autogen/flaml/model.py

"""!
 * Copyright (c) Microsoft Corporation. All rights reserved.
 * Licensed under the MIT License.
"""

import numpy as np
import xgboost as xgb
import time
from sklearn.ensemble import RandomForestRegressor, RandomForestClassifier
from sklearn.ensemble import ExtraTreesRegressor, ExtraTreesClassifier
from sklearn.linear_model import LogisticRegression
from lightgbm import LGBMClassifier, LGBMRegressor, LGBMRanker
from scipy.sparse import issparse
import pandas as pd
from . import tune
from .data import group_counts

import logging

logger = logging.getLogger(__name__)


class BaseEstimator:
    """The abstract class for all learners

    Typical example:
        XGBoostEstimator: for regression
        XGBoostSklearnEstimator: for classification
        LGBMEstimator, RandomForestEstimator, LRL1Classifier, LRL2Classifier:
            for both regression and classification
    """

    def __init__(self, task="binary", **params):
        """Constructor

        Args:
            task: A string of the task type, one of
                'binary', 'multi', 'regression', 'rank', 'forecast'
            n_jobs: An integer of the number of parallel threads
            params: A dictionary of the hyperparameter names and values
        """
        self.params = params
        self.estimator_class = self._model = None
        self._task = task
        if "_estimator_type" in params:
            self._estimator_type = params["_estimator_type"]
            del self.params["_estimator_type"]
        else:
            self._estimator_type = (
                "classifier" if task in ("binary", "multi") else "regressor"
            )

    def get_params(self, deep=False):
        params = self.params.copy()
        params["task"] = self._task
        if hasattr(self, "_estimator_type"):
            params["_estimator_type"] = self._estimator_type
        return params

    @property
    def classes_(self):
        return self._model.classes_

    @property
    def n_features_in_(self):
        return self.model.n_features_in_

    @property
    def model(self):
        """Trained model after fit() is called, or None before fit() is called"""
        return self._model

    @property
    def estimator(self):
        """Trained model after fit() is called, or None before fit() is called"""
        return self._model

    def _preprocess(self, X):
        return X

    def _fit(self, X_train, y_train, **kwargs):

        current_time = time.time()
        if "groups" in kwargs:
            kwargs = kwargs.copy()
            if self._task == "rank":
                kwargs["group"] = group_counts(kwargs["groups"])
                # groups_val = kwargs.get('groups_val')
                # if groups_val is not None:
                #     kwargs['eval_group'] = [group_counts(groups_val)]
                #     kwargs['eval_set'] = [
                #         (kwargs['X_val'], kwargs['y_val'])]
                #     kwargs['verbose'] = False
                #     del kwargs['groups_val'], kwargs['X_val'], kwargs['y_val']
            del kwargs["groups"]
        X_train = self._preprocess(X_train)
        model = self.estimator_class(**self.params)
        model.fit(X_train, y_train, **kwargs)
        train_time = time.time() - current_time
        self._model = model
        return train_time

    def fit(self, X_train, y_train, budget=None, **kwargs):
        """Train the model from given training data

        Args:
            X_train: A numpy array of training data in shape n*m
            y_train: A numpy array of labels in shape n*1
            budget: A float of the time budget in seconds

        Returns:
            train_time: A float of the training time in seconds
        """
        return self._fit(X_train, y_train, **kwargs)

    def predict(self, X_test):
        """Predict label from features

        Args:
            X_test: A numpy array of featurized instances, shape n*m

        Returns:
            A numpy array of shape n*1.
            Each element is the label for a instance
        """
        if self._model is not None:
            X_test = self._preprocess(X_test)
            return self._model.predict(X_test)
        else:
            return np.ones(X_test.shape[0])

    def predict_proba(self, X_test):
        """Predict the probability of each class from features

        Only works for classification problems

        Args:
            model: An object of trained model with method predict_proba()
            X_test: A numpy array of featurized instances, shape n*m

        Returns:
            A numpy array of shape n*c. c is the # classes
            Each element at (i,j) is the probability for instance i to be in
                class j
        """
        assert self._task in (
            "binary",
            "multi",
        ), "predict_prob() only for classification task."
        X_test = self._preprocess(X_test)
        return self._model.predict_proba(X_test)

    def cleanup(self):
        pass

    @classmethod
    def search_space(cls, **params):
        """[required method] search space

