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README.md

@@ -16,6 +16,7 @@ pip install -e DEHB  # -e stands for editable, lets you modify the code and reru
 * [01 - Using DEHB to optimize 4 hyperparameters of a Scikit-learn's Random Forest on a classification dataset](examples/01_Optimizing_RandomForest_using_DEHB.ipynb)
 * [02 - Optimizing Scikit-learn's Random Forest without using ConfigSpace to represent the hyperparameter space](examples/02_using%20DEHB_without_ConfigSpace.ipynb)
 * [03 - Hyperparameter Optimization for MNIST in PyTorch](examples/03_pytorch_mnist_hpo.py)
+* [04 - A generic template to use MODEHB for multi-objectives Hyperparameter Optimization](examples/04_mo_pytorch_mnist_hpo.py)
 
 To run PyTorch example: (*note additional requirements*) 
 ```bash
@@ -81,7 +82,8 @@ python examples/03_pytorch_mnist_hpo.py --min_budget 1 --max_budget 3 \
   --verbose --runtime 60 --scheduler_file dask_dump/scheduler.json 
 ```
 
-
+### Running DEHB to optimize multiple objectives
+To run multi-objective optimization we require 1 extra parameter mo_strategy: we provide MO-optimization using Non-dominated sorted (NDS) with crowding distance (NSGA-II) and NDS with eps-net(EPSNET). Find 04_mo_pytorch_mnist_hpo.py example to help you to get started
 
 ### DEHB Hyperparameters
 
@@ -122,3 +124,10 @@ represents the *mutation* strategy while `bin` represents the *binomial crossove
   editor    = {Z. Zhou},
   year      = {2021}
 }
+
+@online{Awad-arXiv-2023,
+title = {MO-DEHB: Evolutionary-based Hyperband for Multi-Objective Optimization},
+author = {Noor Awad and Ayushi Sharma and Frank Hutter},
+year = {2023},
+keywords = {}
+}

