Improve memory usage of MetaLearnerGridSearch (#62)

* Add options for storing * Tests * Finish TODO * Reduce memory usage by not creating metalearner object * Update CHANGELOG * Use generator_unordered * Add grid_size_ and move attributes initialization to fit * Fix * Fix * grid_size_ docstring * Add new options to tutorial * Remove check empty generator * Apply suggestions from code review Co-authored-by: Kevin Klein <[email protected]> * Add explanation grid_size_ --------- Co-authored-by: Kevin Klein <[email protected]>
Quantco · Jul 22, 2024 · 80ce219 · 80ce219
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diff --git a/CHANGELOG.rst b/CHANGELOG.rst
@@ -15,6 +15,12 @@ Changelog
 * Added :meth:`metalearners.metalearner.MetaLearner.fit_all_nuisance` and
   :meth:`metalearners.metalearner.MetaLearner.fit_all_treatment`.
 
+* Add optional ``store_raw_results`` and ``store_results`` parameters to :class:`metalearners.grid_search.MetaLearnerGridSearch`.
+
+* Renamed :class:`metalearners.grid_search._GSResult` to :class:`metalearners.grid_search.GSResult`.
+
+* Added ``grid_size_`` attribute to :class:`metalearners.grid_search.MetaLearnerGridSearch`.
+
 * Implement :meth:`metalearners.cross_fit_estimator.CrossFitEstimator.score`.
 
 **Bug fixes**

diff --git a/docs/examples/example_gridsearch.ipynb b/docs/examples/example_gridsearch.ipynb
@@ -327,6 +327,26 @@
     "gs.results_"
    ]
   },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "What if I run out of memory?\n",
+    "----------------------------\n",
+    "\n",
+    "If you're conducting an optimization task over a large grid with a substantial dataset,\n",
+    "it is possible that memory usage issues may arise. To try to solve these, you can minimize\n",
+    "memory usage by adjusting your settings.\n",
+    "\n",
+    "In that case you can set ``store_raw_results=False``, the grid search will then operate\n",
+    "with a generator rather than a list, significantly reducing memory usage.\n",
+    "\n",
+    "If the ``results_ DataFrame`` is what you're after, you can simply set ``store_results=True``.\n",
+    "However, if you aim to iterate over the {class}`~metalearners.metalearner.MetaLearner` objects,\n",
+    "you can set ``store_results=False``. Consequently, ``raw_results_`` will become a generator\n",
+    "object yielding {class}`~metalearners.grid_search.GSResult`."
+   ]
+  },
   {
    "cell_type": "markdown",
    "metadata": {},

diff --git a/metalearners/grid_search.py b/metalearners/grid_search.py
@@ -2,7 +2,7 @@
 # SPDX-License-Identifier: BSD-3-Clause
 
 import time
-from collections.abc import Mapping, Sequence
+from collections.abc import Generator, Mapping, Sequence
 from dataclasses import dataclass
 from typing import Any
 
@@ -17,7 +17,8 @@
 
 @dataclass(frozen=True)
 class _FitAndScoreJob:
-    metalearner: MetaLearner
+    metalearner_factory: type[MetaLearner]
+    metalearner_params: dict[str, Any]
     X_train: Matrix
     y_train: Vector
     w_train: Vector
@@ -32,7 +33,7 @@ class _FitAndScoreJob:
 
 
 @dataclass(frozen=True)
-class _GSResult:
+class GSResult:
     r"""Result from a single grid search evaluation."""
 
     metalearner: MetaLearner
@@ -42,23 +43,22 @@ class _GSResult:
     score_time: float
 
 
-def _fit_and_score(job: _FitAndScoreJob) -> _GSResult:
+def _fit_and_score(job: _FitAndScoreJob) -> GSResult:
     start_time = time.time()
-    job.metalearner.fit(
-        job.X_train, job.y_train, job.w_train, **job.metalerner_fit_params
-    )
+    ml = job.metalearner_factory(**job.metalearner_params)
+    ml.fit(job.X_train, job.y_train, job.w_train, **job.metalerner_fit_params)
     fit_time = time.time() - start_time
     start_time = time.time()
 
-    train_scores = job.metalearner.evaluate(
+    train_scores = ml.evaluate(
         X=job.X_train,
         y=job.y_train,
         w=job.w_train,
         is_oos=False,
         scoring=job.scoring,
     )
     if job.X_test is not None and job.y_test is not None and job.w_test is not None:
-        test_scores = job.metalearner.evaluate(
+        test_scores = ml.evaluate(
             X=job.X_test,
             y=job.y_test,
             w=job.w_test,
@@ -69,16 +69,18 @@ def _fit_and_score(job: _FitAndScoreJob) -> _GSResult:
     else:
         test_scores = None
     score_time = time.time() - start_time
-    return _GSResult(
-        metalearner=job.metalearner,
+    return GSResult(
+        metalearner=ml,
         fit_time=fit_time,
         score_time=score_time,
         train_scores=train_scores,
         test_scores=test_scores,
     )
 
