贝叶斯优化github地址：

https://github.com/fmfn/BayesianOptimization

paper地址：

http://papers.nips.cc/paper/4522-practical-bayesian%20-optimization-of-machine-learning-algorithms.pdf


Snoek, Jasper, Hugo Larochelle, and Ryan P. Adams. “Practical bayesian optimization of machine learning algorithms.” Advances in neural information processing systems 25 (2012).

以随机森林为例：

1. 构造数据源

from sklearn.datasets import make_classification
from sklearn.ensemble import RandomForestClassifier
from sklearn.model_selection import cross_val_score
from bayes_opt import BayesianOptimization
import numpy as np
import pandas as pd

然后构造一个二分类任务：

x, y = make_classification(n_samples=1000, n_features=5, n_classes=2)

2. 构造黑盒目标函数

def rf_cv(n_estimators, min_samples_split, max_features, max_depth):
    val = cross_val_score(
    	# 这些是随机森林的
        RandomForestClassifier(n_estimators=int(n_estimators),
                               min_samples_split=int(min_samples_split),
                               max_features=min(max_features, 0.999),  # float
                               max_depth=int(max_depth),
                               random_state=2),
        x, y, scoring=['f1', 'accuracy'], cv=5
    ).mean()
    return val

更多评价指标请参考：

https://scikit-learn.org/stable/modules/model_evaluation.html#the-scoring-parameter-defining-model-evaluation-rules

3. 确定取值空间

pbounds = {'n_estimators': (10, 250),  # 表示取值范围为10至250
           'min_samples_split': (2, 25),
           'max_features': (0.1, 0.999),
           'max_depth': (5, 15)}

这里字典里的

key

要与目标函数的参数名对应

4. 构造贝叶斯优化器

optimizer = BayesianOptimization(
    f=rf_cv,  # 黑盒目标函数
    pbounds=pbounds,  # 取值空间
    verbose=2,  # verbose = 2 时打印全部，verbose = 1 时打印运行中发现的最大值，verbose = 0 将什么都不打印
    random_state=1,
)

5. 运行，导出结果与最优参数

optimizer.maximize(  # 运行
    init_points=5,  # 随机搜索的步数
    n_iter=25,  # 执行贝叶斯优化迭代次数
)
print(optimizer.res)  # 所有优化的结果
print(optimizer.max)  # 最好的结果与对应的参数

全部代码

from sklearn.datasets import make_classification
from sklearn.ensemble import RandomForestClassifier
from sklearn.model_selection import cross_val_score
from bayes_opt import BayesianOptimization
import numpy as np
import pandas as pd

# 产生随机分类数据集，10个特征， 2个类别
x, y = make_classification(n_samples=1000, n_features=5, n_classes=2)

# 步骤一：构造黑盒目标函数
def rf_cv(n_estimators, min_samples_split, max_features, max_depth):
    val = cross_val_score(
        RandomForestClassifier(n_estimators=int(n_estimators),
                               min_samples_split=int(min_samples_split),
                               max_features=min(max_features, 0.999),  # float
                               max_depth=int(max_depth),
                               random_state=2),
        x, y, scoring='f1', cv=5
    ).mean()
    return val


# 步骤二：确定取值空间
pbounds = {'n_estimators': (10, 250),  # 表示取值范围为10至250
           'min_samples_split': (2, 25),
           'max_features': (0.1, 0.999),
           'max_depth': (5, 15)}

# 步骤三：构造贝叶斯优化器
optimizer = BayesianOptimization(
    f=rf_cv,  # 黑盒目标函数
    pbounds=pbounds,  # 取值空间
    verbose=2,  # verbose = 2 时打印全部，verbose = 1 时打印运行中发现的最大值，verbose = 0 将什么都不打印
    random_state=1,
)
optimizer.maximize(  # 运行
    init_points=5,  # 随机搜索的步数
    n_iter=25,  # 执行贝叶斯优化迭代次数
)
print(optimizer.res)  # 打印所有优化的结果
print(optimizer.max)  # 最好的结果与对应的参数

结果显示如下：

最优的参数为：

{'target': 0.9554574460534715, 
'params':{
	'max_depth': 7.2061957920136965, 
	'max_features': 0.44564993926538743, 
	'min_samples_split': 6.972807143834928, 
	'n_estimators': 55.73671041246315
}}