Closed eukaryo closed 7 months ago
@contramundum53 Could you review this PR?
@eukaryo How about changing the example as this?
I made the following changes:
import math
import sys
from dataclasses import dataclass
import numpy as np
from numpy.linalg import norm
import optuna
np.random.seed(0)
@dataclass
class SAOptions:
max_iter: int = 10000
T0: float = 1.0
alpha: float = 2.0
patience: int = 50
def tsp_cost(vertices: np.ndarray, idxs: np.ndarray) -> float:
return norm(vertices[idxs] - vertices[np.roll(idxs, 1)], axis=-1).sum()
# Greedy solution for initial guess.
def tsp_greedy(vertices: np.ndarray) -> np.ndarray:
idxs = [0]
for _ in range(len(vertices) - 1):
dists_from_last = norm(vertices[idxs[-1], None] - vertices, axis=-1)
dists_from_last[idxs] = np.inf
idxs.append(np.argmin(dists_from_last))
return np.array(idxs)
# A minimal implementation of TSP solver using simulated annealing on 2-opt neighbors.
def tsp_simulated_annealing(vertices: np.ndarray, options: SAOptions) -> np.ndarray:
def temperature(t: float):
# t: 0 ... 1
return options.T0 * (1 - t) ** options.alpha
N = len(vertices)
idxs = tsp_greedy(vertices)
cost = tsp_cost(vertices, idxs)
best_idxs = idxs.copy()
best_cost = cost
remaining_patience = options.patience
for iter in range(options.max_iter):
i = np.random.randint(0, N)
j = (i + 2 + np.random.randint(0, N - 3)) % N
i, j = min(i, j), max(i, j)
# Reverse the order of vertices between range [i+1, j].
# cost difference by 2-opt reversal
delta_cost = (
-norm(vertices[idxs[(i + 1) % N]] - vertices[idxs[i]])
- norm(vertices[idxs[j]] - vertices[idxs[(j + 1) % N]])
+ norm(vertices[idxs[i]] - vertices[idxs[j]])
+ norm(vertices[idxs[(i + 1) % N]] - vertices[idxs[(j + 1) % N]])
)
temp = temperature(iter / options.max_iter)
if delta_cost <= 0.0 or np.random.random() < math.exp(-delta_cost / temp):
# accept the 2-opt reversal
cost += delta_cost
idxs[i + 1 : j + 1] = idxs[i + 1 : j + 1][::-1]
if cost < best_cost:
best_idxs[:] = idxs
best_cost = cost
remaining_patience = options.patience
if cost > best_cost:
# If the best solution is not updated for "patience" iteratoins,
# restart from the best solution.
remaining_patience -= 1
if remaining_patience == 0:
idxs[:] = best_idxs
cost = best_cost
remaining_patience = options.patience
return best_idxs
def make_dataset(num_vertex: int, num_problem: int) -> np.ndarray:
return np.random.random((num_problem, num_vertex, 2))
dataset = make_dataset(
num_vertex=100,
num_problem=50,
)
N_TRIALS = 50
# We set a very small number of SA iterations for demonstration purpose.
# In practice, you should set a larger number of iterations.
N_SA_ITER = 10000
count = 0
def objective(trial: optuna.Trial) -> float:
global count
options = SAOptions(
max_iter=N_SA_ITER,
T0=trial.suggest_float("T0", 0.01, 10.0, log=True),
alpha=trial.suggest_float("alpha", 1.0, 10.0, log=True),
patience=trial.suggest_int("patience", 10, 1000, log=True),
)
results = []
# For best results, shuffle the evaluation order in each trial.
ordering = np.random.permutation(len(dataset))
for i in ordering:
count += 1
result_idxs = tsp_simulated_annealing(vertices=dataset[i], options=options)
result_cost = tsp_cost(dataset[i], result_idxs)
results.append(result_cost)
trial.report(result_cost, i)
if trial.should_prune():
print(f"[{trial.number}] Pruned at {len(results)}/{len(dataset)}", file=sys.stderr)
# raise optuna.TrialPruned()
# Return the current predicted value when pruned.
# This is a workaround for the problem that current TPE sampler cannot utilize
# pruned trials effectively.
return sum(results) / len(results)
print(f"[{trial.number}] Not pruned ({len(results)}/{len(dataset)})", file=sys.stderr)
return sum(results) / len(results)
if __name__ == "__main__":
sampler = optuna.samplers.TPESampler(seed=1)
pruner = optuna.pruners.WilcoxonPruner(p_threshold=0.1)
study = optuna.create_study(direction="minimize", sampler=sampler, pruner=pruner)
study.enqueue_trial({"T0": 1.0, "alpha": 2.0, "patience": 50}) # default params
study.optimize(objective, n_trials=N_TRIALS)
print(f"The number of trials: {len(study.trials)}")
print(f"Best value: {study.best_value} (params: {study.best_params})")
print(f"Number of evaluations: {count} / {N_TRIALS * len(dataset)}")
Motivation
I want to add an example using Wilcoxon pruner.
Description of the changes
added an example of Wilcoxon pruner. In this example, Optuna optimizes parameters of simmulated annealing which solves a random dataset of traveling salesman problems.