[Tune] Add ZOOpt search algorithm (#7960)

* add zoopt

* add zoopt search algo

* add zoopt

* fix zoopt

* add zoopt requirements

* fix zoopt

* remove generated guides

* Apply suggestions from code review

Co-authored-by: Richard Liaw <rliaw@berkeley.edu>

ci/jenkins_tests/run_tune_tests.sh

@@ -127,6 +127,10 @@ $SUPPRESS_OUTPUT docker run --rm --shm-size=${SHM_SIZE} --memory=${MEMORY_SIZE}
     python /ray/python/ray/tune/examples/dragonfly_example.py \
     --smoke-test
 
+$SUPPRESS_OUTPUT docker run --rm --shm-size=${SHM_SIZE} --memory=${MEMORY_SIZE} --memory-swap=-1 $DOCKER_SHA \
+    python /ray/python/ray/tune/examples/zoopt_example.py \
+    --smoke-test
+
 # Commenting out because flaky
 # $SUPPRESS_OUTPUT docker run --rm --shm-size=${SHM_SIZE} --memory=${MEMORY_SIZE} --memory-swap=-1 $DOCKER_SHA \
 #     python /ray/python/ray/tune/examples/pbt_memnn_example.py \

doc/source/tune-searchalg.rst

@@ -286,6 +286,59 @@ Take a look at `an example here <https://github.com/ray-project/ray/blob/master/
     :show-inheritance:
     :noindex:
 
+ZOOpt Search
+------------
+
+The ``ZOOptSearch`` is a SearchAlgorithm for derivative-free optimization. It is backed by the `ZOOpt <https://github.com/polixir/ZOOpt>`__ package. Currently, Asynchronous Sequential RAndomized COordinate Shrinking (ASRacos) algorithm is implemented in Tune. Note that this class does not extend ``ray.tune.suggest.BasicVariantGenerator``, so you will not be able to use Tune’s default variant generation/search space declaration when using ZOOptSearch.
+
+In order to use this search algorithm, you will need to install the ZOOpt package **(>=0.4.0)** via the following command:
+
+.. code-block:: bash
+
+    $ pip install -U zoopt
+
+Keep in mind that zoopt only supports Python 3.
+
+This algorithm allows users to mix continuous dimensions and discrete dimensions, for example:
+
+.. code-block:: python
+
+    dim_dict = {
+        # for continuous dimensions: (continuous, search_range, precision)
+        "height": (ValueType.CONTINUOUS, [-10, 10], 1e-2),
+        # for discrete dimensions: (discrete, search_range, has_order)
+        "width": (ValueType.DISCRETE, [-10, 10], False)
+    }
+
+    config = {
+        "num_samples": 200 if args.smoke_test else 1000,
+        "config": {
+            "iterations": 10,  # evaluation times
+        },
+        "stop": {
+            "timesteps_total": 10  # cumstom stop rules
+        }
+    }
+
+    zoopt_search = ZOOptSearch(
+        algo="Asracos",  # only support ASRacos currently
+        budget=config["num_samples"],
+        dim_dict=dim_dict,
+        max_concurrent=4,
+        metric="mean_loss",
+        mode="min")
+
+    run(my_objective,
+        search_alg=zoopt_search,
+        name="zoopt_search",
+        **config)
+
+An example of this can be found in `zoopt_example.py <https://github.com/ray-project/ray/blob/master/python/ray/tune/examples/zoopt_example.py>`__.
+
+.. autoclass:: ray.tune.suggest.zoopt.ZOOptSearch
+    :show-inheritance:
+    :noindex:
+
 Contributing a New Algorithm
 ----------------------------
 

docker/examples/Dockerfile

@@ -12,7 +12,7 @@ RUN pip install -U h5py  # Mutes FutureWarnings
 RUN pip install --upgrade bayesian-optimization
 RUN pip install --upgrade hyperopt==0.1.2
 RUN pip install ConfigSpace==0.4.10
-RUN pip install --upgrade sigopt nevergrad scikit-optimize hpbandster lightgbm xgboost torch torchvision tensorboardX dragonfly-opt
+RUN pip install --upgrade sigopt nevergrad scikit-optimize hpbandster lightgbm xgboost torch torchvision tensorboardX dragonfly-opt zoopt
 RUN pip install -U tabulate mlflow
 RUN pip install -U pytest-remotedata>=0.3.1
 RUN pip install -U matplotlib jupyter pandas 

docker/tune_test/requirements.txt

@@ -26,4 +26,6 @@ tensorboardX
 tensorflow_probability
 torch
 torchvision
-xgboost
+xgboost
+zoopt>=0.4.0
+dill