        Returns:
            A dictionary of the search space.
            Each key is the name of a hyperparameter, and value is a dict with
                its domain and init_value (optional), cat_hp_cost (optional)
                e.g.,
                {'domain': tune.randint(lower=1, upper=10), 'init_value': 1}
        """
        return {}

    @classmethod
    def size(cls, config: dict) -> float:
        """[optional method] memory size of the estimator in bytes

        Args:
            config - the dict of the hyperparameter config

        Returns:
            A float of the memory size required by the estimator to train the
            given config
        """
        return 1.0

    @classmethod
    def cost_relative2lgbm(cls) -> float:
        """[optional method] relative cost compared to lightgbm"""
        return 1.0

    @classmethod
    def init(cls):
        """[optional method] initialize the class"""
        pass


class SKLearnEstimator(BaseEstimator):
    def __init__(self, task="binary", **params):
        super().__init__(task, **params)

    def _preprocess(self, X):
        if isinstance(X, pd.DataFrame):
            cat_columns = X.select_dtypes(include=["category"]).columns
            if not cat_columns.empty:
                X = X.copy()
                X[cat_columns] = X[cat_columns].apply(lambda x: x.cat.codes)
        elif isinstance(X, np.ndarray) and X.dtype.kind not in "buif":
            # numpy array is not of numeric dtype
            X = pd.DataFrame(X)
            for col in X.columns:
                if isinstance(X[col][0], str):
                    X[col] = X[col].astype("category").cat.codes
            X = X.to_numpy()
        return X


class LGBMEstimator(BaseEstimator):
    @classmethod
    def search_space(cls, data_size, **params):
        upper = min(32768, int(data_size))
        return {
            "n_estimators": {
                "domain": tune.lograndint(lower=4, upper=upper),
                "init_value": 4,
                "low_cost_init_value": 4,
            },
            "num_leaves": {
                "domain": tune.lograndint(lower=4, upper=upper),
                "init_value": 4,
                "low_cost_init_value": 4,
            },
            "min_child_samples": {
                "domain": tune.lograndint(lower=2, upper=2 ** 7 + 1),
                "init_value": 20,
            },
            "learning_rate": {
                "domain": tune.loguniform(lower=1 / 1024, upper=1.0),
                "init_value": 0.1,
            },
            # 'subsample': {
            #     'domain': tune.uniform(lower=0.1, upper=1.0),
            #     'init_value': 1.0,
            # },
            "log_max_bin": {  # log transformed with base 2
                "domain": tune.lograndint(lower=3, upper=11),
                "init_value": 8,
            },
            "colsample_bytree": {
                "domain": tune.uniform(lower=0.01, upper=1.0),
                "init_value": 1.0,
            },
            "reg_alpha": {
                "domain": tune.loguniform(lower=1 / 1024, upper=1024),
                "init_value": 1 / 1024,
            },
            "reg_lambda": {
                "domain": tune.loguniform(lower=1 / 1024, upper=1024),
                "init_value": 1.0,
            },
        }

    @classmethod
    def size(cls, config):
        num_leaves = int(round(config.get("num_leaves") or config["max_leaves"]))
        n_estimators = int(round(config["n_estimators"]))
        return (num_leaves * 3 + (num_leaves - 1) * 4 + 1.0) * n_estimators * 8

    def __init__(self, task="binary", log_max_bin=8, **params):
        super().__init__(task, **params)
        if "objective" not in self.params:
            # Default: ‘regression’ for LGBMRegressor,
            # ‘binary’ or ‘multiclass’ for LGBMClassifier
            objective = "regression"
            if "binary" in task:
                objective = "binary"
            elif "multi" in task:
                objective = "multiclass"
            elif "rank" == task:
                objective = "lambdarank"
            self.params["objective"] = objective
        if "n_estimators" in self.params:
            self.params["n_estimators"] = int(round(self.params["n_estimators"]))
        if "num_leaves" in self.params:
            self.params["num_leaves"] = int(round(self.params["num_leaves"]))
        if "min_child_samples" in self.params:
            self.params["min_child_samples"] = int(
                round(self.params["min_child_samples"])
            )
        if "max_bin" not in self.params:
            self.params["max_bin"] = 1 << int(round(log_max_bin)) - 1
        if "verbose" not in self.params:
            self.params["verbose"] = -1
        # if "subsample_freq" not in self.params:
        #     self.params['subsample_freq'] = 1
        if "regression" == task:
            self.estimator_class = LGBMRegressor
        elif "rank" == task:
            self.estimator_class = LGBMRanker
        else:
            self.estimator_class = LGBMClassifier
        self._time_per_iter = None
        self._train_size = 0

