Add multi objective optimization to HPO

clearml/automation/hpbandster/bandster.py

@@ -85,7 +85,7 @@ class _TrainsBandsterWorker(Worker):
                 self.optimizer.budget.iterations.update(self._current_job.task_id(), iteration_value[0])
 
                 # check if we exceeded this job budget
-                if iteration_value[0] >= self.budget_iteration_scale * budget:
+                if iteration_value[0][0] >= self.budget_iteration_scale * budget:
                     self._current_job.abort()
                     break
 
@@ -95,7 +95,7 @@ class _TrainsBandsterWorker(Worker):
             # noinspection PyProtectedMember
             self.optimizer.budget.jobs.update(
                 self._current_job.task_id(),
-                float(iteration_value[0]) / self.optimizer._max_iteration_per_job)
+                float(iteration_value[0][0]) / self.optimizer._max_iteration_per_job)
 
         result = {
             # this is the a mandatory field to run hyperband
@@ -104,7 +104,7 @@ class _TrainsBandsterWorker(Worker):
             # can be used for any user-defined information - also mandatory
             'info': self._current_job.task_id()
         }
-        print('TrainsBandsterWorker result {}, iteration {}'.format(result, iteration_value))
+        print('TrainsBandsterWorker result {}, iteration {}'.format(result, iteration_value[0]))
         # noinspection PyProtectedMember
         self.optimizer._current_jobs.remove(self._current_job)
         return result
@@ -299,7 +299,7 @@ class OptimizerBOHB(SearchStrategy, RandomSeed):
                 sleep_interval=int(self.pool_period_minutes * 60),
                 budget_iteration_scale=budget_iteration_scale,
                 base_task_id=self._base_task_id,
-                objective=self._objective_metric,
+                objective=self._objective_metric.objectives[0],
                 queue_name=self._execution_queue,
                 nameserver='127.0.0.1', nameserver_port=self._nameserver_port, run_id=fake_run_id, id=i)
             w.run(background=True)

clearml/automation/optimization.py

@@ -1,13 +1,16 @@
 import hashlib
 import json
 import six
+import numpy as np
+import functools
 from copy import copy, deepcopy
 from datetime import datetime
 from itertools import product
 from logging import getLogger
 from threading import Thread, Event
 from time import time
-from typing import List, Set, Union, Any, Sequence, Optional, Mapping, Callable
+from typing import List, Set, Union, Any, Sequence, Optional, Mapping, Callable, Tuple
+from abc import ABC, abstractmethod
 
 from .job import ClearmlJob, LocalClearmlJob
 from .parameters import Parameter
@@ -18,8 +21,33 @@ from ..task import Task
 
 logger = getLogger('clearml.automation.optimization')
 
+class _ObjectiveInterface(ABC):
+    @abstractmethod
+    def get_objective(self, task_id):
+        pass
 
-class Objective(object):
+    @abstractmethod
+    def get_current_raw_objective(self, task):
+        pass
+
+    @abstractmethod
+    def get_objective_sign(self):
+        pass
+
+    @abstractmethod
+    def get_objective_metric(self):
+        pass
+
+    @abstractmethod
+    def get_normalized_objective(self, task_id):
+        pass
+
+    @abstractmethod
+    def get_top_tasks(self, top_k, optimizer_task_id=None, task_filter=None):
+        pass
+
+
+class Objective(_ObjectiveInterface):
     """
     Optimization ``Objective`` class to maximize / minimize over all experiments. This class will sample a specific
     scalar from all experiments, and maximize / minimize over single scalar (i.e., title and series combination).
@@ -53,7 +81,7 @@ class Objective(object):
         self.series = series
         assert order in ('min', 'max',)
         # normalize value so we always look for the highest objective value
-        self.sign = -1 if (isinstance(order, str) and order.lower().strip() == 'min') else +1
+        self.sign = -1 if (isinstance(order, str) and order.lower().strip() == 'min') else 1
         self._metric = None
         self.extremum = extremum
 
