lightgbm_integration.py

"""
Optuna example that demonstrates a pruner for LightGBM.

In this example, we optimize the validation accuracy of cancer detection using LightGBM.
We optimize both the choice of booster model and their hyperparameters. Throughout
training of models, a pruner observes intermediate results and stop unpromising trials.

You can run this example as follows:
    $ python lightgbm_integration.py

"""

import optuna

import lightgbm as lgb
import sklearn.datasets
import sklearn.metrics
from sklearn.model_selection import train_test_split


# FYI: Objective functions can take additional arguments
# (https://optuna.readthedocs.io/en/stable/faq.html#objective-func-additional-args).
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 = lgb.Dataset(train_x, label=train_y)
    dvalid = lgb.Dataset(valid_x, label=valid_y)

    param = {
        "objective": "binary",
        "metric": "auc",
        "verbosity": -1,
        "boosting_type": "gbdt",
        "lambda_l1": trial.suggest_float("lambda_l1", 1e-8, 10.0, log=True),
        "lambda_l2": trial.suggest_float("lambda_l2", 1e-8, 10.0, log=True),
        "num_leaves": trial.suggest_int("num_leaves", 2, 256),
        "feature_fraction": trial.suggest_float("feature_fraction", 0.4, 1.0),
        "bagging_fraction": trial.suggest_float("bagging_fraction", 0.4, 1.0),
        "bagging_freq": trial.suggest_int("bagging_freq", 1, 7),
        "min_child_samples": trial.suggest_int("min_child_samples", 5, 100),
    }

    # Add a callback for pruning.
    pruning_callback = optuna.integration.LightGBMPruningCallback(trial, "auc")
    gbm = lgb.train(param, dtrain, valid_sets=[dvalid], callbacks=[pruning_callback])

    preds = gbm.predict(valid_x)
    return sklearn.metrics.roc_auc_score(valid_y, preds)


if __name__ == "__main__":
    study = optuna.create_study(
        pruner=optuna.pruners.MedianPruner(n_warmup_steps=10), direction="maximize"
    )
    study.optimize(objective, n_trials=100)

    print("Number of finished trials: {}".format(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))