    def _preprocess(self, X):
        if (
            not isinstance(X, pd.DataFrame)
            and issparse(X)
            and np.issubdtype(X.dtype, np.integer)
        ):
            X = X.astype(float)
        elif isinstance(X, np.ndarray) and X.dtype.kind not in "buif":
            # numpy array is not of numeric dtype
            X = pd.DataFrame(X)
            for col in X.columns:
                if isinstance(X[col][0], str):
                    X[col] = X[col].astype("category").cat.codes
            X = X.to_numpy()
        return X

    def fit(self, X_train, y_train, budget=None, **kwargs):
        start_time = time.time()
        n_iter = self.params["n_estimators"]
        if (
            not self._time_per_iter or abs(self._train_size - X_train.shape[0]) > 4
        ) and budget is not None:
            self.params["n_estimators"] = 1
            self._t1 = self._fit(X_train, y_train, **kwargs)
            if self._t1 >= budget:
                self.params["n_estimators"] = n_iter
                return self._t1
            self.params["n_estimators"] = 4
            self._t2 = self._fit(X_train, y_train, **kwargs)
            self._time_per_iter = (
                (self._t2 - self._t1) / (self.params["n_estimators"] - 1)
                if self._t2 > self._t1
                else self._t1
                if self._t1
                else 0.001
            )
            self._train_size = X_train.shape[0]
            if self._t1 + self._t2 >= budget or n_iter == self.params["n_estimators"]:
                self.params["n_estimators"] = n_iter
                return time.time() - start_time
        if budget is not None:
            self.params["n_estimators"] = min(
                n_iter,
                int(
                    (budget - time.time() + start_time - self._t1) / self._time_per_iter
                    + 1
                ),
            )
        if self.params["n_estimators"] > 0:
            self._fit(X_train, y_train, **kwargs)
        self.params["n_estimators"] = n_iter
        train_time = time.time() - start_time
        return train_time


class XGBoostEstimator(SKLearnEstimator):
    """not using sklearn API, used for regression"""

    @classmethod
    def search_space(cls, data_size, **params):
        upper = min(32768, int(data_size))
        return {
            "n_estimators": {
                "domain": tune.lograndint(lower=4, upper=upper),
                "init_value": 4,
                "low_cost_init_value": 4,
            },
            "max_leaves": {
                "domain": tune.lograndint(lower=4, upper=upper),
                "init_value": 4,
                "low_cost_init_value": 4,
            },
            "min_child_weight": {
                "domain": tune.loguniform(lower=0.001, upper=128),
                "init_value": 1,
            },
            "learning_rate": {
                "domain": tune.loguniform(lower=1 / 1024, upper=1.0),
                "init_value": 0.1,
            },
            "subsample": {
                "domain": tune.uniform(lower=0.1, upper=1.0),
                "init_value": 1.0,
            },
            "colsample_bylevel": {
                "domain": tune.uniform(lower=0.01, upper=1.0),
                "init_value": 1.0,
            },
            "colsample_bytree": {
                "domain": tune.uniform(lower=0.01, upper=1.0),
                "init_value": 1.0,
            },
            "reg_alpha": {
                "domain": tune.loguniform(lower=1 / 1024, upper=1024),
                "init_value": 1 / 1024,
            },
            "reg_lambda": {
                "domain": tune.loguniform(lower=1 / 1024, upper=1024),
                "init_value": 1.0,
            },
        }

    @classmethod
    def size(cls, config):
        return LGBMEstimator.size(config)

