使用 scipy.optimize.brute

Question

基于 this post 我正在尝试使用 brute 在 ARIMA 模型上进行网格搜索，但我做不到运行。我正在做这个原则证明，但我在论证上做错了什么？

y = pd.DataFrame([0,1,4,9,16]) + 3
def objfunc(coeffs, endog):
    exp = coeffs[0]
    const = coeffs[1]
    print(exp, const, endog)
    out = 0
    for i in range(4):
        out += i**exp + const
    return out

from scipy.optimize import brute
grid = (slice(0, 2, 1), slice(3, 4, 1))
brute(objfunc, ranges=grid, args=y)

(0, 3, 0)
(0, 3, 0)
(1, 3, 0)
...
TypeError: objfunc() takes exactly 2 arguments (1 given)

一旦我解决了这个问题，我的目标实际上是按顺序优化这个函数，seasonal_order 分别是这样的元组（_、_、_）和这个（_、_、_、12）。

def objfunc(coeffs, endog):
    order = coeffs[0]
    seasonal = coeffs[1]
    fit = sm.tsa.statespace.SARIMAX(endog, trend='n', order=order, seasonal_order=seasonal).fit()
    return fit.aic()

编辑：此代码有效（感谢@sasha），变量名更清晰，更有意义（我将错误的函数最小化）。

import pandas as pd    
y = np.array([0,1,4,9,16]) + 3 #polynomial x^2+3 with x=0:4
def objfunc(coeffs, *args):
    arr = args[0]                       # access first element of tuple: y
    exp = coeffs[0]                       #     assuming y should become endog
    const = coeffs[1]
    pol = [i**exp + const for i in range(len(y))]
    print coeffs
    return abs(sum(pol) - sum(arr))

from scipy.optimize import brute
grid = (slice(1, 3, 1), slice(2, 5, 1))
resbrute = brute(objfunc, ranges=grid, args=(y,), full_output=True, finish=None)
print("Best coeffs: {}".format(resbrute[0]))
print("Score with best coeffs: {}".format(resbrute[1]))
print("Grid: {}".format(resbrute[2].tolist()))
print("Scores for grid: {}".format(resbrute[3].tolist()))

Answer 1

包含所有这些变量名的代码看起来有点奇怪。内狗，y； y 变成 endog?

不过下面的方法大概就是这样了，完全按照documentation

args : tuple, optional

Any additional fixed parameters needed to completely specify the function.

代码：

import pandas as pd

y = pd.DataFrame([0,1,4,9,16]) + 3
def objfunc(coeffs, *args):
    endog = args[0]                       # access first element of tuple: y
    exp = coeffs[0]                       #     assuming y should become endog
    const = coeffs[1]
    print(exp, const, endog)
    out = 0
    for i in range(4):
        out += i**exp + const
    return out

from scipy.optimize import brute
grid = (slice(0, 2, 1), slice(3, 4, 1))
brute(objfunc, ranges=grid, args=(y,))    # in general a tuple; first pos: y

使用 scipy.optimize.brute

Using scipy.optimize.brute

python

scipy

nonlinear-optimization

arima