xgboost/xgboost_simple.py

"""
Optuna example that optimizes a classifier configuration for cancer dataset
using XGBoost.

In this example, we optimize the validation accuracy of cancer detection
using XGBoost. We optimize both the choice of booster model and its
hyperparameters.

"""

import numpy as np
import optuna

import sklearn.datasets
import sklearn.metrics
from sklearn.model_selection import train_test_split
import xgboost as xgb


def objective(trial):
    (data, target) = sklearn.datasets.load_breast_cancer(return_X_y=True)
    train_x, valid_x, train_y, valid_y = train_test_split(data, target, test_size=0.25)
    dtrain = xgb.DMatrix(train_x, label=train_y)
    dvalid = xgb.DMatrix(valid_x, label=valid_y)

    param = {
        "verbosity": 0,
        "objective": "binary:logistic",
        # use exact for small dataset.
        "tree_method": "exact",
        # defines booster, gblinear for linear functions.
        "booster": trial.suggest_categorical("booster", ["gbtree", "gblinear", "dart"]),
        # L2 regularization weight.
        "lambda": trial.suggest_float("lambda", 1e-8, 1.0, log=True),
        # L1 regularization weight.
        "alpha": trial.suggest_float("alpha", 1e-8, 1.0, log=True),
        # sampling ratio for training data.
        "subsample": trial.suggest_float("subsample", 0.2, 1.0),
        # sampling according to each tree.
        "colsample_bytree": trial.suggest_float("colsample_bytree", 0.2, 1.0),
    }

    if param["booster"] in ["gbtree", "dart"]:
        # maximum depth of the tree, signifies complexity of the tree.
        param["max_depth"] = trial.suggest_int("max_depth", 3, 9, step=2)
        # minimum child weight, larger the term more conservative the tree.
        param["min_child_weight"] = trial.suggest_int("min_child_weight", 2, 10)
        param["eta"] = trial.suggest_float("eta", 1e-8, 1.0, log=True)
        # defines how selective algorithm is.
        param["gamma"] = trial.suggest_float("gamma", 1e-8, 1.0, log=True)
        param["grow_policy"] = trial.suggest_categorical("grow_policy", ["depthwise", "lossguide"])

    if param["booster"] == "dart":
        param["sample_type"] = trial.suggest_categorical("sample_type", ["uniform", "weighted"])
        param["normalize_type"] = trial.suggest_categorical("normalize_type", ["tree", "forest"])
        param["rate_drop"] = trial.suggest_float("rate_drop", 1e-8, 1.0, log=True)
        param["skip_drop"] = trial.suggest_float("skip_drop", 1e-8, 1.0, log=True)

    bst = xgb.train(param, dtrain)
    preds = bst.predict(dvalid)
    pred_labels = np.rint(preds)
    accuracy = sklearn.metrics.accuracy_score(valid_y, pred_labels)
    return accuracy


if __name__ == "__main__":
    study = optuna.create_study(direction="maximize")
    study.optimize(objective, n_trials=100, timeout=600)

    print("Number of finished trials: ", len(study.trials))
    print("Best trial:")
    trial = study.best_trial

    print("  Value: {}".format(trial.value))
    print("  Params: ")
    for key, value in trial.params.items():
        print("    {}: {}".format(key, value))