examples/04_mo_pytorch_mnist_hpo.py

@@ -0,0 +1,322 @@
+"""
+This script runs a Multi-Objective Hyperparameter Optimisation using MODEHB to tune the architecture and
+training hyperparameters for training a neural network on MNIST in PyTorch. It minimizes two objectives: loss and model size
+This example is an extension of single objective problem:'03_pytorch_mnist_hpo.py' to multi-objective setting
+Additional requirements:
+* torch>=1.7.1
+* torchvision>=0.8.2
+* torchsummary>=1.5.1
+
+PyTorch code referenced from: https://github.com/pytorch/examples/blob/master/mnist/main.py
+"""
+
+import argparse
+import os
+import pickle
+import time
+
+import ConfigSpace as CS
+import ConfigSpace.hyperparameters as CSH
+import numpy as np
+import torch
+import torch.nn as nn
+import torch.nn.functional as F
+import torch.optim as optim
+import torchvision
+from distributed import Client
+from torchsummary import summary
+from torchvision import transforms
+
+from dehb import MODEHB
+
+
+class Model(nn.Module):
+    def __init__(self, config, img_dim=28, output_dim=10):
+        super().__init__()
+        self.output_dim = output_dim
+        self.pool_kernel = 2
+        self.pool_stride = 1
+        self.maxpool = nn.MaxPool2d(self.pool_kernel, self.pool_stride)
+        self.conv1 = nn.Conv2d(
+            in_channels=1,
+            out_channels=config["channels_1"],
+            kernel_size=config["kernel_1"],
+            stride=config["stride_1"],
+            padding=0,
+            dilation=1
+        )
+        # updating image size after conv1
+        img_dim = self._update_size(img_dim, config["kernel_1"], config["stride_1"], 0, 1)
+        self.conv2 = nn.Conv2d(
+            in_channels=config["channels_1"],
+            out_channels=config["channels_2"],
+            kernel_size=config["kernel_2"],
+            stride=config["stride_2"],
+            padding=0,
+            dilation=1
+        )
+        # updating image size after conv2
+        img_dim = self._update_size(img_dim, config["kernel_2"], config["stride_2"], 0, 1)
+        # updating image size after maxpool
+        img_dim = self._update_size(img_dim, self.pool_kernel, self.pool_stride, 0, 1)
+        self.dropout = nn.Dropout(config["dropout"])
+        hidden_dim = config["hidden"]
+        self.fc1 = nn.Linear(img_dim * img_dim * config["channels_2"], hidden_dim)
+        self.fc2 = nn.Linear(hidden_dim, self.output_dim)
+
+    def forward(self, x):
+        # Layer 1
+        x = self.conv1(x)
+        x = F.relu(x)
+        x = self.dropout(x)
+        # Layer 2
+        x = self.conv2(x)
+        x = F.relu(x)
+        x = self.maxpool(x)
+        x = self.dropout(x)
+        # FC Layer 1
+        x = torch.flatten(x, 1)
+        x = self.fc1(x)
+        # Output layer
+        x = self.fc2(x)
+        output = F.log_softmax(x, dim=1)
+        return output
+
+    def _update_size(self, dim, kernel_size, stride, padding, dilation):
+        return int(np.floor((dim + 2 * padding - (dilation * (kernel_size - 1) + 1)) / stride + 1))
+
+
+def get_configspace(seed=None):
+    cs = CS.ConfigurationSpace(seed)
+
+    # Hyperparameter defining first Conv layer
+    kernel1 = CSH.OrdinalHyperparameter("kernel_1", sequence=[3, 5, 7], default_value=5)
+    channels1 = CSH.UniformIntegerHyperparameter("channels_1", lower=3, upper=64,
+                                                 default_value=32)
+    stride1 = CSH.UniformIntegerHyperparameter("stride_1", lower=1, upper=2, default_value=1)
+    cs.add_hyperparameters([kernel1, channels1, stride1])
+
+    # Hyperparameter defining second Conv layer
+    kernel2 = CSH.OrdinalHyperparameter("kernel_2", sequence=[3, 5, 7], default_value=5)
+    channels2 = CSH.UniformIntegerHyperparameter("channels_2", lower=3, upper=64,
+                                                 default_value=32)
+    stride2 = CSH.UniformIntegerHyperparameter("stride_2", lower=1, upper=2, default_value=1)
+    cs.add_hyperparameters([kernel2, channels2, stride2])
+
+    # Hyperparameter for FC layer
+    hidden = CSH.UniformIntegerHyperparameter(
+        "hidden", lower=32, upper=256, log=True, default_value=128
+    )
+    cs.add_hyperparameter(hidden)
+
+    # Regularization Hyperparameter
+    dropout = CSH.UniformFloatHyperparameter("dropout", lower=0, upper=0.5, default_value=0.1)
+    cs.add_hyperparameter(dropout)
+
+    # Training Hyperparameters
+    batch_size = CSH.OrdinalHyperparameter(
+        "batch_size", sequence=[2, 4, 8, 16, 32, 64], default_value=4
+    )
+    lr = CSH.UniformFloatHyperparameter("lr", lower=1e-6, upper=0.1, log=True,
+                                        default_value=1e-3)
+    cs.add_hyperparameters([batch_size, lr])
