constraints (#88)

* pre-training constraints

* metric constraints after training

flaml/automl.py

@@ -1036,9 +1036,8 @@ class AutoML:
                         prune_attr=prune_attr,
                         min_resource=min_resource,
                         max_resource=max_resource,
-                        resources_per_trial={"cpu": self._state.n_jobs,
-                                             "mem": self._mem_thres},
-                        mem_size=learner_class.size)
+                        config_constraints=[(learner_class.size, '<=', self._mem_thres)]
+                    )
                 else:
                     algo = SearchAlgo(
                         metric='val_loss', mode='min', space=search_space,

flaml/data.py

@@ -237,8 +237,8 @@ class DataTransformer:
                     SimpleImputer(missing_values=np.nan, strategy='median'),
                     X_num.columns)])
                 X[num_columns] = self.transformer.fit_transform(X_num)
-            self._cat_columns, self._num_columns, self._datetime_columns = cat_columns, \
-                                                                           num_columns, datetime_columns
+            self._cat_columns, self._num_columns, self._datetime_columns = \
+                cat_columns, num_columns, datetime_columns
             self._drop = drop
 
         if task == 'regression':
@@ -275,4 +275,3 @@ class DataTransformer:
                     X_num.columns = range(X_num.shape[1])
                 X[num_columns] = self.transformer.transform(X_num)
         return X
-

flaml/searcher/blendsearch.py

@@ -39,9 +39,11 @@ class BlendSearch(Searcher):
                  min_resource: Optional[float] = None,
                  max_resource: Optional[float] = None,
                  reduction_factor: Optional[float] = None,
-                 resources_per_trial: Optional[dict] = None,
                  global_search_alg: Optional[Searcher] = None,
-                 mem_size: Callable[[dict], float] = None,
+                 config_constraints: Optional[
+                     List[Tuple[Callable[[dict], float], str, float]]] = None,
+                 metric_constraints: Optional[
+                     List[Tuple[str, str, float]]] = None,
                  seed: Optional[int] = 20):
         '''Constructor
 
@@ -82,14 +84,23 @@ class BlendSearch(Searcher):
                 prune_attr; only valid if prune_attr is not in space.
             reduction_factor: A float of the reduction factor used for
                 incremental pruning.
-            resources_per_trial: A dictionary of the resources permitted per
-                trial, such as 'mem'.
             global_search_alg: A Searcher instance as the global search
                 instance. If omitted, Optuna is used. The following algos have
                 known issues when used as global_search_alg:
                 - HyperOptSearch raises exception sometimes
                 - TuneBOHB has its own scheduler
-            mem_size: A function to estimate the memory size for a given config.
+            config_constraints: A list of config constraints to be satisfied.
+                e.g.,
+
+                .. code-block: python
+
+                    config_constraints = [(mem_size, '<=', 1024**3)]
+
+                mem_size is a function which produces a float number for the bytes
+                needed for a config.
+                It is used to skip configs which do not fit in memory.
+            metric_constraints: A list of metric constraints to be satisfied.
+                e.g., `['precision', '>=', 0.9]`
             seed: An integer of the random seed.
         '''
         self._metric, self._mode = metric, mode
@@ -104,10 +115,8 @@ class BlendSearch(Searcher):
         self._ls = LocalSearch(
             init_config, metric, mode, cat_hp_cost, space,
             prune_attr, min_resource, max_resource, reduction_factor, seed)
-        self._resources_per_trial = resources_per_trial
-        self._mem_size = mem_size
-        self._mem_threshold = resources_per_trial.get(
-            'mem') if resources_per_trial else None
+        self._config_constraints = config_constraints
+        self._metric_constraints = metric_constraints
         self._init_search()
 
     def set_search_properties(self,
@@ -171,9 +180,8 @@ class BlendSearch(Searcher):
         self._points_to_evaluate = state._points_to_evaluate
         self._gs = state._gs
         self._ls = state._ls
-        self._resources_per_trial = state._resources_per_trial
-        self._mem_size = state._mem_size
-        self._mem_threshold = state._mem_threshold
+        self._config_constraints = state._config_constraints
+        self._metric_constraints = state._metric_constraints
 
