如何在python中加快嵌套交叉验证？

Question

从我发现的内容来看，还有一个其他问题（加速嵌套交叉验证），但是尝试在此站点和Microsoft上提出了一些修复建议后，安装MPI对我也不起作用，所以我希望有另一个软件包或回答这个问题。

我正在寻找比较多种算法和gridsearch各种参数（也许参数太多？）的方法，除了mpi4py之外还有什么方法可以加快我的代码的运行速度？据我了解，我不能使用n_jobs = -1，因为那是不嵌套的？

还要注意，我无法在下面尝试查看的许多参数上运行它（运行时间超过了我的时间）。如果我给每个模型仅两个参数进行比较，则只有2小时后才会有结果。另外，我在252行和25个特征列以及4个类别变量的数据集上运行此代码，以预测（“确定”，“可能”，“可能”或“未知”）某个基因（具有252个基因）是否影响疾病。使用SMOTE将样本大小增加到420，然后将其投入使用。

dataset= pd.read_csv('data.csv')
data = dataset.drop(["gene"],1)
df = data.iloc[:,0:24]
df = df.fillna(0)
X = MinMaxScaler().fit_transform(df)

le = preprocessing.LabelEncoder()
encoded_value = le.fit_transform(["certain", "likely", "possible", "unlikely"])
Y = le.fit_transform(data["category"])

sm = SMOTE(random_state=100)
X_res, y_res = sm.fit_resample(X, Y)

seed = 7
logreg = LogisticRegression(penalty='l1', solver='liblinear',multi_class='auto')
LR_par= {'penalty':['l1'], 'C': [0.5, 1, 5, 10], 'max_iter':[500, 1000, 5000]}

rfc =RandomForestClassifier()
param_grid = {'bootstrap': [True, False],
              'max_depth': [10, 20, 30, 40, 50, 60, 70, 80, 90, 100, None],
              'max_features': ['auto', 'sqrt'],
              'min_samples_leaf': [1, 2, 4,25],
              'min_samples_split': [2, 5, 10, 25],
              'n_estimators': [200, 400, 600, 800, 1000, 1200, 1400, 1600, 1800, 2000]}

mlp = MLPClassifier(random_state=seed)
parameter_space = {'hidden_layer_sizes': [(10,20), (10,20,10), (50,)],
     'activation': ['tanh', 'relu'],
     'solver': ['adam', 'sgd'],
     'max_iter': [10000],
     'alpha': [0.1, 0.01, 0.001],
     'learning_rate': ['constant','adaptive']}

gbm = GradientBoostingClassifier(min_samples_split=25, min_samples_leaf=25)
param = {"loss":["deviance"],
    "learning_rate": [0.15,0.1,0.05,0.01,0.005,0.001],
    "min_samples_split": [2, 5, 10, 25],
    "min_samples_leaf": [1, 2, 4,25],
    "max_depth":[10, 20, 30, 40, 50, 60, 70, 80, 90, 100, None],
    "max_features":['auto', 'sqrt'],
    "criterion": ["friedman_mse"],
    "n_estimators":[200, 400, 600, 800, 1000, 1200, 1400, 1600, 1800, 2000]
    }

svm = SVC(gamma="scale", probability=True)
tuned_parameters = {'kernel':('linear', 'rbf'), 'C':(1,0.25,0.5,0.75)}

def baseline_model(optimizer='adam', learn_rate=0.01):
    model = Sequential()
    model.add(Dense(100, input_dim=X_res.shape[1], activation='relu')) 
    model.add(Dropout(0.5))
    model.add(Dense(50, activation='relu')) #8 is the dim/ the number of hidden units (units are the kernel)
    model.add(Dense(4, activation='softmax'))
    model.compile(loss='categorical_crossentropy', optimizer=optimizer, metrics=['accuracy'])
    return model

keras = KerasClassifier(build_fn=baseline_model, batch_size=32, epochs=100, verbose=0)
learn_rate = [0.001, 0.01, 0.1, 0.2, 0.3]
optimizer = ['SGD', 'RMSprop', 'Adagrad', 'Adadelta', 'Adam', 'Adamax', 'Nadam']
kerasparams = dict(optimizer=optimizer, learn_rate=learn_rate)

