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Optuna support for XGBoost, MLP and CatBoost ALpha360 dataset
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.pyunder upper directory ofqlib. - [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):
-
optuna create-study --study <<Model>>_360 --storage sqlite:///db.sqlite3for example we can change<<Model>>forCatBoostand runoptuna create-study --study CatBoost_360 --storage sqlite:///db.sqlite3 -
optuna-dashboard --port 5000 --host 0.0.0.0 sqlite:///db.sqlite3 - Open the dashboard and you should see images as the ones below
Types of changes
- [ ] Fix bugs
- [x] Add new feature
- [ ] Update documentation