    @classmethod
    def cost_relative2lgbm(cls):
        return 1.6

    def __init__(
        self,
        task="regression",
        all_thread=False,
        n_jobs=1,
        n_estimators=4,
        max_leaves=4,
        subsample=1.0,
        min_child_weight=1,
        learning_rate=0.1,
        reg_lambda=1.0,
        reg_alpha=0.0,
        colsample_bylevel=1.0,
        colsample_bytree=1.0,
        tree_method="auto",
        **params,
    ):
        super().__init__(task, **params)
        self._n_estimators = int(round(n_estimators))
        self.params.update(
            {
                "max_leaves": int(round(max_leaves)),
                "max_depth": params.get("max_depth", 0),
                "grow_policy": params.get("grow_policy", "lossguide"),
                "tree_method": tree_method,
                "verbosity": params.get("verbosity", 0),
                "nthread": n_jobs,
                "learning_rate": float(learning_rate),
                "subsample": float(subsample),
                "reg_alpha": float(reg_alpha),
                "reg_lambda": float(reg_lambda),
                "min_child_weight": float(min_child_weight),
                "booster": params.get("booster", "gbtree"),
                "colsample_bylevel": float(colsample_bylevel),
                "colsample_bytree": float(colsample_bytree),
                "objective": params.get("objective"),
            }
        )
        if all_thread:
            del self.params["nthread"]

    def get_params(self, deep=False):
        params = super().get_params()
        params["n_jobs"] = params["nthread"]
        return params

    def fit(self, X_train, y_train, budget=None, **kwargs):
        start_time = time.time()
        if not issparse(X_train):
            self.params["tree_method"] = "hist"
            X_train = self._preprocess(X_train)
        if "sample_weight" in kwargs:
            dtrain = xgb.DMatrix(X_train, label=y_train, weight=kwargs["sample_weight"])
        else:
            dtrain = xgb.DMatrix(X_train, label=y_train)

        objective = self.params.get("objective")
        if isinstance(objective, str):
            obj = None
        else:
            obj = objective
            if "objective" in self.params:
                del self.params["objective"]
        self._model = xgb.train(self.params, dtrain, self._n_estimators, obj=obj)
        self.params["objective"] = objective
        del dtrain
        train_time = time.time() - start_time
        return train_time

    def predict(self, X_test):
        if not issparse(X_test):
            X_test = self._preprocess(X_test)
        dtest = xgb.DMatrix(X_test)
        return super().predict(dtest)


class XGBoostSklearnEstimator(SKLearnEstimator, LGBMEstimator):
    """using sklearn API, used for classification"""

    @classmethod
    def search_space(cls, data_size, **params):
        return XGBoostEstimator.search_space(data_size)

    @classmethod
    def cost_relative2lgbm(cls):
        return XGBoostEstimator.cost_relative2lgbm()

    def __init__(
        self,
        task="binary",
        n_jobs=1,
        n_estimators=4,
        max_leaves=4,
        subsample=1.0,
        min_child_weight=1,
        learning_rate=0.1,
        reg_lambda=1.0,
        reg_alpha=0.0,
        colsample_bylevel=1.0,
        colsample_bytree=1.0,
        tree_method="hist",
        **params,
    ):
        super().__init__(task, **params)
        del self.params["objective"]
        del self.params["max_bin"]
        del self.params["verbose"]
        self.params.update(
            {
                "n_estimators": int(round(n_estimators)),
                "max_leaves": int(round(max_leaves)),
                "max_depth": 0,
                "grow_policy": params.get("grow_policy", "lossguide"),
                "tree_method": tree_method,
                "n_jobs": n_jobs,
                "verbosity": 0,
                "learning_rate": float(learning_rate),
                "subsample": float(subsample),
                "reg_alpha": float(reg_alpha),
                "reg_lambda": float(reg_lambda),
                "min_child_weight": float(min_child_weight),
                "booster": params.get("booster", "gbtree"),
                "colsample_bylevel": float(colsample_bylevel),
                "colsample_bytree": float(colsample_bytree),
                "use_label_encoder": params.get("use_label_encoder", False),
            }
        )

        self.estimator_class = xgb.XGBRegressor
        if "rank" == task:
            self.estimator_class = xgb.XGBRanker
        elif task in ("binary", "multi"):
            self.estimator_class = xgb.XGBClassifier
        self._time_per_iter = None
        self._train_size = 0

    def fit(self, X_train, y_train, budget=None, **kwargs):
        if issparse(X_train):
            self.params["tree_method"] = "auto"
        return super().fit(X_train, y_train, budget, **kwargs)


