XGBoost and scikit-optimize: BayesSearchCV and XGBRegressor are incompatible - why?

Question

I have a very large dataset (7 million rows, 54 features) that I would like to fit a regression model to using XGBoost. To train the best possible model, I want to use BayesSearchCV from scikit-optimize to run the fit repeatedly for different hyperparameter combinations until the best performing set is found.

For a given set of hyperparameters, XGBoost takes a very long time to train a model, so in order to find the best hyperparameters without spending days on every permutation of training folds, hyperparameters, etc., I want to multithread both XGBoost and BayesSearchCV. The relevant part of my code looks like this:

xgb_pipe = Pipeline([('clf', XGBRegressor(random_state = 42,  objective='reg:squarederror', n_jobs = 1))])

xgb_fit_params = {'clf__early_stopping_rounds': 5, 'clf__eval_metric': 'mae', 'clf__eval_set': [[X_val.values, y_val.values]]}

xgb_kfold = KFold(n_splits = 5, random_state = 42)

xgb_unsm_cv = BayesSearchCV(xgb_pipe, xgb_params, cv = xgb_kfold, n_jobs = 2, n_points = 1, n_iter = 15, random_state = 42, verbose = 4, scoring = 'neg_mean_absolute_error', fit_params = xgb_fit_params)

xgb_unsm_cv.fit(X_train.values, y_train.values)

However, I've found that when n_jobs > 1 in the BayesSearchCV call, the fit crashes and I get the following error:

TerminatedWorkerError: A worker process managed by the executor was unexpectedly terminated. This could be caused by a segmentation fault while calling the function or by an excessive memory usage causing the Operating System to kill the worker.

The exit codes of the workers are {SIGKILL(-9)}

This error persists whenever I use more than 1 thread in the BayesSearchCV call, and is independent of the memory I provide.

Is this some fundamental incompatibility between XGBoost and scikit-optimize, or can both packages be forced to work together somehow? Without some way of multithreading the optimization, I fear that fitting my model will take weeks to perform. What can I do to fix this?

Answer 1

I don't think the error has something to do with the incompatibility of the libraries. Rather, since you are asking for two different multi-thread operations, you are running out of the the memory as your program is trying to put the complete dataset onto your RAM not once but twice for multiple instances (depending on the threads).

TerminatedWorkerError: A worker process managed by the executor was unexpectedly terminated. This could be caused by a segmentation fault while calling the function or by an excessive memory usage causing the Operating System to kill the worker.

The exit codes of the workers are {SIGKILL(-9)}

Segmentation Fault refers to an error where the system ran out of available memory.

Note that XGBoost is a RAM hungry beast, coupling it with another multi-threaded operation is bound to take a toll(and personally, not recommended with daily driver machines.)

The most viable solution would be to probably use Google's TPU or some other cloud service (beware of the costs), or use some technique to reduce the size of the dataset for processing using some statistical techniques like the ones mentioned in this kaggle notebook and Data Science StackExchange Article.

The idea is, either you upscale the hardware (monetary cost), go head-on with single thread BayesianCV (time cost) or downsize the data using whatever technique best suits you.

Finally, the answer still is that the libraries are probably compatible, just the data is too large for the available RAM.