sample required number of points
- class orion.algo.tpe.GMMSampler(tpe, mus, sigmas, low, high, weights=None, base_attempts=10, attempts_factor=10, max_attempts=10000)[source]¶
Gaussian Mixture Model Sampler for TPE algorithm
- Parameters
- tpe: `TPE` algorithm
The tpe algorithm object which this sampler will be part of.
- mus: list
mus for each Gaussian components in the GMM. Default:
None
- sigmas: list
sigmas for each Gaussian components in the GMM.
- low: real
Lower bound of the sampled points.
- high: real
Upper bound of the sampled points.
- weights: list
Weights for each Gaussian components in the GMM Default:
None
- base_attempts: int, optional
Base number of attempts to sample points within low and high bounds. Defaults to 10.
- attempts_factor: int, optional
If sampling always falls out of bound try again with attempts * attempts_factor. Defaults to 10.
- max_attempts: int, optional
If sampling always falls out of bound try again with attempts * attempts_factor up to max_attempts (inclusive). Defaults to 10000.
Methods
get_loglikelis
(points)Return the log likelihood for the points
sample
([num, attempts])Sample required number of points
- class orion.algo.tpe.TPE(space, seed=None, n_initial_points=20, n_ei_candidates=24, gamma=0.25, equal_weight=False, prior_weight=1.0, full_weight_num=25)[source]¶
Tree-structured Parzen Estimator (TPE) algorithm is one of Sequential Model-Based Global Optimization (SMBO) algorithms, which will build models to propose new points based on the historical observed trials.
Instead of modeling p(y|x) like other SMBO algorithms, TPE models p(x|y) and p(y), and p(x|y) is modeled by transforming that generative process, replacing the distributions of the configuration prior with non-parametric densities.
The TPE defines p(x|y) using two such densities l(x) and g(x) while l(x) is distribution of good points and g(x) is the distribution of bad points. New point candidates will be sampled with l(x) and Expected Improvement (EI) optimization scheme will be used to find the most promising point among the candidates.
For more information on the algorithm, see original papers at:
- Parameters
- space: `orion.algo.space.Space`
Optimisation space with priors for each dimension.
- seed: None, int or sequence of int
Seed to sample initial points and candidates points. Default:
None
- n_initial_points: int
Number of initial points randomly sampled. If new points are requested and less than n_initial_points are observed, the next points will also be sampled randomly instead of being sampled from the parzen estimators. Default:
20
- n_ei_candidates: int
Number of candidates points sampled for ei compute. Default:
24
- gamma: real
Ratio to split the observed trials into good and bad distributions. Default:
0.25
- equal_weight: bool
True to set equal weights for observed points. Default:
False
- prior_weight: int
The weight given to the prior point of the input space. Default:
1.0
- full_weight_num: int
The number of the most recent trials which get the full weight where the others will be applied with a linear ramp from 0 to 1.0. It will only take effect if equal_weight is False.
- Attributes
- requires_type
space
Return transformed space of TPE
state_dict
Return a state dict that can be used to reset the state of the algorithm.
Methods
observe
(points, results)Observe evaluation results corresponding to list of points in space.
sample_one_dimension
(dimension, shape_size, ...)Sample values for a dimension
seed_rng
(seed)Seed the state of the random number generator.
set_state
(state_dict)Reset the state of the algorithm based on the given state_dict
Split the observed trials into good and bad ones based on the ratio gamma`
suggest
([num])Suggest a num of new sets of parameters.
- observe(points, results)[source]¶
Observe evaluation results corresponding to list of points in space.
A simple random sampler though does not take anything into account.
- sample_one_dimension(dimension, shape_size, below_points, above_points, sampler)[source]¶
Sample values for a dimension
- Parameters
dimension – Dimension.
shape_size – 1D Shape Size of the Real Dimension.
below_points – good points with shape (m, n), m=shape_size.
above_points – bad points with shape (m, n), m=shape_size.
sampler – method to sample one value for upon the dimension.
- seed_rng(seed)[source]¶
Seed the state of the random number generator.
- Parameters
seed – Integer seed for the random number generator.
- set_state(state_dict)[source]¶
Reset the state of the algorithm based on the given state_dict
- Parameters
state_dict – Dictionary representing state of an algorithm
- property space¶
Return transformed space of TPE
- property state_dict¶
Return a state dict that can be used to reset the state of the algorithm.
- suggest(num=None)[source]¶
Suggest a num of new sets of parameters. Randomly draw samples from the import space and return them.
- Parameters
- num: int, optional
Number of points to sample. If None, TPE will sample all random points at once, or a single point if it is at the Bayesian Optimization stage.
- :param num: how many sets to be suggested.
- .. note:: New parameters must be compliant with the problem’s domain
- orion.algo.tpe.adaptive_parzen_estimator(mus, low, high, prior_weight=1.0, equal_weight=False, flat_num=25)[source]¶
Return the sorted mus, the corresponding sigmas and weights with adaptive kernel estimator.
This adaptive parzen window estimator is based on the original papers and also refer the use of prior mean in this implementation.
- Parameters
mus – list of real values for observed mus.
low – real value for lower bound of points.
high – real value for upper bound of points.
prior_weight – real value for the weight of the prior mean.
equal_weight – bool value indicating if all points with equal weights.
flat_num – int value indicating the number of the most recent trials which get the full weight where the others will be applied with a linear ramp from 0 to 1.0. It will only take effect if equal_weight is False.
- orion.algo.tpe.compute_max_ei_point(points, below_likelis, above_likelis)[source]¶
Compute ei among points based on their log likelihood and return the point with max ei.
- Parameters
points – list of point with real values.
below_likelis – list of log likelihood for each point in the good GMM.
above_likelis – list of log likelihood for each point in the bad GMM.
- orion.algo.tpe.ramp_up_weights(total_num, flat_num, equal_weight)[source]¶
Adjust weights of observed trials.
- Parameters
total_num – total number of observed trials.
flat_num – the number of the most recent trials which get the full weight where the others will be applied with a linear ramp from 0 to 1.0. It will only take effect if equal_weight is False.
equal_weight – whether all the observed trails share the same weights.