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Optuna support for XGBoost, MLP and CatBoost ALpha360 dataset

Open igor17400 opened this issue 2 years ago • 0 comments

Description

Optuna is an open source hyperparameter optimization framework to automate hyperparameter search.

Motivation and Context

All models should have optuna hyperparameter search implemented

How Has This Been Tested?

  • [x] Pass the test by running: pytest qlib/tests/test_all_pipeline.py under upper directory of qlib.
  • [x] If you are adding a new feature, test on your own test scripts.

Just follow the readme.md file inside example/hyperparameter in order to test it.

Screenshots of Test Results (if appropriate):

  1. optuna create-study --study <<Model>>_360 --storage sqlite:///db.sqlite3 for example we can change <<Model>> for CatBoost and run optuna create-study --study CatBoost_360 --storage sqlite:///db.sqlite3
  2. optuna-dashboard --port 5000 --host 0.0.0.0 sqlite:///db.sqlite3
  3. Open the dashboard and you should see images as the ones below
Screen Shot 2022-05-10 at 18 57 55 Screen Shot 2022-05-10 at 18 58 11

Types of changes

  • [ ] Fix bugs
  • [x] Add new feature
  • [ ] Update documentation

igor17400 avatar May 10 '22 21:05 igor17400