 
-def _format_results(results: Sequence[_GSResult]) -> pd.DataFrame:
+def _format_results(
+    results: list[GSResult] | Generator[GSResult, None, None]
+) -> pd.DataFrame:
     rows = []
     for result in results:
         row: dict[str, str | int | float] = {}
@@ -180,11 +182,33 @@ class MetaLearnerGridSearch:
 
     ``verbose`` will be passed to `joblib.Parallel <https://joblib.readthedocs.io/en/latest/parallel.html#parallel-reference-documentation>`_.
 
-    After fitting a dataframe with the results will be available in `results_`.
+    ``store_raw_results`` and ``store_results`` define which and how the results are saved
+    after calling :meth:`~metalearners.grid_search.MetaLearnerGridSearch.fit` depending on
+    their values:
+
+    * Both are ``True`` (default): ``raw_results_`` will be a list of
+      :class:`~metalearners.grid_search.GSResult` with all the results and ``results_``
+      will be a DataFrame with the processed results.
+    * ``store_raw_results=True`` and ``store_results=False``: ``raw_results_`` will be a
+      list of :class:`~metalearners.grid_search.GSResult` with all the results
+      and ``results`` will be ``None``.
+    * ``store_raw_results=False`` and ``store_results=True``: ``raw_results_`` will be
+      ``None`` and ``results_`` will be a DataFrame with the processed results.
+    * Both are ``False``: ``raw_results_`` will be a generator which yields a
+      :class:`~metalearners.grid_search.GSResult` for each configuration and ``results``
+      will be None. This configuration can be useful in the case the grid search is big
+      and you do not want to store all MetaLearners objects rather evaluate them after
+      fitting each one and just store one.
+
+    ``grid_size_`` will contain the number of hyperparameter combinations after fitting.
+    This attribute may be useful in the case ``store_raw_results = False`` and ``store_results = False``.
+    In that case, the generator object returned in ``raw_results_`` doesn't trigger the fitting
+    of individual metalearners until explicitly requested, e.g. in a loop. This attribute
+    can be use to track the progress, for instance, by creating a progress bar or a similar utility.
+
+    For an illustration see :ref:`our example on Tuning hyperparameters of a MetaLearner with MetaLearnerGridSearch <example-grid-search>`.
     """
 
-    # TODO: Add a reference to a docs example once it is written.
-
     def __init__(
         self,
         metalearner_factory: type[MetaLearner],
@@ -195,16 +219,17 @@ def __init__(
         n_jobs: int | None = None,
         random_state: int | None = None,
         verbose: int = 0,
+        store_raw_results: bool = True,
+        store_results: bool = True,
     ):
         self.metalearner_factory = metalearner_factory
         self.metalearner_params = metalearner_params
         self.scoring = scoring
         self.n_jobs = n_jobs
         self.random_state = random_state
         self.verbose = verbose
-
-        self.raw_results_: Sequence[_GSResult] | None = None
-        self.results_: pd.DataFrame | None = None
+        self.store_raw_results = store_raw_results
+        self.store_results = store_results
 
         all_base_models = set(
             metalearner_factory.nuisance_model_specifications().keys()
@@ -286,20 +311,33 @@ def fit(
                 }
                 propensity_model_params = params.get(PROPENSITY_MODEL, None)
 
-                ml = self.metalearner_factory(
-                    **self.metalearner_params,
-                    nuisance_model_factory=nuisance_model_factory,
-                    treatment_model_factory=treatment_model_factory,
-                    propensity_model_factory=propensity_model_factory,
-                    nuisance_model_params=nuisance_model_params,
-                    treatment_model_params=treatment_model_params,
-                    propensity_model_params=propensity_model_params,
-                    random_state=self.random_state,
-                )
+                grid_metalearner_params = {
+                    "nuisance_model_factory": nuisance_model_factory,
+                    "treatment_model_factory": treatment_model_factory,
+                    "propensity_model_factory": propensity_model_factory,
+                    "nuisance_model_params": nuisance_model_params,
+                    "treatment_model_params": treatment_model_params,
+                    "propensity_model_params": propensity_model_params,
+                    "random_state": self.random_state,
+                }
+
+                if (
+                    len(
+                        shared_keys := set(grid_metalearner_params.keys())
+                        & set(self.metalearner_params.keys())
+                    )
+                    > 0
+                ):
+                    raise ValueError(
+                        f"{shared_keys} should not be specified in metalearner_params as "
+                        "they are used internally. Please use the correct parameters."
+                    )
 
                 jobs.append(
                     _FitAndScoreJob(
-                        metalearner=ml,
+                        metalearner_factory=self.metalearner_factory,
+                        metalearner_params=dict(self.metalearner_params)
+                        | grid_metalearner_params,
                         X_train=X,
                         y_train=y,
                         w_train=w,
@@ -312,7 +350,17 @@ def fit(
                     )
                 )
 