inner_cv = KFold(n_splits=10, shuffle=True, random_state=seed)
outer_cv = KFold(n_splits=10, shuffle=True, random_state=seed)

models = []
models.append(('GBM', GridSearchCV(gbm, param, cv=inner_cv,iid=False, n_jobs=1)))
models.append(('RFC', GridSearchCV(rfc, param_grid, cv=inner_cv,iid=False, n_jobs=1)))
models.append(('LR', GridSearchCV(logreg, LR_par, cv=inner_cv, iid=False, n_jobs=1)))
models.append(('SVM', GridSearchCV(svm, tuned_parameters, cv=inner_cv, iid=False, n_jobs=1)))
models.append(('MLP', GridSearchCV(mlp, parameter_space, cv=inner_cv,iid=False, n_jobs=1)))
models.append(('Keras', GridSearchCV(estimator=keras, param_grid=kerasparams, cv=inner_cv,iid=False, n_jobs=1)))


results = []
names = []
scoring = 'accuracy'
X_train, X_test, Y_train, Y_test = train_test_split(X_res, y_res, test_size=0.2, random_state=0)


for name, model in models:
    nested_cv_results = model_selection.cross_val_score(model, X_res, y_res, cv=outer_cv, scoring=scoring)
    results.append(nested_cv_results)
    names.append(name)
    msg = "Nested CV Accuracy %s: %f (+/- %f )" % (name, nested_cv_results.mean()*100, nested_cv_results.std()*100)
    print(msg)
    model.fit(X_train, Y_train)
    print('Test set accuracy: {:.2f}'.format(model.score(X_test, Y_test)*100),  '%')
    print("Best Parameters: \n{}\n".format(model.best_params_))
    print("Best CV Score: \n{}\n".format(model.best_score_))

例如，大多数数据集都是二进制的，如下所示：

gene   Tissue    Druggable Eigenvalue CADDvalue Catalogpresence   Category
ACE      1           1         1          0           1            Certain
ABO      1           0         0          0           0            Likely
TP53     1           1         0          0           0            Possible

关于如何加快速度的任何指导将不胜感激。

编辑：我也尝试过使用dask进行并行处理，但是我不确定我做对了，而且似乎没有更快地运行：

for name, model in models:
    with joblib.parallel_backend('dask'):
        nested_cv_results = model_selection.cross_val_score(model, X_res, y_res, cv=outer_cv, scoring=scoring)
        results.append(nested_cv_results)
        names.append(name)
        msg = "Nested CV Accuracy %s: %f (+/- %f )" % (name, nested_cv_results.mean()*100, nested_cv_results.std()*100)
        print(msg)
        model.fit(X_train, Y_train)
        print('Test set accuracy: {:.2f}'.format(model.score(X_test, Y_test)*100),  '%')
    #print("Best Estimator: \n{}\n".format(model.best_estimator_))
        print("Best Parameters: \n{}\n".format(model.best_params_))
        print("Best CV Score: \n{}\n".format(model.best_score_)) #average of all cv folds for a single combination of the parameters you specify 

编辑：还要注意减少网格搜索，例如，我已经尝试使用每个模型5个参数，但是这仍然需要花费几个小时才能完成，因此，如果有任何效率方面的建议，我可以在减少数量的同时有所帮助心怀感激。

Answer 1

两件事情：

1. 不要GridSearch尝试使用HyperOpt- 它是一个用于串行和并行优化的 Python 库。

2. 我会使用UMAP或PCA来降低维数。也许 UMAP 是更好的选择。

申请后SMOTE：

import umap

dim_reduced = umap.UMAP(
        min_dist=min_dist,
        n_neighbors=neighbours,
        random_state=1234,
    ).fit_transform(smote_output)

然后您可以用于dim_reduced训练测试拆分。

降低维数将有助于消除数据中的噪声，您无需处理 25 个特征，而是将它们减少到 2 个（使用 UMAP）或您选择的组件数量（使用 PCA）。这应该会对性能产生重大影响。