Python 使用scipy.optimize.brute
基于此,我试图使用brute在ARIMA模型上进行网格扫描,但我无法使其运行。我在做这个原则证明,但我的论点有什么错Python 使用scipy.optimize.brute,python,scipy,nonlinear-optimization,arima,Python,Scipy,Nonlinear Optimization,Arima,基于此,我试图使用brute在ARIMA模型上进行网格扫描,但我无法使其运行。我在做这个原则证明,但我的论点有什么错 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
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,我的目标实际上是在顺序和季节顺序上优化这个函数,分别是这样的元组(u,u,u,u,u,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:这段代码有效(多亏了@sasha),变量名更清晰,更有意义(我最小化了错误函数)
这些变量名的代码看起来有点奇怪。endog,y;y变成了endog 但以下可能是方法,它完全遵循 args:tuple,可选 完全指定函数所需的任何附加固定参数 代码:
变量名是正确的。我编辑了我的问题并包括了你的答案。我可以在SARIMAX上进行优化,我可能会发布它。非常感谢。
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()))
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