class RandomForestEstimator(SKLearnEstimator, LGBMEstimator):
    @classmethod
    def search_space(cls, data_size, task, **params):
        data_size = int(data_size)
        upper = min(2048, data_size)
        space = {
            "n_estimators": {
                "domain": tune.lograndint(lower=4, upper=upper),
                "init_value": 4,
                "low_cost_init_value": 4,
            },
            "max_features": {
                "domain": tune.loguniform(lower=0.1, upper=1.0),
                "init_value": 1.0,
            },
            "max_leaves": {
                "domain": tune.lograndint(lower=4, upper=min(32768, data_size)),
                "init_value": 4,
                "low_cost_init_value": 4,
            },
        }
        if task in ("binary", "multi"):
            space["criterion"] = {
                "domain": tune.choice(["gini", "entropy"]),
                # 'init_value': 'gini',
            }
        return space

    @classmethod
    def cost_relative2lgbm(cls):
        return 2.0

    def __init__(
        self,
        task="binary",
        n_jobs=1,
        n_estimators=4,
        max_features=1.0,
        criterion="gini",
        max_leaves=4,
        **params,
    ):
        super().__init__(task, **params)
        del self.params["objective"]
        del self.params["max_bin"]
        self.params.update(
            {
                "n_estimators": int(round(n_estimators)),
                "n_jobs": n_jobs,
                "verbose": 0,
                "max_features": float(max_features),
                "max_leaf_nodes": params.get("max_leaf_nodes", int(round(max_leaves))),
            }
        )
        self.estimator_class = RandomForestRegressor
        if task in ("binary", "multi"):
            self.estimator_class = RandomForestClassifier
            self.params["criterion"] = criterion

    def get_params(self, deep=False):
        params = super().get_params()
        return params


class ExtraTreeEstimator(RandomForestEstimator):
    @classmethod
    def cost_relative2lgbm(cls):
        return 1.9

    def __init__(self, task="binary", **params):
        super().__init__(task, **params)
        if "regression" in task:
            self.estimator_class = ExtraTreesRegressor
        else:
            self.estimator_class = ExtraTreesClassifier


class LRL1Classifier(SKLearnEstimator):
    @classmethod
    def search_space(cls, **params):
        return {
            "C": {
                "domain": tune.loguniform(lower=0.03125, upper=32768.0),
                "init_value": 1.0,
            },
        }

    @classmethod
    def cost_relative2lgbm(cls):
        return 160

    def __init__(self, task="binary", n_jobs=1, tol=0.0001, C=1.0, **params):
        super().__init__(task, **params)
        self.params.update(
            {
                "penalty": params.get("penalty", "l1"),
                "tol": float(tol),
                "C": float(C),
                "solver": params.get("solver", "saga"),
                "n_jobs": n_jobs,
            }
        )
        assert task in (
            "binary",
            "multi",
        ), "LogisticRegression for classification task only"
        self.estimator_class = LogisticRegression


class LRL2Classifier(SKLearnEstimator):
    @classmethod
    def search_space(cls, **params):
        return LRL1Classifier.search_space(**params)

    @classmethod
    def cost_relative2lgbm(cls):
        return 25

    def __init__(self, task="binary", n_jobs=1, tol=0.0001, C=1.0, **params):
        super().__init__(task, **params)
        self.params.update(
            {
                "penalty": params.get("penalty", "l2"),
                "tol": float(tol),
                "C": float(C),
                "solver": params.get("solver", "lbfgs"),
                "n_jobs": n_jobs,
            }
        )
        assert task in (
            "binary",
            "multi",
        ), "LogisticRegression for classification task only"
        self.estimator_class = LogisticRegression


class CatBoostEstimator(BaseEstimator):
    _time_per_iter = None
    _train_size = 0

    @classmethod
    def search_space(cls, data_size, **params):
        upper = max(min(round(1500000 / data_size), 150), 12)
        return {
            "early_stopping_rounds": {
                "domain": tune.lograndint(lower=10, upper=upper),
                "init_value": 10,
                "low_cost_init_value": 10,
            },
            "learning_rate": {
                "domain": tune.loguniform(lower=0.005, upper=0.2),
                "init_value": 0.1,
            },
        }

