Source code for pyGPGO.surrogates.RandomForest
import numpy as np
from sklearn.ensemble import RandomForestRegressor, ExtraTreesRegressor
[docs]class RandomForest:
[docs] def __init__(self, **params):
"""
Wrapper around sklearn's Random Forest implementation for pyGPGO.
Random Forests can also be used for surrogate models in Bayesian Optimization.
An estimate of 'posterior' variance can be obtained by using the `impurity`
criterion value in each subtree.
Parameters
----------
params: tuple, optional
Any parameters to pass to `RandomForestRegressor`. Defaults to sklearn's.
"""
self.params = params
[docs] def fit(self, X, y):
"""
Fit a Random Forest model to data `X` and targets `y`.
Parameters
----------
X : array-like
Input values.
y: array-like
Target values.
"""
self.X = X
self.y = y
self.n = self.X.shape[0]
self.model = RandomForestRegressor(**self.params)
self.model.fit(X, y)
[docs] def predict(self, Xstar, return_std = True, eps = 1e-6):
"""
Predicts 'posterior' mean and variance for the RF model.
Parameters
----------
Xstar: array-like
Input values.
return_std: bool, optional
Whether to return posterior variance estimates. Default is `True`.
eps: float, optional
Floating precision value for negative variance estimates. Default is `1e-6`
Returns
-------
array-like:
Posterior predicted mean.
array-like:
Posterior predicted std
"""
Xstar = np.atleast_2d(Xstar)
ymean = self.model.predict(Xstar)
if return_std:
std = np.zeros(len(Xstar))
trees = self.model.estimators_
for tree in trees:
var_tree = tree.tree_.impurity[tree.apply(Xstar)]
var_tree = np.clip(var_tree, eps, np.inf)
mean_tree = tree.predict(Xstar)
std += var_tree + mean_tree ** 2
std /= len(trees)
std -= ymean ** 2
std = np.sqrt(np.clip(std, eps, np.inf))
return ymean, std
return ymean
[docs] def update(self, xnew, ynew):
"""
Updates the internal RF model with observations `xnew` and targets `ynew`.
Parameters
----------
xnew: array-like
New observations.
ynew: array-like
New targets.
"""
y = np.concatenate((self.y, ynew), axis=0)
X = np.concatenate((self.X, xnew), axis=0)
self.fit(X, y)
[docs]class ExtraForest:
[docs] def __init__(self, **params):
"""
Wrapper around sklearn's ExtraTreesRegressor implementation for pyGPGO.
Random Forests can also be used for surrogate models in Bayesian Optimization.
An estimate of 'posterior' variance can be obtained by using the `impurity`
criterion value in each subtree.
Parameters
----------
params: tuple, optional
Any parameters to pass to `RandomForestRegressor`. Defaults to sklearn's.
"""
self.params = params
[docs] def fit(self, X, y):
"""
Fit a Random Forest model to data `X` and targets `y`.
Parameters
----------
X : array-like
Input values.
y: array-like
Target values.
"""
self.X = X
self.y = y
self.n = self.X.shape[0]
self.model = ExtraTreesRegressor(**self.params)
self.model.fit(X, y)
[docs] def predict(self, Xstar, return_std = True, eps = 1e-6):
"""
Predicts 'posterior' mean and variance for the RF model.
Parameters
----------
Xstar: array-like
Input values.
return_std: bool, optional
Whether to return posterior variance estimates. Default is `True`.
eps: float, optional
Floating precision value for negative variance estimates. Default is `1e-6`
Returns
-------
array-like:
Posterior predicted mean.
array-like:
Posterior predicted std
"""
Xstar = np.atleast_2d(Xstar)
ymean = self.model.predict(Xstar)
if return_std:
std = np.zeros(len(Xstar))
trees = self.model.estimators_
for tree in trees:
var_tree = tree.tree_.impurity[tree.apply(Xstar)]
var_tree = np.clip(var_tree, eps, np.inf)
mean_tree = tree.predict(Xstar)
std += var_tree + mean_tree ** 2
std /= len(trees)
std -= ymean ** 2
std = np.sqrt(np.clip(std, eps, np.inf))
return ymean, std
return ymean
[docs] def update(self, xnew, ynew):
"""
Updates the internal RF model with observations `xnew` and targets `ynew`.
Parameters
----------
xnew: array-like
New observations.
ynew: array-like
New targets.
"""
y = np.concatenate((self.y, ynew), axis=0)
X = np.concatenate((self.X, xnew), axis=0)
self.fit(X, y)