+    return cs
+
+
+def train(model, device, train_loader, optimizer):
+    model.train()
+    for batch_idx, (data, target) in enumerate(train_loader):
+        data, target = data.to(device), target.to(device)
+        optimizer.zero_grad()
+        output = model(data)
+        loss = F.nll_loss(output, target)
+        loss.backward()
+        optimizer.step()
+
+
+def evaluate(model, device, data_loader, acc=False):
+    model.eval()
+    loss = 0
+    correct = 0
+    with torch.no_grad():
+        for data, target in data_loader:
+            data, target = data.to(device), target.to(device)
+            output = model(data)
+            loss += F.nll_loss(output, target, reduction='sum').item()  # sum up batch loss
+            pred = output.argmax(dim=1, keepdim=True)  # get the index of the max log-probability
+            correct += pred.eq(target.view_as(pred)).sum().item()
+
+    loss /= len(data_loader.dataset)
+    correct /= len(data_loader.dataset)
+
+    if acc:
+        return correct
+    return loss
+
+
+def train_and_evaluate(config, max_budget, verbose=False, **kwargs):
+    device = kwargs["device"]
+    batch_size = config["batch_size"]
+    train_set = kwargs["train_set"]
+    test_set = kwargs["test_set"]
+    train_loader = torch.utils.data.DataLoader(train_set, batch_size=batch_size, shuffle=True)
+    test_loader = torch.utils.data.DataLoader(test_set, batch_size=batch_size, shuffle=False)
+    model = Model(config).to(device)
+    optimizer = optim.Adadelta(model.parameters(), lr=config["lr"])
+    for epoch in range(1, int(max_budget) + 1):
+        train(model, device, train_loader, optimizer)
+    accuracy = evaluate(model, device, test_loader, acc=True)
+    num_params = np.log(np.sum(p.numel() for p in model.parameters()))
+    if verbose:
+        summary(model, (1, 28, 28))  # image dimensions for MNIST
+    return [accuracy, num_params]
+
+
+def objective_function(config, budget, **kwargs):
+    """ The target function to minimize for HPO"""
+    device = kwargs["device"]
+
+    # Data Loaders
+    batch_size = config["batch_size"]
+    train_set = kwargs["train_set"]
+    valid_set = kwargs["valid_set"]
+    test_set = kwargs["test_set"]
+    train_loader = torch.utils.data.DataLoader(train_set, batch_size=batch_size, shuffle=True)
+    valid_loader = torch.utils.data.DataLoader(valid_set, batch_size=batch_size, shuffle=False)
+    test_loader = torch.utils.data.DataLoader(test_set, batch_size=batch_size, shuffle=False)
+
+    # Build model
+    model = Model(config).to(device)
+
+    # Optimizer
+    optimizer = optim.Adadelta(model.parameters(), lr=config["lr"])
+
+    start = time.time()  # measuring wallclock time
+    for epoch in range(1, int(budget) + 1):
+        train(model, device, train_loader, optimizer)
+    loss = evaluate(model, device, valid_loader)
+    cost = time.time() - start
+
+    # not including test score computation in the `cost`
+    test_loss = evaluate(model, device, test_loader)
+
+    # get number of model parameters
+    num_params = np.log(np.sum(p.numel() for p in model.parameters()))
+
+    # dict representation that DEHB requires
+    res = {
+        "fitness": [loss, num_params],
+        "cost": cost,
+        "info": {"test_loss": test_loss, "budget": budget}
+    }
+    return res
+
+
+def input_arguments():
+    parser = argparse.ArgumentParser(description='Optimizing MNIST in PyTorch using DEHB.')
+    parser.add_argument('--no_cuda', action='store_true', default=False,
+                        help='disables CUDA training')
+    parser.add_argument('--seed', type=int, default=123, metavar='S',
+                        help='random seed (default: 123)')
+    parser.add_argument('--refit_training', action='store_true', default=False,
+                        help='Refit with incumbent configuration on full training data and budget')
+    parser.add_argument('--min_budget', type=float, default=1,
+                        help='Minimum budget (epoch length)')
+    parser.add_argument('--max_budget', type=float, default=25,
+                        help='Maximum budget (epoch length)')
+    parser.add_argument('--eta', type=int, default=3,
+                        help='Parameter for Hyperband controlling early stopping aggressiveness')
+    parser.add_argument('--output_path', type=str, default="./pytorch_mnist_dehb",
+                        help='Directory for DEHB to write logs and outputs')
+    parser.add_argument('--scheduler_file', type=str, default=None,
+                        help='The file to connect a Dask client with a Dask scheduler')
+    parser.add_argument('--n_workers', type=int, default=1,
+                        help='Number of CPU workers for DEHB to distribute function evaluations to')