    @classmethod
    def size(cls, config):
        n_estimators = 8192
        max_leaves = 64
        return (max_leaves * 3 + (max_leaves - 1) * 4 + 1.0) * n_estimators * 8

    @classmethod
    def cost_relative2lgbm(cls):
        return 15

    @classmethod
    def init(cls):
        CatBoostEstimator._time_per_iter = None
        CatBoostEstimator._train_size = 0

    def _preprocess(self, X):
        if isinstance(X, pd.DataFrame):
            cat_columns = X.select_dtypes(include=["category"]).columns
            if not cat_columns.empty:
                X = X.copy()
                X[cat_columns] = X[cat_columns].apply(
                    lambda x: x.cat.rename_categories(
                        [
                            str(c) if isinstance(c, float) else c
                            for c in x.cat.categories
                        ]
                    )
                )
        elif isinstance(X, np.ndarray) and X.dtype.kind not in "buif":
            # numpy array is not of numeric dtype
            X = pd.DataFrame(X)
            for col in X.columns:
                if isinstance(X[col][0], str):
                    X[col] = X[col].astype("category").cat.codes
            X = X.to_numpy()
        return X

    def __init__(
        self,
        task="binary",
        n_jobs=1,
        n_estimators=8192,
        learning_rate=0.1,
        early_stopping_rounds=4,
        **params,
    ):
        super().__init__(task, **params)
        self.params.update(
            {
                "early_stopping_rounds": int(round(early_stopping_rounds)),
                "n_estimators": n_estimators,
                "learning_rate": learning_rate,
                "thread_count": n_jobs,
                "verbose": params.get("verbose", False),
                "random_seed": params.get("random_seed", 10242048),
            }
        )
        from catboost import CatBoostRegressor

        self.estimator_class = CatBoostRegressor
        if task in ("binary", "multi"):
            from catboost import CatBoostClassifier

            self.estimator_class = CatBoostClassifier

    def get_params(self, deep=False):
        params = super().get_params()
        params["n_jobs"] = params["thread_count"]
        return params

    def fit(self, X_train, y_train, budget=None, **kwargs):
        import shutil

        start_time = time.time()
        train_dir = f"catboost_{str(start_time)}"
        n_iter = self.params["n_estimators"]
        X_train = self._preprocess(X_train)
        if isinstance(X_train, pd.DataFrame):
            cat_features = list(X_train.select_dtypes(include="category").columns)
        else:
            cat_features = []
        # from catboost import CatBoostError
        # try:
        if (
            not CatBoostEstimator._time_per_iter
            or abs(CatBoostEstimator._train_size - len(y_train)) > 4
        ) and budget:
            # measure the time per iteration
            self.params["n_estimators"] = 1
            CatBoostEstimator._smallmodel = self.estimator_class(
                train_dir=train_dir, **self.params
            )
            CatBoostEstimator._smallmodel.fit(
                X_train, y_train, cat_features=cat_features, **kwargs
            )
            CatBoostEstimator._t1 = time.time() - start_time
            if CatBoostEstimator._t1 >= budget:
                self.params["n_estimators"] = n_iter
                self._model = CatBoostEstimator._smallmodel
                shutil.rmtree(train_dir, ignore_errors=True)
                return CatBoostEstimator._t1
            self.params["n_estimators"] = 4
            CatBoostEstimator._smallmodel = self.estimator_class(
                train_dir=train_dir, **self.params
            )
            CatBoostEstimator._smallmodel.fit(
                X_train, y_train, cat_features=cat_features, **kwargs
            )
            CatBoostEstimator._time_per_iter = (
                time.time() - start_time - CatBoostEstimator._t1
            ) / (self.params["n_estimators"] - 1)
            if CatBoostEstimator._time_per_iter <= 0:
                CatBoostEstimator._time_per_iter = CatBoostEstimator._t1
            CatBoostEstimator._train_size = len(y_train)
            if (
                time.time() - start_time >= budget
                or n_iter == self.params["n_estimators"]
            ):
                self.params["n_estimators"] = n_iter
                self._model = CatBoostEstimator._smallmodel
                shutil.rmtree(train_dir, ignore_errors=True)
                return time.time() - start_time
        if budget:
            train_times = 1
            self.params["n_estimators"] = min(
                n_iter,
                int(
                    (budget - time.time() + start_time - CatBoostEstimator._t1)
                    / train_times
                    / CatBoostEstimator._time_per_iter
                    + 1
                ),
            )
            self._model = CatBoostEstimator._smallmodel
        if self.params["n_estimators"] > 0:
            n = max(int(len(y_train) * 0.9), len(y_train) - 1000)
            X_tr, y_tr = X_train[:n], y_train[:n]
            if "sample_weight" in kwargs:
                weight = kwargs["sample_weight"]
                if weight is not None:
                    kwargs["sample_weight"] = weight[:n]
            else:
                weight = None
            from catboost import Pool