python/ray/tune/examples/zoopt_example.py

@@ -0,0 +1,65 @@
+"""This test checks that ZOOpt is functional.
+
+It also checks that it is usable with a separate scheduler.
+"""
+
+import ray
+from ray.tune import run
+from ray.tune.suggest.zoopt import ZOOptSearch
+from ray.tune.schedulers import AsyncHyperBandScheduler
+from zoopt import ValueType
+
+
+def easy_objective(config, reporter):
+    import time
+    time.sleep(0.2)
+    for i in range(config["iterations"]):
+        reporter(
+            timesteps_total=i,
+            mean_loss=(config["height"] - 14)**2 - abs(config["width"] - 3))
+        time.sleep(0.02)
+
+
+if __name__ == "__main__":
+    import argparse
+
+    parser = argparse.ArgumentParser()
+    parser.add_argument(
+        "--smoke-test", action="store_true", help="Finish quickly for testing")
+    args, _ = parser.parse_known_args()
+    ray.init()
+
+    # This dict could mix continuous dimensions and discrete dimensions,
+    # for example:
+    dim_dict = {
+        # for continuous dimensions: (continuous, search_range, precision)
+        "height": (ValueType.CONTINUOUS, [-10, 10], 1e-2),
+        # for discrete dimensions: (discrete, search_range, has_order)
+        "width": (ValueType.DISCRETE, [-10, 10], False)
+    }
+
+    config = {
+        "num_samples": 200 if args.smoke_test else 1000,
+        "config": {
+            "iterations": 10,  # evaluation times
+        },
+        "stop": {
+            "timesteps_total": 10  # cumstom stop rules
+        }
+    }
+
+    zoopt_search = ZOOptSearch(
+        algo="Asracos",  # only support ASRacos currently
+        budget=config["num_samples"],
+        dim_dict=dim_dict,
+        max_concurrent=4,
+        metric="mean_loss",
+        mode="min")
+
+    scheduler = AsyncHyperBandScheduler(metric="mean_loss", mode="min")
+
+    run(easy_objective,
+        search_alg=zoopt_search,
+        name="zoopt_search",
+        scheduler=scheduler,
+        **config)

