Merge pull request #46 from LemurPwned/optimization

1.4.1 release

.github/workflows/main.yml

@@ -53,7 +53,7 @@ jobs:
     strategy:
       matrix:
         os: [macos-latest, windows-latest]
-        python-version: ['3.6', '3.7', '3.8', '3.9', '3.10', '3.11']
+        python-version: ['3.8', '3.9', '3.10', '3.11', '3.12']
     steps:
       - uses: actions/checkout@v2
       - name: Set up Python

.github/workflows/python-test.yml

@@ -7,15 +7,17 @@ on:
   push:
     branches: [ "master" ]
     paths-ignore:
-      - 'README.md'
+      - '**.yaml'
+      - '**.md'
       - 'docs/**'
       - 'examples/**'
       - LICENSE
       - mkdocs.yml
   pull_request:
     branches: [ "master" ]
     paths-ignore:
-      - 'README.md'
+      - '**.yaml'
+      - '**.md'
       - 'docs/**'
       - 'examples/**'
       - LICENSE

CHANGELOG.md

@@ -1,5 +1,10 @@
 # Changelog
 
+# 1.4.1
+
+- Adding a basic optimisation script in the `optimization` module.
+- Streamlit optimization updates.
+
 # 1.4.0
 
 - Adding new, dynamic symbolic model compatible with `Solver` class. It is now possible to use the `Solver` class with `LayerDynamic` to solve the LLG equation.

cmtj/utils/optimization.py

@@ -1,14 +1,17 @@
-from typing import Callable, Dict
+from concurrent.futures import ProcessPoolExecutor
+from typing import Callable, Dict, List
 
 import numpy as np
 from tqdm import tqdm
 
 
-def coordinate_descent(operating_point: Dict[str, float],
-                       fn: Callable,
-                       best_mse: float = float("-inf"),
-                       granularity: int = 10,
-                       percentage: float = 0.05):
+def coordinate_descent(
+    operating_point: Dict[str, float],
+    fn: Callable,
+    best_mse: float = float("-inf"),
+    granularity: int = 10,
+    percentage: float = 0.05,
+):
     """Performs coordinate descent on the operating point.
     :param operating_point: operating point to be optimised. Order of that dict matters.
     :param fn: function to be optimised
@@ -20,13 +23,85 @@ def coordinate_descent(operating_point: Dict[str, float],
     opt_params = operating_point
     for k, org_v in tqdm(operating_point.items(), desc="Coordinate descent"):
         new_params = operating_point.copy()
-        for v in tqdm(np.linspace((1 - percentage) * org_v,
-                                  (1 + percentage) * org_v, granularity),
-                      desc=f"Optimising {k}",
-                      leave=False):
+        for v in tqdm(
+                np.linspace((1 - percentage) * org_v, (1 + percentage) * org_v,
+                            granularity),
+                desc=f"Optimising {k}",
+                leave=False,
+        ):
             new_params[k] = v
             mse = fn(**new_params)
             if mse > best_mse:
                 opt_params = new_params
                 best_mse = mse
     return opt_params, best_mse
+
+
+def multiprocess_simulate(
+    fn: Callable,
+    error_fn: Callable,
+    suggestions: List[dict],
+    target: np.ndarray,
+    fixed_parameters: dict,
+):
+    with ProcessPoolExecutor(max_workers=len(suggestions)) as executor:
+        futures = [
+            executor.submit(
+                fn,
+                **fixed_parameters,
+                **suggestion,
+            ) for suggestion in suggestions
+        ]
+        errors = np.zeros(len(suggestions))
+        for j, future in enumerate(futures):
+            result = future.result()
+            errors[j] = error_fn(target, result)
+    return errors
+
+
+def hebo_optimization_loop(
+    cfg: dict,
+    fn: Callable,
+    error_fn: Callable,
+    target: np.ndarray,
+    fixed_parameters: dict,
+    n_iters: int = 150,
+    n_suggestions: int = 8,
+):
+    """Optimizes the parameters of a function using HEBO.
+    See HEBO documentation for more details: https://github.com/huawei-noah/HEBO
+    :param cfg: configuration of the design space
+    :param fn: function to be optimised fn(**parameters, **fixed_parameters)
+    :param error_fn: function to compute the error: error_fn(target, result)
+    :param target: target data
+    :param fixed_parameters: parameters that are fixed
+    :param n_iters: number of iterations
+    :param n_suggestions: number of suggestions per iteration
+    """
+    try:
+        from hebo.design_space.design_space import DesignSpace
+        from hebo.optimizers.hebo import HEBO
+    except ImportError as e:
+        raise ImportError(
+            "HEBO is not installed. Please install it with `pip install HEBO`"
+        ) from e
+    space = DesignSpace().parse(cfg)
+    opt = HEBO(space)
+    best_mse = float("inf")
+    for i in tqdm(range(1, n_iters + 1), desc="HEBO optimization loop"):
+        rec = opt.suggest(n_suggestions)
+        errors = multiprocess_simulate(
+            fn=fn,
+            error_fn=error_fn,
+            suggestions=rec.to_dict(orient="records"),
+            target=target,
+            fixed_parameters=fixed_parameters,
+        )
+        opt.observe(rec, errors)
+        val = opt.y.min()
+        if val < best_mse:
+            best_mse = val
+            best_params = opt.best_x.iloc[0].to_dict()
+            print(f"iteration {i} best mse {best_mse}")
+            print(best_params)
+    return opt

setup.py

@@ -5,7 +5,7 @@
 from setuptools import Extension, find_namespace_packages, setup
 from setuptools.command.build_ext import build_ext
 
-__version__ = "1.4.0"
+__version__ = "1.4.1"
 """
 As per
 https://github.com/pybind/python_example