     def restore_from_dir(self, checkpoint_dir: str):
         super.restore_from_dir(checkpoint_dir)
@@ -182,6 +190,20 @@ class BlendSearch(Searcher):
                           error: bool = False):
         ''' search thread updater and cleaner
         '''
+        if result and not error and self._metric_constraints:
+            # accout for metric constraints if any
+            objective = result[self._metric]
+            for constraint in self._metric_constraints:
+                metric_constraint, sign, threshold = constraint
+                value = result.get(metric_constraint)
+                if value:
+                    # sign is <= or >=
+                    sign_op = 1 if sign == '<=' else -1
+                    violation = (value - threshold) * sign_op
+                    if violation > 0:
+                        # add penalty term to the metric
+                        objective += 1e+10 * violation * self._ls.metric_op
+            result[self._metric] = objective
         thread_id = self._trial_proposed_by.get(trial_id)
         if thread_id in self._search_thread_pool:
             self._search_thread_pool[thread_id].on_trial_complete(
@@ -196,23 +218,24 @@ class BlendSearch(Searcher):
                 del self._result[self._ls.config_signature(config)]
             else:  # add to result cache
                 self._result[self._ls.config_signature(config)] = result
-            # update target metric if improved
-            if (result[self._metric] - self._metric_target) * self._ls.metric_op < 0:
-                self._metric_target = result[self._metric]
-            if not thread_id and self._create_condition(result):
-                # thread creator
-                self._search_thread_pool[self._thread_count] = SearchThread(
-                    self._ls.mode,
-                    self._ls.create(config, result[self._metric], cost=result[
-                        self.cost_attr])
-                )
-                thread_id = self._thread_count
-                self._thread_count += 1
-                self._update_admissible_region(
-                    config, self._ls_bound_min, self._ls_bound_max)
-            # reset admissible region to ls bounding box
-            self._gs_admissible_min.update(self._ls_bound_min)
-            self._gs_admissible_max.update(self._ls_bound_max)
+                # update target metric if improved
+                objective = result[self._metric]
+                if (objective - self._metric_target) * self._ls.metric_op < 0:
+                    self._metric_target = objective
+                if not thread_id and self._create_condition(result):
+                    # thread creator
+                    self._search_thread_pool[self._thread_count] = SearchThread(
+                        self._ls.mode,
+                        self._ls.create(
+                            config, objective, cost=result[self.cost_attr])
+                    )
+                    thread_id = self._thread_count
+                    self._thread_count += 1
+                    self._update_admissible_region(
+                        config, self._ls_bound_min, self._ls_bound_max)
+                # reset admissible region to ls bounding box
+                self._gs_admissible_min.update(self._ls_bound_min)
+                self._gs_admissible_max.update(self._ls_bound_max)
         # cleaner
         if thread_id and thread_id in self._search_thread_pool:
             # local search thread
@@ -262,7 +285,7 @@ class BlendSearch(Searcher):
     def _expand_admissible_region(self):
         for key in self._ls_bound_max:
             self._ls_bound_max[key] += self._ls.STEPSIZE
-            self._ls_bound_min[key] -= self._ls.STEPSIZE        
+            self._ls_bound_min[key] -= self._ls.STEPSIZE
 
     def _inferior(self, id1: int, id2: int) -> bool:
         ''' whether thread id1 is inferior to id2
@@ -362,20 +385,26 @@ class BlendSearch(Searcher):
         return config
 
     def _should_skip(self, choice, trial_id, config) -> bool:
-        ''' if config is None or config's result is known or above mem threshold
+        ''' if config is None or config's result is known or constraints are violated
             return True; o.w. return False
         '''
         if config is None:
             return True
         config_signature = self._ls.config_signature(config)
         exists = config_signature in self._result
-        # check mem constraint
-        if not exists and self._mem_threshold and self._mem_size(
-                config) > self._mem_threshold:
-            self._result[config_signature] = {
-                self._metric: np.inf * self._ls.metric_op, 'time_total_s': 1
-            }
-            exists = True
+        # check constraints
+        if not exists and self._config_constraints:
+            for constraint in self._config_constraints:
+                func, sign, threshold = constraint
+                value = func(config)
+                if (sign == '<=' and value > threshold
+                        or sign == '>=' and value < threshold):
+                    self._result[config_signature] = {
+                        self._metric: np.inf * self._ls.metric_op,
+                        'time_total_s': 1,
+                    }
+                    exists = True
+                    break
         if exists:
             if not self._use_rs:
                 result = self._result.get(config_signature)