            model = self.estimator_class(train_dir=train_dir, **self.params)
            model.fit(
                X_tr,
                y_tr,
                cat_features=cat_features,
                eval_set=Pool(
                    data=X_train[n:], label=y_train[n:], cat_features=cat_features
                ),
                **kwargs,
            )  # model.get_best_iteration()
            shutil.rmtree(train_dir, ignore_errors=True)
            if weight is not None:
                kwargs["sample_weight"] = weight
            self._model = model
        # except CatBoostError:
        #     self._model = None
        self.params["n_estimators"] = n_iter
        train_time = time.time() - start_time
        return train_time


class KNeighborsEstimator(BaseEstimator):
    @classmethod
    def search_space(cls, data_size, **params):
        upper = min(512, int(data_size / 2))
        return {
            "n_neighbors": {
                "domain": tune.lograndint(lower=1, upper=upper),
                "init_value": 5,
                "low_cost_init_value": 1,
            },
        }

    @classmethod
    def cost_relative2lgbm(cls):
        return 30

    def __init__(self, task="binary", n_jobs=1, n_neighbors=5, **params):
        super().__init__(task, **params)
        self.params.update(
            {
                "n_neighbors": int(round(n_neighbors)),
                "weights": params.get("weights", "distance"),
                "n_jobs": n_jobs,
            }
        )
        from sklearn.neighbors import KNeighborsRegressor

        self.estimator_class = KNeighborsRegressor
        if task in ("binary", "multi"):
            from sklearn.neighbors import KNeighborsClassifier

            self.estimator_class = KNeighborsClassifier

    def _preprocess(self, X):
        if isinstance(X, pd.DataFrame):
            cat_columns = X.select_dtypes(["category"]).columns
            if X.shape[1] == len(cat_columns):
                raise ValueError("kneighbor requires at least one numeric feature")
            X = X.drop(cat_columns, axis=1)
        elif isinstance(X, np.ndarray) and X.dtype.kind not in "buif":
            # drop categocial columns if any
            X = pd.DataFrame(X)
            cat_columns = []
            for col in X.columns:
                if isinstance(X[col][0], str):
                    cat_columns.append(col)
            X = X.drop(cat_columns, axis=1)
            X = X.to_numpy()
        return X


class Prophet(BaseEstimator):
    @classmethod
    def search_space(cls, **params):
        space = {
            "changepoint_prior_scale": {
                "domain": tune.loguniform(lower=0.001, upper=1000),
                "init_value": 0.01,
                "low_cost_init_value": 0.001,
            },
            "seasonality_prior_scale": {
                "domain": tune.loguniform(lower=0.01, upper=100),
                "init_value": 1,
            },
            "holidays_prior_scale": {
                "domain": tune.loguniform(lower=0.01, upper=100),
                "init_value": 1,
            },
            "seasonality_mode": {
                "domain": tune.choice(["additive", "multiplicative"]),
                "init_value": "multiplicative",
            },
        }
        return space

    def __init__(self, task="forecast", **params):
        if "n_jobs" in params:
            params.pop("n_jobs")
        super().__init__(task, **params)

    def _join(self, X_train, y_train):
        assert "ds" in X_train, (
            "Dataframe for training forecast model must have column"
            ' "ds" with the dates in X_train.'
        )
        y_train = pd.DataFrame(y_train, columns=["y"])
        train_df = X_train.join(y_train)
        return train_df

    def fit(self, X_train, y_train, budget=None, **kwargs):
        from prophet import Prophet

        current_time = time.time()
        train_df = self._join(X_train, y_train)
        model = Prophet(**self.params).fit(train_df)
        train_time = time.time() - current_time
        self._model = model
        return train_time