@@ -243,7 +271,7 @@ class Budget(object):
             # type: () -> (Optional[float])
             if self.limit is None or not self.current:
                 return None
-            return sum(self.current.values())/float(self.limit)
+            return sum(self.current.values()) / float(self.limit)
 
     def __init__(self, jobs_limit, iterations_limit, compute_time_limit):
         # type: (Optional[int], Optional[int], Optional[float]) -> ()
@@ -467,7 +495,7 @@ class SearchStrategy(object):
 
         if self.max_iteration_per_job:
             iterations = self._get_job_iterations(job)
-            if iterations > 0:
+            if iterations and iterations > 0:
                 self.budget.iterations.update(job.task_id(), iterations)
                 if iterations > self.max_iteration_per_job:
                     abort_job = True
@@ -512,12 +540,8 @@ class SearchStrategy(object):
 
         :return: A list of Task objects, ordered by performance, where index 0 is the best performing Task.
         """
-        # noinspection PyProtectedMember
-        top_tasks = self._get_child_tasks(
-            parent_task_id=self._job_parent_id or self._base_task_id,
-            order_by=self._objective_metric._get_last_metrics_encode_field(),
-            additional_filters={'page_size': int(top_k), 'page': 0})
-        return top_tasks
+        return self._objective_metric.get_top_tasks(top_k=top_k,
+                                                    optimizer_task_id=self._job_parent_id or self._base_task_id)
 
     def get_top_experiments_id_metrics_pair(self, top_k, all_metrics=False, only_completed=False):
         # type: (int, bool, bool) -> Sequence[(str, dict)]
@@ -582,15 +606,17 @@ class SearchStrategy(object):
         # noinspection PyProtectedMember
         top_tasks_ids_metric = self._get_child_tasks_ids(
             parent_task_id=self._job_parent_id or self._base_task_id,
-            order_by=self._objective_metric._get_last_metrics_encode_field(),
+            order_by=self._objective_metric._get_last_metrics_encode_field()[0],
             additional_filters=additional_filters,
             additional_fields=['last_metrics']
         )
 
-        title, series = self._objective_metric.get_objective_metric() if not all_metrics else (None, None)
+        title_series = self._objective_metric.get_objective_metric() if not all_metrics else (None, None)
+        titles = [ts[0] for ts in title_series]
+        series = [ts[1] for ts in title_series]
         return [(i, {'{}/{}'.format(v['metric'], v['variant']): v
                      for variant in metric.values() for v in variant.values()
-                     if all_metrics or v['metric'] == title and v['variant'] == series}
+                     if all_metrics or (v['metric'] in titles and v['variant'] in series)}
                  ) for i, metric in top_tasks_ids_metric]
 
     def get_top_experiments_details(
@@ -669,15 +695,28 @@ class SearchStrategy(object):
         # noinspection PyProtectedMember
         top_tasks_ids_metric_params = self._get_child_tasks_ids(
             parent_task_id=self._job_parent_id or self._base_task_id,
-            order_by=self._objective_metric._get_last_metrics_encode_field(),
+            order_by=self._objective_metric._get_last_metrics_encode_field()[
+                0] if self._objective_metric.len == 1 else None,
             additional_filters=additional_filters,
             additional_fields=['last_metrics', 'hyperparams']
         )
+        if self._objective_metric.len != 1:
+            top_tasks_ids_metric_params_dict = {}
+            for task in top_tasks_ids_metric_params:
+                objective = self._objective_metric.get_objective(task[0])
+                if objective is None or any(o is None for o in objective):
+                    continue
+                top_tasks_ids_metric_params_dict[task[0]] = (objective, task)
+            # noinspection PyProtectedMember
+            sorted_ids = self._objective_metric._sort_jobs_by_domination(top_tasks_ids_metric_params_dict)
+            top_tasks_ids_metric_params = [top_tasks_ids_metric_params_dict[s][1] for s in sorted_ids]
 
