PFNs4BO sampler

Class or Function Names

• PFNs4BOSampler

Installation

pip install -r https://hub.optuna.org/samplers/pfns4bo/requirements.txt

Example

from __future__ import annotations

import os

import optuna
import optunahub


module = optunahub.load_module("samplers/pfns4bo")
PFNs4BOSampler = module.PFNs4BOSampler


def objective(trial: optuna.Trial) -> float:
    x = trial.suggest_float("x", -10, 10)
    return (x - 2) ** 2


if __name__ == "__main__":
    study = optuna.create_study(
        sampler=PFNs4BOSampler(),
    )
    study.optimize(objective, n_trials=100)
    print(study.best_params)
    print(study.best_value)

See example.py for a full example. You need GPU to run this example.

The following figures are experimental results of the comparison between PFNs4BO and the random search. This figure stands for the performance of PFNs4BO against the random search. The horizontal axis represents the amount of budgets, which is equal to the number of trials. The vertical axis represents the p-value of the Mann–Whitney U test, in which the null hypothesis is that the PFNs4BO loses the random search. Therefore, don’t get me wrong, but the lower is better. The benchmark consists of 70 problems. The 8 problems are from HPO tabular benchmarks in https://github.com/automl/HPOBench (original 4 problems, and log-converted 4 problems). The 62 problems are several synthetic functions in https://github.com/sigopt/evalset (Not just use it, but I re-implement them).

Others

The default prior argument is "hebo". This trains the PFNs model in the init of the sampler. If you want to use a pre-trained model, you can download the model checkpoint from the following link: https://github.com/automl/PFNs4BO/tree/main/pfns4bo/final_models and load it using the following code:

import torch

model = torch.load("PATH/TO/MODEL.pt")
sampler = PFNs4BOSampler(prior=model)

The performance of PFNs4BO with the HEBO+ prior is maximized with the number of trials smaller than 100 or 200 in most cases. If you have a large number of trials, changing the sampler to another one (e.g., a random sampler) after a certain number of trials is recommended.

Reference

Samuel Müller, Matthias Feurer, Noah Hollmann, and Frank Hutter. 2023. PFNs4BO: in-context learning for Bayesian optimization. In Proceedings of the 40th International Conference on Machine Learning (ICML'23), Vol. 202. JMLR.org, Article 1056, 25444–25470.

See the paper for more details.