-        parallel = Parallel(n_jobs=self.n_jobs, verbose=self.verbose)
-        raw_results = parallel(delayed(_fit_and_score)(job) for job in jobs)
-        self.raw_results_ = raw_results
-        self.results_ = _format_results(results=raw_results)
+        self.grid_size_ = len(jobs)
+        self.raw_results_: list[GSResult] | Generator[GSResult, None, None] | None
+        self.results_: pd.DataFrame | None = None
+
+        return_as = "list" if self.store_raw_results else "generator_unordered"
+        parallel = Parallel(
+            n_jobs=self.n_jobs, verbose=self.verbose, return_as=return_as
+        )
+        self.raw_results_ = parallel(delayed(_fit_and_score)(job) for job in jobs)
+        if self.store_results:
+            self.results_ = _format_results(results=self.raw_results_)  # type: ignore
+            if not self.store_raw_results:
+                # The generator will be empty so we replace it with None
+                self.raw_results_ = None
diff --git a/tests/test_grid_search.py b/tests/test_grid_search.py
@@ -2,7 +2,10 @@
 # SPDX-License-Identifier: BSD-3-Clause
 
 
+from types import GeneratorType
+
 import numpy as np
+import pandas as pd
 import pytest
 from lightgbm import LGBMClassifier, LGBMRegressor
 from sklearn.linear_model import LinearRegression, LogisticRegression
@@ -153,6 +156,7 @@ def test_metalearnergridsearch_smoke(
     assert gs.results_ is not None
     assert gs.results_.shape[0] == expected_n_configs
     assert gs.results_.index.names == expected_index_cols
+    assert gs.grid_size_ == expected_n_configs
 
     train_scores_cols = set(
         c[6:] for c in list(gs.results_.columns) if c.startswith("train_")
@@ -259,3 +263,65 @@ def test_metalearnergridsearch_reuse_propensity_smoke(grid_search_data):
     assert gs.results_ is not None
     assert gs.results_.shape[0] == 2
     assert len(gs.results_.index.names) == 5
+
+
+@pytest.mark.parametrize(
+    "store_raw_results, store_results, expected_type_raw_results, expected_type_results",
+    [
+        (True, True, list, pd.DataFrame),
+        (True, False, list, type(None)),
+        (False, True, type(None), pd.DataFrame),
+        (False, False, GeneratorType, type(None)),
+    ],
+)
+def test_metalearnergridsearch_store(
+    store_raw_results,
+    store_results,
+    expected_type_raw_results,
+    expected_type_results,
+    grid_search_data,
+):
+    X, _, y, w, X_test, _, y_test, w_test = grid_search_data
+    n_variants = len(np.unique(w))
+
+    metalearner_params = {
+        "is_classification": False,
+        "n_variants": n_variants,
+        "n_folds": 2,
+    }
+
+    gs = MetaLearnerGridSearch(
+        metalearner_factory=SLearner,
+        metalearner_params=metalearner_params,
+        base_learner_grid={"base_model": [LinearRegression, LGBMRegressor]},
+        param_grid={"base_model": {"LGBMRegressor": {"n_estimators": [1, 2]}}},
+        store_raw_results=store_raw_results,
+        store_results=store_results,
+    )
+
+    gs.fit(X, y, w, X_test, y_test, w_test)
+    assert isinstance(gs.raw_results_, expected_type_raw_results)
+    assert isinstance(gs.results_, expected_type_results)
+
+
+def test_metalearnergridsearch_error(grid_search_data):
+    X, _, y, w, X_test, _, y_test, w_test = grid_search_data
+    n_variants = len(np.unique(w))
+
+    metalearner_params = {
+        "is_classification": False,
+        "n_variants": n_variants,
+        "n_folds": 2,
+        "random_state": 1,
+    }
+
+    gs = MetaLearnerGridSearch(
+        metalearner_factory=SLearner,
+        metalearner_params=metalearner_params,
+        base_learner_grid={"base_model": [LinearRegression, LGBMRegressor]},
+        param_grid={"base_model": {"LGBMRegressor": {"n_estimators": [1, 2]}}},
+    )
+    with pytest.raises(
+        ValueError, match="should not be specified in metalearner_params"
+    ):
+        gs.fit(X, y, w, X_test, y_test, w_test)