         # get hp_parameters:
         hp_params = set(p.name for p in self._hyper_parameters)
 
-        title, series = self._objective_metric.get_objective_metric() if not all_metrics else (None, None)
+        title_series = self._objective_metric.get_objective_metric() if not all_metrics else (None, None)
+        titles = [ts[0] for ts in title_series]
+        series = [ts[1] for ts in title_series]
         return [
             {
                 'task_id': tid,
@@ -688,19 +727,20 @@ class SearchStrategy(object):
                 },
                 'metrics': {
                     '{}/{}'.format(v['metric'], v['variant']): v for variant in metric.values()
-                    for v in variant.values() if all_metrics or v['metric'] == title and v['variant'] == series
+                    for v in variant.values() if all_metrics or v['metric'] in titles and v['variant'] in series
                 }
             } for tid, metric, param_sections in top_tasks_ids_metric_params
         ]
 
     def get_objective_metric(self):
-        # type: () -> (str, str)
+        # type: () -> Union[Tuple[str, str], List[Tuple[str, str]]]
         """
         Return the metric title, series pair of the objective.
 
         :return: (title, series)
         """
-        return self._objective_metric.get_objective_metric()
+        objective = self._objective_metric.get_objective_metric()
+        return objective[0] if self._objective_metric.len == 1 else objective
 
     def helper_create_job(
             self,
@@ -823,7 +863,9 @@ class SearchStrategy(object):
     def _get_job_iterations(self, job):
         # type: (Union[ClearmlJob, Task]) -> int
         iteration_value = self._objective_metric.get_current_raw_objective(job)
-        return iteration_value[0] if iteration_value else -1
+        if iteration_value is not None and any(iv is not None and iv[0] is not None for iv in iteration_value):
+            return max(iv[0] for iv in iteration_value if iv is not None)
+        return -1
 
     @classmethod
     def _get_child_tasks_ids(
@@ -887,7 +929,7 @@ class SearchStrategy(object):
         task_objects = Task._query_tasks(**task_filter)
         if not additional_fields:
             return [t.id for t in task_objects]
-        return [[t.id]+[getattr(t, f, None) for f in additional_fields] for t in task_objects]
+        return [[t.id] + [getattr(t, f, None) for f in additional_fields] for t in task_objects]
 
     @classmethod
     def _get_child_tasks(
@@ -927,6 +969,146 @@ class SearchStrategy(object):
         ]
 