    def predict(self, X_test):
        if isinstance(X_test, int):
            raise ValueError(
                "predict() with steps is only supported for arima/sarimax."
                " For Prophet, pass a dataframe with a date colum named ds."
            )
        if self._model is not None:
            forecast = self._model.predict(X_test)
            return forecast["yhat"]
        else:
            logger.warning(
                "Estimator is not fit yet. Please run fit() before predict()."
            )
            return np.ones(X_test.shape[0])


class ARIMA(Prophet):
    @classmethod
    def search_space(cls, **params):
        space = {
            "p": {
                "domain": tune.quniform(lower=0, upper=10, q=1),
                "init_value": 2,
                "low_cost_init_value": 0,
            },
            "d": {
                "domain": tune.quniform(lower=0, upper=10, q=1),
                "init_value": 2,
                "low_cost_init_value": 0,
            },
            "q": {
                "domain": tune.quniform(lower=0, upper=10, q=1),
                "init_value": 2,
                "low_cost_init_value": 0,
            },
        }
        return space

    def _join(self, X_train, y_train):
        train_df = super()._join(X_train, y_train)
        train_df.index = pd.to_datetime(train_df["ds"])
        train_df = train_df.drop("ds", axis=1)
        return train_df

    def fit(self, X_train, y_train, budget=None, **kwargs):
        import warnings

        warnings.filterwarnings("ignore")
        from statsmodels.tsa.arima.model import ARIMA as ARIMA_estimator

        current_time = time.time()
        train_df = self._join(X_train, y_train)
        model = ARIMA_estimator(
            train_df,
            order=(self.params["p"], self.params["d"], self.params["q"]),
            enforce_stationarity=False,
            enforce_invertibility=False,
        )
        model = model.fit()
        train_time = time.time() - current_time
        self._model = model
        return train_time

    def predict(self, X_test):
        if self._model is not None:
            if isinstance(X_test, int):
                forecast = self._model.forecast(steps=X_test)
            elif isinstance(X_test, pd.DataFrame):
                start = X_test.iloc[0, 0]
                end = X_test.iloc[-1, 0]
                forecast = self._model.predict(start=start, end=end)
            else:
                raise ValueError(
                    "X_test needs to be either a pd.Dataframe with dates as column ds)"
                    " or an int number of periods for predict()."
                )
            return forecast
        else:
            return np.ones(X_test if isinstance(X_test, int) else X_test.shape[0])


class SARIMAX(ARIMA):
    @classmethod
    def search_space(cls, **params):
        space = {
            "p": {
                "domain": tune.quniform(lower=0, upper=10, q=1),
                "init_value": 2,
                "low_cost_init_value": 0,
            },
            "d": {
                "domain": tune.quniform(lower=0, upper=10, q=1),
                "init_value": 2,
                "low_cost_init_value": 0,
            },
            "q": {
                "domain": tune.quniform(lower=0, upper=10, q=1),
                "init_value": 2,
                "low_cost_init_value": 0,
            },
            "P": {
                "domain": tune.quniform(lower=0, upper=10, q=1),
                "init_value": 1,
                "low_cost_init_value": 0,
            },
            "D": {
                "domain": tune.quniform(lower=0, upper=10, q=1),
                "init_value": 1,
                "low_cost_init_value": 0,
            },
            "Q": {
                "domain": tune.quniform(lower=0, upper=10, q=1),
                "init_value": 1,
                "low_cost_init_value": 0,
            },
            "s": {
                "domain": tune.choice([1, 4, 6, 12]),
                "init_value": 12,
            },
        }
        return space

    def fit(self, X_train, y_train, budget=None, **kwargs):
        from statsmodels.tsa.statespace.sarimax import SARIMAX as SARIMAX_estimator

        current_time = time.time()
        train_df = self._join(X_train, y_train)
        model = SARIMAX_estimator(
            train_df,
            order=(self.params["p"], self.params["d"], self.params["q"]),
            seasonality_order=(
                self.params["P"],
                self.params["D"],
                self.params["Q"],
                self.params["s"],
            ),
            enforce_stationarity=False,
            enforce_invertibility=False,
        )
        model = model.fit()
        train_time = time.time() - current_time
        self._model = model
        return train_time