# coding:utf-8
from scipy.optimize import minimize
class Optimizer(object):
def __init__(self, models, scorer, test_size=0.2):
self.test_size = test_size
self.scorer = scorer
self.models = models
self.predictions = []
self.y = None
self._predict()
def _predict(self):
for model in self.models:
y_true_list, y_pred_list = model.validate(k=1, test_size=self.test_size)
if self.y is None:
self.y = y_true_list[0]
self.predictions.append(y_pred_list[0])
def loss_func(self, weights):
final_prediction = 0
for weight, prediction in zip(weights, self.predictions):
final_prediction += weight * prediction
return self.scorer(self.y, final_prediction)
def minimize(self, method):
starting_values = [0.5] * len(self.predictions)
cons = {"type": "eq", "fun": lambda w: 1 - sum(w)}
bounds = [(0, 1)] * len(self.predictions)
res = minimize(
self.loss_func, starting_values, method=method, bounds=bounds, constraints=cons
)
print("Best Score (%s): %s" % (self.scorer.__name__, res["fun"]))
print("Best Weights: %s" % res["x"])
return res["x"]
