Finding the optimal combination of inputs which return maximal output for a black box model

问题

One of the challenges that I have been facing when applying ANN to regression tasks on my job is that in order to find the optimal out for a given range of inputs, I have to feed a multidimensional meshgrid to my model and then simply pick the highest value. However, this is overall a very computationally costly solution. The lenght of the text bellow might be scary but it just my attempt to better explain it.

Let me explain with other words. Supposing that I have 9 inputs for my ANN, and then I want to check which combinations of values of my features that returns me the highest outcome. I am currently overcoming the problem by just creating a 9D-mesh and simply predict the value for each sample and then identifying the optimal row. Nevertheless, this takes an exhaustive amount of time to work. Therefore, I am looking for a way be able to more efficiently reach this optimal output value, if possible at all.

In code, it would look something like this: (just a simple and made up example not really realistic in python):

import numpy as np
from itertools import product
from sklearn.preprocessing import MinMaxScaler
from sklearn.model_selection import train_test_split 
import tensorflow.keras
from keras.models import Sequential
from keras.layers import Dense
import pandas as pd
import math

x1 = np.linspace(0,20,6)
x2 = np.linspace(0,20,6)
X = pd.DataFrame((product(*[x1,x2])))
y1 = 5*np.cos(np.deg2rad(X[0]))
y2 = 5 - 1*np.exp((-X[0]**2/np.deg2rad(10)**2)*np.cos(np.deg2rad(X[1])))
y = np.array([y1 + y2]).T

Setting a blackbox model, in this case, a neural network

x_scaler = MinMaxScaler()
y_scaler = MinMaxScaler()
X_scaled = x_scaler.fit_transform(X)
y_scaled = y_scaler.fit_transform(y)
X_train, X_test, y_train, y_test = train_test_split(X_scaled, y_scaled, test_size=0.2, random_state=0)

model = Sequential()
model.add(Dense(100, input_dim = 2, activation = 'relu'))
model.add(Dense(100, activation='relu'))
model.add(Dense(100, activation='relu'))
model.add(Dense(1, activation = 'relu'))
model.compile(optimizer = 'Adam', loss = 'mean_squared_error')
epochs_hist = model.fit(X_train, y_train, epochs = 100, batch_size = 50, validation_split = 0.2)

Now that I fit my model, I will use the meshgrid for several intervals in order to find the optimal in the specified range:

x1_pred = np.linspace(0,20,21) 
x2_pred = np.linspace(0,20,21)
X_pred = pd.DataFrame((product(*[x1_pred,x2_pred])))
X_pred_test = x_scaler.fit_transform(X_pred)
y_pred = model.predict(X_pred_test)
y_pred = y_scaler.inverse_transform(y_pred)

So, supposing that I doing something similar for reaching the optimal, but in this case with 9 inputs, then it is clear how computionally unfeasiable that calculation will be. Hence, it comes my question of how to find the optimal combination of inputs which return maximal output of a blackbox model such as ANN.

回答1:

Here's an example of how you could get the 'best result' from a model. The important parts are optimize, _get_simplex and _call_model. By doing it this way you reduce the amount of calls necessary to your model.

from sklearn.ensemble import GradientBoostingRegressor
import numpy as np
from scipy.optimize import minimize
from copy import copy


class Example:

    def __init__(self):
        self.X = np.random.random((10000, 9))
        self.y = self.get_y()
        self.clf = GradientBoostingRegressor()
        self.fit()

    def get_y(self):
        # sum of squares, is minimum at x = [0, 0, 0, 0, 0 ... ]
        return np.array([[self._func(i)] for i in self.X])

    def _func(self, i):
        return sum(i * i)

    def fit(self):
        self.clf.fit(self.X, self.y)

    def optimize(self):
        x0 = [0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5]
        initial_simplex = self._get_simplex(x0, 0.1)
        result = minimize(fun=self._call_model,
                          x0=np.array(x0),
                          method='Nelder-Mead',
                          options={'xatol': 0.1,
                                   'initial_simplex': np.array(initial_simplex)})
        return result

    def _get_simplex(self, x0, step):
        simplex = []
        for i in range(len(x0)):
            point = copy(x0)
            point[i] -= step
            simplex.append(point)

        point2 = copy(x0)
        point2[-1] += step
        simplex.append(point2)
        return simplex

    def _call_model(self, x):
        prediction = self.clf.predict([x])
        return prediction[0]

example = Example()
result = example.optimize()
print(result)

Of course, if you want to maximize instead of minimize, you can return -prediction[0] instead of prediction[0] to trick scipy.

来源：https://stackoverflow.com/questions/59576663/finding-the-optimal-combination-of-inputs-which-return-maximal-output-for-a-blac