flaml/searcher/flow2.py

@@ -544,7 +544,7 @@ class FLOW2(Searcher):
         self._configs[trial_id] = (config, self.step)
         self._num_proposedby_incumbent += 1
         if self._init_phrase:
-            if self._direction_tried is None:            
+            if self._direction_tried is None:
                 if self._same:
                     # check if the new config is different from self.best_config
                     same = True
@@ -566,17 +566,17 @@ class FLOW2(Searcher):
                         break
                 self._same = same
         if self._num_proposedby_incumbent == self.dir and (
-            not self._resource or self._resource == self.max_resource):
-                # check stuck condition if using max resource
-                self._num_proposedby_incumbent -= 2
-                self._init_phrase = False
-                if self.step >= self.step_lower_bound:
-                    # decrease step size
-                    self._oldK = self._K if self._K else self._iter_best_config
-                    self._K = self.trial_count_proposed + 1
-                    self.step *= np.sqrt(self._oldK / self._K)
-                else:
-                    return None
+                not self._resource or self._resource == self.max_resource):
+            # check stuck condition if using max resource
+            self._num_proposedby_incumbent -= 2
+            self._init_phrase = False
+            if self.step >= self.step_lower_bound:
+                # decrease step size
+                self._oldK = self._K if self._K else self._iter_best_config
+                self._K = self.trial_count_proposed + 1
+                self.step *= np.sqrt(self._oldK / self._K)
+            else:
+                return None
         return unflatten_dict(config)
 
     def _project(self, config):

flaml/tune/tune.py

@@ -3,7 +3,7 @@
  * Licensed under the MIT License. See LICENSE file in the
  * project root for license information.
 '''
-from typing import Optional, Union, List, Callable
+from typing import Optional, Union, List, Callable, Tuple
 import datetime
 import time
 try:
@@ -118,7 +118,10 @@ def run(training_function,
         local_dir: Optional[str] = None,
         num_samples: Optional[int] = 1,
         resources_per_trial: Optional[dict] = None,
-        mem_size: Callable[[dict], float] = None,
+        config_constraints: Optional[
+            List[Tuple[Callable[[dict], float], str, float]]] = None,
+        metric_constraints: Optional[
+            List[Tuple[str, str, float]]] = None,
         use_ray: Optional[bool] = False):
     '''The trigger for HPO.
 
@@ -210,11 +213,19 @@ def run(training_function,
             used; or a local dir to save the tuning log.
         num_samples: An integer of the number of configs to try. Defaults to 1.
         resources_per_trial: A dictionary of the hardware resources to allocate
-            per trial, e.g., `{'mem': 1024**3}`. When not using ray backend,
-            only 'mem' is used as approximate resource constraints
-            (in conjunction with mem_size).
-        mem_size: A function to estimate the memory size for a given config.
+            per trial, e.g., `{'cpu': 1}`. Only valid when using ray backend.
+        config_constraints: A list of config constraints to be satisfied.
+            e.g.,
+
+            .. code-block: python
+
+                config_constraints = [(mem_size, '<=', 1024**3)]
+
+            mem_size is a function which produces a float number for the bytes
+            needed for a config.
             It is used to skip configs which do not fit in memory.
+        metric_constraints: A list of metric constraints to be satisfied.
+            e.g., `['precision', '>=', 0.9]`
         use_ray: A boolean of whether to use ray as the backend
     '''
     global _use_ray
@@ -252,8 +263,8 @@ def run(training_function,
             prune_attr=prune_attr,
             min_resource=min_resource, max_resource=max_resource,
             reduction_factor=reduction_factor,
-            resources_per_trial=resources_per_trial,
-            mem_size=mem_size)
+            config_constraints=config_constraints,
+            metric_constraints=metric_constraints)
     if time_budget_s:
         search_alg.set_search_properties(metric, mode, config={
             'time_budget_s': time_budget_s})

flaml/version.py

@@ -1 +1 @@
-__version__ = "0.3.6"
+__version__ = "0.4.0"

test/test_automl.py

@@ -70,7 +70,7 @@ class MyRegularizedGreedyForest(SKLearnEstimator):
 
 def logregobj(preds, dtrain):
     labels = dtrain.get_label()
-    preds = 1.0 / (1.0 + np.exp(-preds)) # transform raw leaf weight
+    preds = 1.0 / (1.0 + np.exp(-preds))  # transform raw leaf weight
     grad = preds - labels
     hess = preds * (1.0 - preds)
     return grad, hess
@@ -81,7 +81,7 @@ class MyXGB1(XGBoostEstimator):
     '''
 
