Implement KnnWarmStartPredictor; make it the default method

miplearn/solvers.py

@@ -3,7 +3,7 @@
 # Written by Alinson S. Xavier <axavier@anl.gov>
 
 from .transformers import PerVariableTransformer
-from .warmstart import LogisticWarmStartPredictor
+from .warmstart import KnnWarmStartPredictor
 import pyomo.environ as pe
 import numpy as np
 from copy import deepcopy
@@ -18,7 +18,7 @@ class LearningSolver:
     def __init__(self,
                  threads=4,
                  parent_solver=pe.SolverFactory('cbc'),
-                 ws_predictor=LogisticWarmStartPredictor(),
+                 ws_predictor=KnnWarmStartPredictor(),
                  mode="exact"):
         self.parent_solver = parent_solver
         self.parent_solver.options["threads"] = threads

miplearn/tests/test_warmstart_knn.py

@@ -0,0 +1,88 @@
+# MIPLearn, an extensible framework for Learning-Enhanced Mixed-Integer Optimization
+# Copyright (C) 2019-2020 Argonne National Laboratory. All rights reserved.
+# Written by Alinson S. Xavier <axavier@anl.gov>
+
+from miplearn.warmstart import KnnWarmStartPredictor
+from sklearn.metrics import accuracy_score, precision_score
+import numpy as np
+
+
+def test_knn_with_consensus():
+    x_train = np.array([
+        [0.0, 0.0],
+        [0.1, 0.0],
+        [0.0, 0.1],
+        [1.0, 1.0],
+    ])
+    y_train = np.array([
+        [0., 1.],
+        [0., 1.],
+        [0., 1.],
+        [1., 0.],
+    ])
+    ws = KnnWarmStartPredictor(k=3, thr_clip=[0.75, 0.75])
+    ws.fit(x_train, y_train)
+    
+    x_test = np.array([[0.0, 0.0]])
+    y_test = np.array([[0, 1]])
+    assert (ws.predict(x_test) == y_test).all()
+    
+def test_knn_without_consensus():
+    x_train = np.array([
+        [0.0, 0.0],
+        [0.1, 0.1],
+        [0.9, 0.9],
+        [1.0, 1.0],
+    ])
+    y_train = np.array([
+        [0., 1.],
+        [0., 1.],
+        [1., 0.],
+        [1., 0.],
+    ])
+    ws = KnnWarmStartPredictor(k=4, thr_clip=[0.75, 0.75])
+    ws.fit(x_train, y_train)
+    
+    x_test = np.array([[0.5, 0.5]])
+    y_test = np.array([[0, 0]])
+    assert (ws.predict(x_test) == y_test).all()    
+    
+def test_knn_always_true():
+    x_train = np.array([
+        [0.0, 0.0],
+        [0.1, 0.1],
+        [0.9, 0.9],
+        [1.0, 1.0],
+    ])
+    y_train = np.array([
+        [1., 0.],
+        [1., 0.],
+        [1., 0.],
+        [1., 0.],
+    ])
+    ws = KnnWarmStartPredictor(k=4, thr_clip=[0.75, 0.75])
+    ws.fit(x_train, y_train)
+    
+    x_test = np.array([[0.5, 0.5]])
+    y_test = np.array([[1, 0]])
+    assert (ws.predict(x_test) == y_test).all()       
+    
+def test_knn_always_false():
+    x_train = np.array([
+        [0.0, 0.0],
+        [0.1, 0.1],
+        [0.9, 0.9],
+        [1.0, 1.0],
+    ])
+    y_train = np.array([
+        [0., 1.],
+        [0., 1.],
+        [0., 1.],
+        [0., 1.],
+    ])
+    ws = KnnWarmStartPredictor(k=4, thr_clip=[0.75, 0.75])
+    ws.fit(x_train, y_train)
+    
+    x_test = np.array([[0.5, 0.5]])
+    y_test = np.array([[0, 1]])
+    assert (ws.predict(x_test) == y_test).all()           

miplearn/warmstart.py

@@ -8,10 +8,12 @@ from sklearn.pipeline import make_pipeline
 from sklearn.linear_model import LogisticRegression
 from sklearn.preprocessing import StandardScaler
 from sklearn.model_selection import cross_val_score
+from sklearn.neighbors import KNeighborsClassifier
 
 class WarmStartPredictor(ABC):
-    def __init__(self):
+    def __init__(self, thr_clip=[0.50, 0.50]):
         self.models = [None, None]
+        self.thr_clip = thr_clip
         
     def fit(self, x_train, y_train):
         assert isinstance(x_train, np.ndarray)
@@ -23,13 +25,16 @@ class WarmStartPredictor(ABC):
 
     def predict(self, x_test):
         assert isinstance(x_test, np.ndarray)
-        y_pred = np.zeros((x_test.shape[0], 2), dtype=np.int)
+        y_pred = np.zeros((x_test.shape[0], 2))
         for i in [0,1]:
             if isinstance(self.models[i], int):
                 y_pred[:, i] = self.models[i]
             else:
-                y_pred[:, i] = self.models[i].predict(x_test)
-        return y_pred
+                y = self.models[i].predict_proba(x_test)[:,1]
+                y[y < self.thr_clip[i]] = 0.
+                y[y > 0.] = 1.
+                y_pred[:, i] = y
+        return y_pred.astype(int)
 
     @abstractmethod
     def _fit(self, x_train, y_train, label):
@@ -71,4 +76,32 @@ class LogisticWarmStartPredictor(WarmStartPredictor):
             return 0
         
         reg.fit(x_train, y_train.astype(int))
-        return reg
+        return reg
+    
+    
+class KnnWarmStartPredictor(WarmStartPredictor):
+    def __init__(self, k=50,
+                 thr_clip=[0.90, 0.90],
+                 thr_fix=[0.99, 0.99]):
+        super().__init__(thr_clip=thr_clip)
+        self.k = k
+        self.thr_fix = thr_fix
+
+    def _fit(self, x_train, y_train, label):
+        y_train_avg = np.average(y_train)
+
+        # If number of training samples is too small, don't predict anything.
+        if x_train.shape[0] < self.k:
+            return 0
+        
+        # If vast majority of observations are true, always return true.
+        if y_train_avg > self.thr_fix[label]:
+            return 1
+        
+        # If vast majority of observations are false, always return false.
+        if y_train_avg < (1 - self.thr_fix[label]):
+            return 0
+        
+        knn = KNeighborsClassifier(n_neighbors=self.k)
+        knn.fit(x_train, y_train)
+        return knn