How to optimize for multiple metrics in Optuna

Question

How do I optimize for multiple metrics simultaneously inside the objective function of Optuna. For example, I am training an LGBM classifier and want to find the best hyperparameter set for all common classification metrics like F1, precision, recall, accuracy, AUC, etc.

def objective(trial):
    # Train
    gbm = lgb.train(param, dtrain)

    preds = gbm.predict(X_test)
    pred_labels = np.rint(preds)
    # Calculate metrics
    accuracy = sklearn.metrics.accuracy_score(y_test, pred_labels)
    recall = metrics.recall_score(pred_labels, y_test)
    precision = metrics.precision_score(pred_labels, y_test)
    f1 = metrics.f1_score(pred_labels, y_test, pos_label=1)

    ...

How do I do it?

Answer 1

After defining the grid and fitting the model with these params and generate predictions, calculate all metrics you want to optimize for:

def objective(trial):
    param_grid = {"n_estimators": trial.suggest_int("n_estimators", 2000, 10000, step=200)}
    clf = lgbm.LGBMClassifier(objective='binary', **param_grid)
    clf.fit(X_train, y_train)
    preds = clf.predict(X_valid)
    probs = clf.predict_proba(X_valid)
 
    # Metrics
    f1 = sklearn.metrics.f1_score(y_valid, press)
    accuracy = ...
    precision = ...
    recall = ...
    logloss = ...

and return them in the order you want:

def objective(trial):
    ...

    return f1, logloss, accuracy, precision, recall

Then, in the study object, specify whether you want to minimize or maximize each metric to directions like so:

study = optuna.create_study(directions=['maximize', 'minimize', 'maximize', 'maximize', 'maximize'])

study.optimize(objective, n_trials=100)

For more details, see Multi-objective Optimization with Optuna in the documentation.