 
+class MultiObjective(_ObjectiveInterface):
+    def __init__(self, title, series, order, extremum):
+        self.title = title
+        self.series = series
+        self.order = order
+        self.extremum = extremum
+        self.objectives = []
+        for title_, series_, order_, extremum_ in zip(title, series, order, extremum):
+            self.objectives.append(Objective(title=title_, series=series_, order=order_, extremum=extremum_))
+        self.len = len(self.objectives)
+
+    def get_objective(self, task_id):
+        # type: (Union[str, Task, ClearmlJob]) -> Optional[List[float]]
+        """
+        Return a specific task scalar values based on the objective settings (title/series).
+
+        :param str task_id: The Task ID to retrieve scalar from (or ``ClearMLJob`` object).
+
+        :return: The scalar values.
+        """
+        objective = [o.get_objective(task_id) for o in self.objectives]
+        if any(o is None for o in objective):
+            return None
+        return objective
+
+    def get_current_raw_objective(self, task):
+        # type: (Union[ClearmlJob, Task]) -> Optional[List[Tuple[int, float]]]
+        """
+        Return the current raw value (without sign normalization) of each objective.
+
+        :param str task: The Task or Job to retrieve scalar from (or ``ClearmlJob`` object).
+        :return: List[Optional[Tuple(iteration, value)]]. None if the metric does not exist.
+        """
+        objective = [o.get_current_raw_objective(task) for o in self.objectives]
+        if any(o is None for o in objective):
+            return None
+        return objective
+
+    def get_objective_sign(self):
+        # type: () -> List[float]
+        """
+        Return the sign of the objectives.
+
+        - ``+1`` - If maximizing
+        - ``-1`` - If minimizing
+
+        :return: Objective function signs.
+        """
+        return [o.get_objective_sign() for o in self.objectives]
+
+    def get_normalized_objective(self, task_id):
+        # type: (Union[str, Task, ClearmlJob]) -> Optional[List[float]]
+        """
+        Return a normalized task scalar values based on the objective settings (title/series).
+        I.e. objective is always to maximize the returned value
+
+        :param str task_id: The Task ID to retrieve scalars from.
+
+        :return: Normalized scalar values.
+        """
+        objective = [o.get_normalized_objective(task_id) for o in self.objectives]
+        if any(o is None for o in objective):
+            return None
+        return objective
+
+    def get_objective_metric(self):
+        # type: () -> List[(str, str)]
+        """
+        Return the metric title, series pairs of the objectives.
+
+        :return: List[(title, series)]
+        """
+        return [o.get_objective_metric() for o in self.objectives]
+
+    def get_top_tasks(self, top_k, optimizer_task_id=None, task_filter=None):
+        # type: (int, Optional[str], Optional[dict]) -> Sequence[Task]
+        """
+        Return a list of Tasks of the top performing experiments.
+        If there is only one objective, the tasks are sorted based on that objective.
+        If there are multiple objectives, the tasks are sorted based on successive Pareto fronts.
+        A trial is located at the Pareto front if there are no trials that dominate the trial.
+        A trial dominates another trial if all its objective metrics are greater or equal than the other
+        trial's and there is at least one objective metric that is strictly greater than the other.
+
+        :param int top_k: The number of Tasks (experiments) to return.