python/ray/tune/suggest/zoopt.py

@@ -0,0 +1,159 @@
+import copy
+import logging
+import dill as pickle
+from zoopt import Dimension2, Parameter
+from zoopt.algos.opt_algorithms.racos.sracos import SRacosTune
+from ray.tune.suggest.suggestion import SuggestionAlgorithm
+
+logger = logging.getLogger(__name__)
+
+
+class ZOOptSearch(SuggestionAlgorithm):
+    """A wrapper around ZOOpt to provide trial suggestions.
+
+    Requires zoopt package (>=0.4.0) to be installed. You can install it
+    with the command: ``pip install -U zoopt``.
+
+    Parameters:
+        algo (str): To specify an algorithm in zoopt you want to use.
+            Only support ASRacos currently.
+        budget (int): Number of samples.
+        dim_dict (dict): Dimension dictionary.
+            For continuous dimensions: (continuous, search_range, precision);
+            For discrete dimensions: (discrete, search_range, has_order).
+            More details can be found in zoopt package.
+        max_concurrent (int): Number of maximum concurrent trials.
+            Defaults to 10.
+        metric (str): The training result objective value attribute.
+            Defaults to "episode_reward_mean".
+        mode (str): One of {min, max}. Determines whether objective is
+            minimizing or maximizing the metric attribute.
+            Defaults to "min".
+
+    .. code-block:: python
+
+        from ray.tune import run
+        from ray.tune.suggest.zoopt import ZOOptSearch
+        from zoopt import ValueType
+
+        dim_dict = {
+            "height": (ValueType.CONTINUOUS, [-10, 10], 1e-2),
+            "width": (ValueType.DISCRETE, [-10, 10], False)
+        }
+
+        config = {
+            "num_samples": 200,
+            "config": {
+                "iterations": 10,  # evaluation times
+            },
+            "stop": {
+                "timesteps_total": 10  # cumstom stop rules
+            }
+        }
+
+        zoopt_search = ZOOptSearch(
+            algo="Asracos",  # only support Asracos currently
+            budget=config["num_samples"],
+            dim_dict=dim_dict,
+            max_concurrent=4,
+            metric="mean_loss",
+            mode="min")
+
+        run(my_objective,
+            search_alg=zoopt_search,
+            name="zoopt_search",
+            **config)
+
+    """
+
+    optimizer = None
+
+    def __init__(self,
+                 algo="asracos",
+                 budget=None,
+                 dim_dict=None,
+                 max_concurrent=10,
+                 metric="episode_reward_mean",
+                 mode="min",
+                 **kwargs):
+
+        assert budget is not None, "`budget` should not be None!"
+        assert dim_dict is not None, "`dim_list` should not be None!"
+        assert type(max_concurrent) is int and max_concurrent > 0
+        assert mode in ["min", "max"], "`mode` must be 'min' or 'max'!"
+        _algo = algo.lower()
+        assert _algo in ["asracos", "sracos"
+                         ], "`algo` must be in ['asracos', 'sracos'] currently"
+
+        self._max_concurrent = max_concurrent
+        self._metric = metric
+        if mode == "max":
+            self._metric_op = -1.
+        elif mode == "min":
+            self._metric_op = 1.
+        self._live_trial_mapping = {}
+
+        self._dim_keys = []
+        _dim_list = []
+        for k in dim_dict:
+            self._dim_keys.append(k)
+            _dim_list.append(dim_dict[k])
+
+        dim = Dimension2(_dim_list)
+        par = Parameter(budget=budget)
+        if _algo == "sracos" or _algo == "asracos":
+            self.optimizer = SRacosTune(dimension=dim, parameter=par)
+
+        self.solution_dict = {}
+        self.best_solution_list = []
+
+        super(ZOOptSearch, self).__init__(
+            metric=self._metric, mode=mode, **kwargs)
+
+    def suggest(self, trial_id):
+        if self._num_live_trials() >= self._max_concurrent:
+            return None
+
+        _solution = self.optimizer.suggest()
+        if _solution:
+            self.solution_dict[str(trial_id)] = _solution
+            _x = _solution.get_x()
+            new_trial = dict(zip(self._dim_keys, _x))
+            self._live_trial_mapping[trial_id] = new_trial
+            return copy.deepcopy(new_trial)
+
+    def on_trial_result(self, trial_id, result):
+        pass
+
+    def on_trial_complete(self,
+                          trial_id,
+                          result=None,
+                          error=False,
+                          early_terminated=False):
+        """Notification for the completion of trial."""
+        if result:
+            _solution = self.solution_dict[str(trial_id)]
+            _best_solution_so_far = self.optimizer.complete(
+                _solution, self._metric_op * result[self._metric])
+            if _best_solution_so_far:
+                self.best_solution_list.append(_best_solution_so_far)
+            self._process_result(trial_id, result, early_terminated)
+
+        del self._live_trial_mapping[trial_id]
+
+    def _process_result(self, trial_id, result, early_terminated=False):
+        if early_terminated and self._use_early_stopped is False:
+            return
+
+    def _num_live_trials(self):
+        return len(self._live_trial_mapping)
+
+    def save(self, checkpoint_dir):
+        trials_object = self.optimizer
+        with open(checkpoint_dir, "wb") as output:
+            pickle.dump(trials_object, output)
+
+    def restore(self, checkpoint_dir):
+        with open(checkpoint_dir, "rb") as input:
+            trials_object = pickle.load(input)
+        self.optimizer = trials_object

python/ray/tune/tests/test_tune_restore.py

@@ -17,6 +17,8 @@ from ray.tune.suggest.bayesopt import BayesOptSearch
 from ray.tune.suggest.skopt import SkOptSearch
 from ray.tune.suggest.nevergrad import NevergradSearch
 from ray.tune.suggest.sigopt import SigOptSearch
+from ray.tune.suggest.zoopt import ZOOptSearch
+from zoopt import ValueType
 from ray.tune.utils import validate_save_restore
 
 
@@ -288,6 +290,28 @@ class SigOptWarmStartTest(AbstractWarmStartTest, unittest.TestCase):
         super().testWarmStart()
 
 
+class ZOOptWarmStartTest(AbstractWarmStartTest, unittest.TestCase):
+    def set_basic_conf(self):
+        dim_dict = {
+            "height": (ValueType.CONTINUOUS, [-100, 100], 1e-2),
+            "width": (ValueType.DISCRETE, [0, 20], False)
+        }
+
+        def cost(dim_dict, reporter):
+            reporter(
+                loss=(dim_dict["height"] - 14)**2 - abs(dim_dict["width"] - 3))
+
+        search_alg = ZOOptSearch(
+            algo="Asracos",  # only support ASRacos currently
+            budget=200,
+            dim_dict=dim_dict,
+            max_concurrent=1,
+            metric="loss",
+            mode="min")
+
+        return search_alg, cost
+
+
 if __name__ == "__main__":
     import pytest
     import sys