# Getting Started¶

This example shows how one gets started with the optimization software. One is expected to see through example_0.py for a better understanding.

Just like any optimization, we should have information about the following:

1. dimensionality of the problem – n_dim
2. cost function that has to be minimizedfunction
3. bounds on the variables – l_bound, u_bound

Some more parameters for Bayesian Optimization

1. number of initial evaluations for constructing the prior –n_init
2. type of kernel function – kern_function
3. number of evaluations per iteration – n_opt
4. platform of evaluation - local computer / remote computer
5. parallel / serial evaluations – cost_function
6. asynchronocity of evaluations – cost_function
7. acquisition function (list) – acq_func
• parallelization of acquisition function – kappa_strategy

The kappa_strategy defines exploration vs exploitation of the optimizer. Those with a large kappa value will explore and a small kappa value will exploit.

In this example, we shall solve a simple parabolic cost function, on a local machine with no parallelization. The evaluations will, therefore, be fully synchronous. As part of the example, we shall do an exploration dominated search in the optimization. The parameters that will be used are as follows:

from PARyOpt.evaluators import FunctionEvaluator
import numpy as np
from PARyOpt import BayesOpt

n_dim = 1
l_bound = np.asarray([-12.])
u_bound = np.asarray([12.])

n_init = 2
kern_function = 'sqr_exp'       # squared exponential
acq_func = 'LCB'                # lower confidence bound
def my_cost_function(x: np.array) -> float:
y = np.sum((x-2.5) ** 2 + 5)
return float(y)
# instantiate an evaluator that evaluates serially on the local machine
evaluator = FunctionEvaluator(my_cost_function)
def my_kappa(curr_iter: int) -> float:
return 1000.0           # large value for exploration


## Initialization¶

Having defined these parameters, we shall now initialize the optimizer:

b_opt = BayesOpt(cost_function=evaluator,
l_bound=l_bound, u_bound=u_bound, n_dim=n_dim,
n_init=2,
kern_function='sqr_exp',
acq_func='LCB',
n_opt=1,                           # default setting
kappa_strategy=my_kappa,
if_restart=False)


The stage is now set for optimization to be performed. Since this package does not provide any standard termination criteria, the user is expected to design a termination based on the nature of the problem. In this example, we shall look at a very simple termination criterion of number of iterations.

max_iter = 10


## Update¶

The user shall manually update the optimization every iteration. This provides ways to post-process user required metrics every iteration, as well as do a regular hyper-parameter optimization for optimized surrogate.

for curr_iter in range(max_iter):
b_opt.update_iter()


## Hyper parameter optimization¶

An implementation of the standard hyper parameter optimization is done in estimate_best_kernel_parameters(). This minimizes a maximum likelihood estimate of the constructed surrogate and eventually sets the optimal kernel length scale. It can be invoked by calling:

theta_min = 0.01
theta_max = 50.
b_opt.estimate_best_kernel_parameters(theta_bounds=[[theta_min, theta_max]])


Hyper parameter optimization need not be performed every iteration as the surrogate may not change much with the addition of a single data point. Hence its call can be periodic based on the iteration number.

## Surrogate query¶

Having constructed the surrogate, one may need to query it for several purposes, including visualization, post-processing and termination criteria. This functionality is provided through the evaluate_surrogate_at() function. It returns the value of the mean and variance of the surrogate at the queried location.

location_to_query = np.asarray([0.5])
mean, variance = b_opt.evaluate_surrogate_at(location_to_query)


## Logging¶

PARyOpt uses the python logging module for logging. The user has to instantiate the logger in the main code. If the logger is not initiated, the logs will be streamed to stdout. An example of using the logger is also in the above example:

import logging, time

logger = logging.getLogger()
logger.setLevel(logging.INFO)  # either NOTSET, INFO, DEBUG, WARNING, ERROR, CRITICAL -- different levels of log
log_file_name = 'example0_{}.log'.format(time.strftime("%Y.%m.%d-%H%M%S"))
fh = logging.FileHandler(log_file_name, mode='a')
# logging format
formatter = logging.Formatter('%(asctime)s - %(name)s - %(levelname)s - %(message)s')
fh.setFormatter(formatter)


## Saving data¶

The framework provides multiple ways to save data, particularly with ready methods to export in .csv format. It can be done be calling:

b_opt.export_csv('my_data.csv')


Alternately, data can be custom exported, as get methods exist to get the population and the respective function values.

total_population, function_values = b_opt.get_total_population()


The next example shows how to custom change the various functions used in the optimization method.