python - 使用 hyperopt 进行评估和预测的不同结果指标

Question

这是我第一次调整 XGBoost 的超参数。我的计划是使用 hyperopt 找到最佳超参数。

def obj (params):
  xgb_model=xgb.XGBRegressor(
      n_estimator=params['n_estimator'],
      learning_rate=params['learning_rate'],
      booster=params['booster'],
      gamma=params['gamma'],
      max_depth=int(params['max_depth']),
      min_child_weight=int(params['min_child_weight']),
      colsample_bytree=int(params['colsample_bytree']),
      reg_lambda=params['reg_lambda'],reg_alpha=params['reg_alpha']
  )
  evaluation=[(X_train,Y_train),(X_test,Y_test)]
  xgb_model.fit(X_train, Y_train,
            eval_set=evaluation,
            verbose=False)
  pred = xgb_model.predict(X_test)
  r2_value=r2_score(y_true=Y_test,y_pred=pred)
  mape=MAPE(pred,Y_test)
  print('R2-Value:',r2_value)
  print('MAPE Value :',mape)
  print(xgb_model.get_params)
  return {'loss': -r2_value, 'status': STATUS_OK ,'model':xgb_model }
  
params={'n_estimator':450,
        'learning_rate':hp.loguniform('learning_rate',np.log(0.01),np.log(1)),
        'booster':hp.choice('booster',['gbtree','dart','gblinear']),
        'reg_lambda':hp.uniform('reg_lambda',0,2.5),
        'reg_alpha':hp.uniform('reg_alpha',0,2.5),
        'colsample_bytree':hp.uniform('colsample_bytree',0,1),
        'gamma':hp.uniform('gamma',0,10),
        'max_depth':hp.quniform('max_depth',3,10,1),
        'min_child_weight':hp.quniform('min_child_weight',0,10,1),'seed': 0}

trials = Trials()
best_hyperparams = fmin(fn = obj,
                        space = params,
                        algo = tpe.suggest,
                        max_evals = 100,
                        trials = trials)

我根据 R2 分数和 MAPE 显示损失值。运行代码后我得到了最好的损失值。

当我使用该超参数时，我得到了与以前不同的 MAPE 和 R2 结果。

model=xgb.XGBRegressor(base_score=0.5, booster='gbtree', colsample_bylevel=1,
             colsample_bynode=1, colsample_bytree=0, gamma=4.478273315667381,
             importance_type='gain', learning_rate=0.49914654574533074,
             max_delta_step=0, max_depth=8, min_child_weight=4, missing=None,
             n_estimator=450, n_estimators=100, n_jobs=1, nthread=None,
             objective='reg:linear', random_state=0,
             reg_alpha=1.4575139694808485, reg_lambda=1.7326686243254332,
             scale_pos_weight=1, seed=None, silent=None, subsample=1,
             verbosity=1)

model.fit(X_train,Y_train)
model.predict(X_test)

你能给我一些解释，为什么会发生？

Answer 1

要使 XGBoost 结果可重现，您需要设置 n_jobs=1除了修复随机种子，请参阅 this answer和下面的代码。

import numpy as np
import xgboost as xgb
from sklearn.datasets import make_regression
from sklearn.model_selection import train_test_split
from sklearn.metrics import r2_score, mean_absolute_percentage_error
from hyperopt import hp, fmin, tpe, Trials, STATUS_OK

# generate the data
X, y = make_regression(random_state=0)

# split the data
X_train, X_test, Y_train, Y_test = train_test_split(X, y, random_state=0)

# define the model
def XGBModel(params):

    return xgb.XGBRegressor(
        n_estimator=params['n_estimator'],
        learning_rate=params['learning_rate'],
        booster=params['booster'],
        gamma=params['gamma'],
        max_depth=int(params['max_depth']),
        min_child_weight=int(params['min_child_weight']),
        colsample_bytree=int(params['colsample_bytree']),
        reg_lambda=params['reg_lambda'],
        reg_alpha=params['reg_alpha'],
        random_state=0, # fix the random seed
        n_jobs=1, # set the number of parallel jobs equal to one
    )

# define the objective function
def obj(params):

    # fit the model
    xgb_model = XGBModel(params)
    xgb_model.fit(X_train, Y_train, eval_set=[(X_train, Y_train), (X_test, Y_test)], verbose=False)
    pred = xgb_model.predict(X_test)

    # score the model
    r2_value = r2_score(y_true=Y_test, y_pred=pred)
    mape = mean_absolute_percentage_error(y_true=Y_test, y_pred=pred)

    return {'loss': - r2_value, 'mape': mape, 'status': STATUS_OK, 'model': xgb_model}

# define the hyperparameter space
params = {
    'n_estimator': 1000,
    'learning_rate': hp.loguniform('learning_rate', np.log(0.01), np.log(1)),
    'booster': hp.choice('booster', ['gbtree', 'dart', 'gblinear']),
    'reg_lambda': hp.uniform('reg_lambda', 0, 2.5),
    'reg_alpha': hp.uniform('reg_alpha', 0, 2.5),
    'colsample_bytree': hp.uniform('colsample_bytree', 0, 1),
    'gamma': hp.uniform('gamma', 0, 10),
    'max_depth': hp.quniform('max_depth', 3, 10, 1),
    'min_child_weight': hp.quniform('min_child_weight', 0, 10, 1),
}

# tune the hyperparameters
trials = Trials()
best_hyperparams = fmin(fn=obj, space=params, algo=tpe.suggest, max_evals=10, trials=trials, rstate=np.random.RandomState(0))

# extract the best scores
print('R2-Value:', - trials.best_trial['result']['loss'])
print('MAPE Value :', trials.best_trial['result']['mape'])
# R2-Value: 0.5388751508268976
# MAPE Value : 4.700583518398514

# extract the best model
best_model = trials.best_trial['result']['model']

# fit the best model
best_model.fit(X_train, Y_train, eval_set=[(X_train, Y_train), (X_test, Y_test)], verbose=False)
pred = best_model.predict(X_test)

# score the best model
r2_value = r2_score(y_true=Y_test, y_pred=pred)
mape = mean_absolute_percentage_error(y_true=Y_test, y_pred=pred)

print('R2-Value:', r2_value)
print('MAPE Value :', mape)
# R2-Value: 0.5388751508268976
# MAPE Value : 4.700583518398514