+    parser.add_argument('--single_node_with_gpus', default=False, action="store_true",
+                        help='If True, signals the DEHB run to assume all required GPUs are on '
+                             'the same node/machine. To be specified as True if no client is '
+                             'passed and n_workers > 1. Should be set to False if a client is '
+                             'specified as a scheduler-file created. The onus of GPU usage is then'
+                             'on the Dask workers created and mapped to the scheduler-file.')
+    mo_strategy_choices = ['EPSNET', 'NSGA-II']
+    parser.add_argument('--mo_strategy', default="EPSNET", choices=mo_strategy_choices,
+                        type=str, nargs='?',
+                        help="specify the multiobjective  strategy from among {}".format(mo_strategy_choices))
+    parser.add_argument('--verbose', action="store_true", default=False,
+                        help='Decides verbosity of DEHB optimization')
+    parser.add_argument('--runtime', type=float, default=300,
+                        help='Total time in seconds as budget to run DEHB')
+    args = parser.parse_args()
+    return args
+
+
+def main():
+    args = input_arguments()
+
+    use_cuda = not args.no_cuda and torch.cuda.is_available()
+    device = torch.device("cuda" if use_cuda else "cpu")
+
+    torch.manual_seed(args.seed)
+
+    # Data Preparation
+    transform = transforms.Compose([
+        transforms.ToTensor(), transforms.Normalize((0.1307,), (0.3081,))
+    ])
+    train_set = torchvision.datasets.MNIST(
+        root='./data', train=True, download=True, transform=transform
+    )
+    train_set, valid_set = torch.utils.data.random_split(train_set, [50000, 10000])
+    test_set = torchvision.datasets.MNIST(
+        root='./data', train=False, download=True, transform=transform
+    )
+
+    # Get configuration space
+    cs = get_configspace(args.seed)
+    dimensions = len(cs.get_hyperparameters())
+
+    # Some insights into Dask interfaces to DEHB and handling GPU devices for parallelism:
+    # * if args.scheduler_file is specified, args.n_workers need not be specifed --- since
+    #    args.scheduler_file indicates a Dask client/server is active
+    # * if args.scheduler_file is not specified and args.n_workers > 1 --- the DEHB object
+    #    creates a Dask client as at instantiation and dies with the associated DEHB object
+    # * if args.single_node_with_gpus is True --- assumes that all GPU devices indicated
+    #    through the environment variable "CUDA_VISIBLE_DEVICES" resides on the same machine
+
+    # Dask checks and setups
+    single_node_with_gpus = args.single_node_with_gpus
+    if args.scheduler_file is not None and os.path.isfile(args.scheduler_file):
+        client = Client(scheduler_file=args.scheduler_file)
+        # explicitly delegating GPU handling to Dask workers defined
+        single_node_with_gpus = False
+    else:
+        client = None
+
+    ###########################
+    # DEHB optimisation block #
+    ###########################
+    np.random.seed(args.seed)
+    modehb = MODEHB(objective_function=objective_function, cs=cs, dimensions=dimensions, min_budget=args.min_budget,
+                    max_budget=args.max_budget, eta=args.eta, output_path=args.output_path,
+                    num_objectives=2, mo_strategy=args.mo_strategy,
+                    # if client is not None and of type Client, n_workers is ignored
+                    # if client is None, a Dask client with n_workers is set up
+                    client=client, n_workers=args.n_workers)
+    runtime, history = modehb.run(total_cost=args.runtime, verbose=args.verbose,
+                                                          # arguments below are part of **kwargs shared across workers
+                                                          train_set=train_set, valid_set=valid_set, test_set=test_set,
+                                                          single_node_with_gpus=single_node_with_gpus, device=device)
+    # end of DEHB optimisation
+
+    # Saving optimisation trace history
+    name = time.strftime("%x %X %Z", time.localtime(modehb.start))
+    name = name.replace("/", '-').replace(":", '-').replace(" ", '_')
+    modehb.logger.info("Saving optimisation trace history...")
+    with open(os.path.join(args.output_path, "history_{}.pkl".format(name)), "wb") as f:
+        pickle.dump(history, f)
+    modehb.logger.info("pareto population:{}", modehb.pareto_pop)
+    modehb.logger.info("pareto fitness:{}", modehb.pareto_fit)
+    modehb.logger.debug("runtime:{}", runtime)
+
+
+if __name__ == "__main__":
+    main()