+        :param str optimizer_task_id: Parent optimizer Task ID
+        :param dict task_filter: Optional task_filtering for the query
+
+        :return: A list of Task objects, ordered by performance, where index 0 is the best performing Task.
+        """
+        if self.len == 1:
+            return self.objectives[0].get_top_tasks(
+                top_k=top_k,
+                optimizer_task_id=optimizer_task_id,
+                task_filter=task_filter
+            )
+        task_filter = deepcopy(task_filter) if task_filter else {}
+        if optimizer_task_id:
+            task_filter["parent"] = optimizer_task_id
+        # noinspection PyProtectedMember
+        tasks = Task._query_tasks(**task_filter)
+        candidates = {}
+        for task in tasks:
+            values = self.get_objective(task.id)
+            if values is None or any(v is None for v in values):
+                continue
+            candidates[task.id] = (values, task.id)
+        sorted_ids = self._sort_jobs_by_domination(candidates)
+        if not sorted_ids:
+            return []
+        return Task.get_tasks(task_ids=sorted_ids[:top_k])
+
+    def _get_last_metrics_encode_field(self):
+        # noinspection PyProtectedMember
+        return [o._get_last_metrics_encode_field() for o in self.objectives]
+
+    def _weakly_dominates_normalized(self, lhs, rhs):
+        return all(lhs_elem * o.sign >= rhs_elem * o.sign for lhs_elem, rhs_elem, o in zip(lhs, rhs, self.objectives))
+
+    @staticmethod
+    def _dominates(lhs, rhs):
+        return all(lhs_elem >= rhs_elem for lhs_elem, rhs_elem in zip(lhs, rhs)) and \
+            any(lhs_elem > rhs_elem for lhs_elem, rhs_elem in zip(lhs, rhs))
+
+    def _sort_jobs_by_domination(self, jobs):
+        job_ids = list(jobs.keys())
+        job_ids_sorted = []
+        while len(job_ids_sorted) < len(jobs.keys()):
+            have_result = False
+            for job_id in job_ids:
+                if all(self._weakly_dominates_normalized(jobs[job_id][0], jobs[other_job_id][0])
+                       for other_job_id in job_ids):
+                    have_result = True
+                    job_ids_sorted.append(job_id)
+            if not have_result:
+                job_ids_sorted.extend(job_ids)
+            job_ids = [job_id for job_id in job_ids if job_id not in job_ids_sorted]
+        return job_ids_sorted
+
+
 class GridSearch(SearchStrategy):
     """
     Grid search strategy controller. Full grid sampling of every hyperparameter combination.
@@ -1089,12 +1271,12 @@ class HyperParameterOptimizer(object):
             self,
             base_task_id,  # type: str
             hyper_parameters,  # type: Sequence[Parameter]
-            objective_metric_title,  # type: str
-            objective_metric_series,  # type: str
-            objective_metric_sign='min',  # type: str
+            objective_metric_title,  # type: Union[str, Sequence[str]]
+            objective_metric_series,  # type: Union[str, Sequence[str]]
+            objective_metric_sign="min",  # type: Union[str, Sequence[str]]
             optimizer_class=RandomSearch,  # type: Union[SearchStrategy, type(SearchStrategy)]
             max_number_of_concurrent_tasks=10,  # type: int
-            execution_queue='default',  # type: str
+            execution_queue="default",  # type: str
             optimization_time_limit=None,  # type: Optional[float]
             compute_time_limit=None,  # type: Optional[float]
             auto_connect_task=True,  # type: Union[bool, Task]
@@ -1109,10 +1291,14 @@ class HyperParameterOptimizer(object):
 
