I recently started using Scikit-Optimize (`skopt`

for short) to run Bayesian optimization on the hyperparameters of a set of fully-connected neural networks. The hyperparameters I optimized were

- the number of dense layers $n_L$
- the optimizer’s learning rate $r_l$
- the numbers of nodes in each layer $N_\text{n} = \{n_{\text{n},i}\}_{i=1}^{n_L}$
- the dropout rates for the Monte Carlo dropout layers preceding every dense layer $R_\text{d} = \{r_{\text{d},i}\}_{i=1}^{n_L}$
- the activation functions $A = \{a_i\}_{i=1}^{n_L}$ for each layer

Right there I had a use case that `skopt`

doesn’t appear to cover - at least not out of the box. The difficulty is that the last three items in the list depend on the value of the first one. That’s an ill-posed optimization problem. We’d be trying to minimize a loss function $L_\theta$ — in this case the mean squared error over the validation set — parameterized by the vector $\vec\theta = (n_L, r_l, N_\text{n}, R_\text{d}, A)$ over a parameter space $\Scal$ which depends itself on the current parameters $\vec\theta$, i.e.

But of course the search space can’t change while we’re searching it! Luckily, there’s a simple fix. We just split the problem into two separate minimizations by pulling everything that doesn’t depend on the number of layers $n_L$ into an outer loop. Hence, two-loop hyperoptimization. This yields

$\vec\theta_\text{min} = \argmin_{\vec\theta_1 \in \Scal_1} \; \argmin_{\vec\theta_2 \in \Scal_2(\vec\theta_1)} \; L(\vec\theta_1, \vec\theta_2),$where $\vec\theta = (\vec\theta_1,\vec\theta_2)$ with $\vec\theta_1 = (n_L, r_l)$ and $\vec\theta_{2,i} = (N_\text{n}, R_\text{d}, A)$. The full search space is then given by $\Scal = \Scal_1 \cup \bigcup_{\vec\theta_1 \in \Scal_1} \Scal_2(\vec\theta_1)$.

Implemented in Python it doesn’t look quite as pretty any more. To some degree that is because `skopt`

insists on calling its objective function with a single argument, namely a list of the current set of hyperparameters. That means bringing in any additional arguments as required in this case to access the current parameters of the outer loop inside the inner one requires some workaround. The best I could come up with is some slightly verbose currying. See for yourself:

```
import keras
import numpy as np
import skopt
from skopt.space import Categorical, Integer, Real
from .cross_val import cross_val
# iteration counter for the current outer and inner minimization loop
iter_counts = [1, 1]
def hyper_opt(model, data, n_calls=(10, 10), methods=["gp"], n_splits=3, verbose=False):
"""
model: instance of Model class
data: instance of Data class
n_calls: 2-tuple of ints, number of iterations for the (outer, inner) minimization loop
methods: list of strings containing one or more of gp, dummy, forest
specifies which of skopt's minimizers to try
n_splits: int how many cross validations to perform, min=1
"""
outer_space = [ # pun intended
# number of layers
Integer(1, 5, name="n_layers"),
# optimizer's learning rate
Real(1e-5, 1e-4, "log-uniform", name="learning_rate"),
]
def curried_inner_objective(n_layers, learning_rate):
def inner_objective(inner_hypars):
# unpack inner/outer iteration counters (iic/oic) and total number of calls (inc/onc)
oic, iic, onc, inc = iter_counts + list(n_calls)
model.log(f"Hyper loop: outer {oic}/{onc}, inner {iic}/{inc}")
iter_counts[1] += 1
hypars = (n_layers, learning_rate) + inner_hypars
loss = cross_val(model, data, hypars, n_splits=n_splits)
if loss < model.min_loss:
model.log(f"found new min loss {round(loss, 4)}")
model.log(f"params: {hypars}")
model.min_loss = loss
model.best_hypars = hypar
model.best_model = model.model
model.save()
keras.backend.clear_session()
return loss
return inner_objective
def curried_outer_objective(method):
def outer_objective(outer_hypars):
n_layers, learning_rate = outer_hypars
# number of nodes in each dense layer
nodes = (Integer(10, 100, name=f"n_nodes_{i+1}") for i in range(n_layers))
# fraction of dropped nodes in each dropout layer
dropouts = (
Real(0, 0.5, name=f"dropout_rate_{i+1}") for i in range(n_layers)
)
# list of activation functions for each dense layer
activations = (
Categorical(["tanh", "relu"], name=f"activation_{i+1}")
for i in range(n_layers)
)
res = getattr(skopt, method + "_minimize")(
curried_inner_objective(outer_hypars),
(*nodes, *dropouts, *activations),
n_calls=n_calls[1],
random_state=0,
verbose=verbose,
)
global iter_counts
iter_counts = [iter_counts[0] + 1, 1]
return res.fun
return outer_objective
for method in methods:
res = getattr(skopt, method + "_minimize")(
curried_outer_objective(method),
outer_space,
n_calls=n_calls[0],
random_state=0,
verbose=verbose,
)
setattr(model, method + "hyper_res", res)
model.log(f"\n{method} hyper optimization results:\n{res}")
```