     def __init__(self, **params):
-        super().__init__(objective=logregobj, **params) 
+        super().__init__(objective=logregobj, **params)
 
 
 class MyXGB2(XGBoostEstimator):
@@ -226,32 +226,34 @@ class TestAutoML(unittest.TestCase):
 
         automl_experiment = AutoML()
         automl_settings = {
-            "time_budget":         2,
-            "metric":              'mse',
-            "task":                'regression',
-            "log_file_name":       "test/datetime_columns.log",
+            "time_budget": 2,
+            "metric": 'mse',
+            "task": 'regression',
+            "log_file_name": "test/datetime_columns.log",
             "log_training_metric": True,
-            "n_jobs":              1,
-            "model_history":       True
+            "n_jobs": 1,
+            "model_history": True
         }
 
         fake_df = pd.DataFrame({'A': [datetime(1900, 2, 3), datetime(1900, 3, 4)]})
         y = np.array([0, 1])
-        automl_experiment.fit(X_train=fake_df, X_val=fake_df, y_train=y, y_val=y, **automl_settings)
+        automl_experiment.fit(
+            X_train=fake_df, X_val=fake_df, y_train=y, y_val=y, **automl_settings)
 
         y_pred = automl_experiment.predict(fake_df)
+        print(y_pred)
 
     def test_micro_macro_f1(self):
         automl_experiment = AutoML()
         automl_experiment_macro = AutoML()
 
         automl_settings = {
-            "time_budget":         2,
-            "task":                'classification',
-            "log_file_name":       "test/micro_macro_f1.log",
+            "time_budget": 2,
+            "task": 'classification',
+            "log_file_name": "test/micro_macro_f1.log",
             "log_training_metric": True,
-            "n_jobs":              1,
-            "model_history":       True
+            "n_jobs": 1,
+            "model_history": True
         }
 
         X_train, y_train = load_iris(return_X_y=True)

test/tune/test_tune.py

@@ -1,19 +1,21 @@
 '''Require: pip install flaml[test,ray]
 '''
-import unittest
 import time
+import os
 from sklearn.model_selection import train_test_split
 import sklearn.metrics
 import sklearn.datasets
 try:
     from ray.tune.integration.xgboost import TuneReportCheckpointCallback
 except ImportError:
-    print("skip test_tune because ray tune cannot be imported.")
+    print("skip test_xgboost because ray tune cannot be imported.")
 import xgboost as xgb
 
 import logging
 logger = logging.getLogger(__name__)
-logger.addHandler(logging.FileHandler('test/tune_xgboost.log'))
+os.makedirs('logs', exist_ok=True)
+logger.addHandler(logging.FileHandler('logs/tune_xgboost.log'))
+logger.setLevel(logging.INFO)
 
 
 def train_breast_cancer(config: dict):
@@ -61,6 +63,7 @@ def _test_xgboost(method='BlendSearch'):
         for n_cpu in [8]:
             start_time = time.time()
             ray.init(num_cpus=n_cpu, num_gpus=0)
+            # ray.init(address='auto')
             if method == 'BlendSearch':
                 analysis = tune.run(
                     train_breast_cancer,
@@ -163,21 +166,28 @@ def test_nested():
     }
 
     def simple_func(config):
-        tune.report(metric=(config["cost_related"]["a"] - 4)**2
-                    * (config["b"] - 0.7)**2)
+        obj = (config["cost_related"]["a"] - 4)**2 \
+            + (config["b"] - config["cost_related"]["a"])**2
+        tune.report(obj=obj)
+        tune.report(obj=obj, ab=config["cost_related"]["a"] * config["b"])
 
-    tune.run(
+    analysis = tune.run(
         simple_func,
         config=search_space,
         low_cost_partial_config={
             "cost_related": {"a": 1}
         },
-        metric="metric",
+        metric="obj",
         mode="min",
+        metric_constraints=[("ab", "<=", 4)],
         local_dir='logs/',
         num_samples=-1,
         time_budget_s=1)
 
+    best_trial = analysis.get_best_trial()
+    logger.info(f"Best config: {best_trial.config}")
+    logger.info(f"Best result: {best_trial.last_result}")
+
 
 def test_xgboost_bs():
     _test_xgboost()
@@ -224,4 +234,4 @@ def _test_xgboost_bohb():
 
 
 if __name__ == "__main__":
-    unittest.main()
+    test_xgboost_bs()