         :param str base_task_id: The Task ID to be used as template experiment to optimize.
         :param list hyper_parameters: The list of Parameter objects to optimize over.
-        :param str objective_metric_title: The Objective metric title to maximize / minimize (for example,
-            ``validation``).
-        :param str objective_metric_series: The Objective metric series to maximize / minimize (for example, ``loss``).
-        :param str objective_metric_sign: The objective to maximize / minimize.
+        :param Union[str, Sequence[str]] objective_metric_title: The Objective metric title(s) to maximize / minimize
+            (for example, ``validation``, ``["validation", "loss"]``). If ``objective_metric_title`` is a sequence
+            (used to optimize multiple objectives at the same time), then ``objective_metric_series`` and
+             ``objective_metric_sign`` have to be sequences of the same length. Each title will be matched
+             with the respective series and sign
+        :param Union[str, Sequence[str]] objective_metric_series: The Objective metric series to maximize / minimize
+            (for example, ``loss_series``, ``["validation_series", "loss_series"]``).
+        :param Union[str, Sequence[str]] objective_metric_sign: The objectives to maximize / minimize.
             The values are:
 
           - ``min`` - Minimize the last reported value for the specified title/series scalar.
@@ -1190,7 +1376,24 @@ class HyperParameterOptimizer(object):
                 # make sure we stop all jobs
                 an_optimizer.stop()
         """
-
+        if type(objective_metric_title) is not type(objective_metric_series) or type(
+                objective_metric_title) is not type(objective_metric_sign):
+            raise TypeError(
+                "objective_metric_series, objective_metric_title and objective_metric_sign have to be of the same type"
+                " (strings if doing single objective optimization and lists of the same length"
+                " if doing multi-objective optimization)"
+            )
+        if isinstance(objective_metric_title, str):
+            objective_metric_series = [objective_metric_series]
+            objective_metric_title = [objective_metric_title]
+            objective_metric_sign = [objective_metric_sign]
+        if len(objective_metric_series) != len(objective_metric_title) or len(objective_metric_series) != len(
+                objective_metric_sign
+        ):
+            raise ValueError(
+                "Can not use multiple objective optimization when objective_metric_series, objective_metric_title"
+                " or objective_metric_sign do not have the same length"
+            )
         # create a new Task, if we do not have one already
         self._task = auto_connect_task if isinstance(auto_connect_task, Task) else Task.current_task()
         self._readonly_task = \
@@ -1224,17 +1427,29 @@ class HyperParameterOptimizer(object):
         self.hyper_parameters = hyper_parameters
         self.max_number_of_concurrent_tasks = opts['max_number_of_concurrent_tasks']
         self.execution_queue = opts['execution_queue']
-        self.objective_metric = Objective(
-            title=opts['objective_metric_title'], series=opts['objective_metric_series'],
-            order='min' if opts['objective_metric_sign'] in ('min', 'min_global') else 'max',
-            extremum=opts['objective_metric_sign'].endswith('_global'))
+        self._objective_metric = MultiObjective(
+            title=opts["objective_metric_title"],
+            series=opts["objective_metric_series"],
+            order=["min" if sign_ in ("min", "min_global") else "max" for sign_ in opts["objective_metric_sign"]],
+            extremum=[sign_.endswith("_global") for sign_ in opts["objective_metric_sign"]]
+        )
+        optuna_error_message = "Multi parameter optimization is only supported via Optuna. Please install Optuna via" + \
+                               " `pip install optuna and set the `optimizer_class` to `clearml.automation.optuna.OptimizerOptuna`"
+        try:
+            if self._objective_metric.len != 1:
+                from .optuna import OptimizerOptuna
+
+                if optimizer_class != OptimizerOptuna:
+                    raise ValueError(optuna_error_message)
+        except Exception:
+            raise ValueError(optuna_error_message)
         # if optimizer_class is an instance, use it as is.
-        if type(optimizer_class) != type:
+        if not isinstance(optimizer_class, type):
             self.optimizer = optimizer_class
         else:
             self.optimizer = optimizer_class(
                 base_task_id=opts['base_task_id'], hyper_parameters=hyper_parameters,
-                objective_metric=self.objective_metric, execution_queue=opts['execution_queue'],
+                objective_metric=self._objective_metric, execution_queue=opts['execution_queue'],
                 num_concurrent_workers=opts['max_number_of_concurrent_tasks'],
                 compute_time_limit=opts['compute_time_limit'], **opts.get('optimizer_kwargs', {}))
         self.optimizer.set_optimizer_task(self._task)
@@ -1607,9 +1822,9 @@ class HyperParameterOptimizer(object):
     @classmethod
     def get_optimizer_top_experiments(
             cls,
-            objective_metric_title,  # type: str
-            objective_metric_series,  # type: str
-            objective_metric_sign,  # type: str
+            objective_metric_title,  # type: Union[str, List[str]]
+            objective_metric_series,  # type: Union[str, List[str]]
+            objective_metric_sign,  # type: Union[str, List[str]]
             optimizer_task_id,  # type: str
             top_k,  # type: int
     ):
@@ -1636,6 +1851,12 @@ class HyperParameterOptimizer(object):
             title=objective_metric_title, series=objective_metric_series, order=objective_metric_sign)
         return objective.get_top_tasks(top_k=top_k, optimizer_task_id=optimizer_task_id)
 
+    @property
+    def objective_metric(self):
+        if self._objective_metric.len == 1:
+            return self._objective_metric.objectives[0]
+        return self._objective_metric
+
     def _connect_args(self, optimizer_class=None, hyper_param_configuration=None, **kwargs):
         # type: (SearchStrategy, dict, Any) -> (SearchStrategy, list, dict)
         if not self._task or self._readonly_task:
@@ -1705,8 +1926,8 @@ class HyperParameterOptimizer(object):
 
     def _report_daemon(self):
         # type: () -> ()
-        title, series = self.objective_metric.get_objective_metric()
-        title = '{}/{}'.format(title, series)
+        title_series = self._objective_metric.get_objective_metric()
+        title = ["{}/{}".format(ts[0], ts[1]) for ts in title_series]
         counter = 0
         completed_jobs = dict()
         task_logger = None
@@ -1722,10 +1943,14 @@ class HyperParameterOptimizer(object):
                 params["status"] = str(task.status)
                 # noinspection PyProtectedMember
                 iteration_value = task.get_last_iteration()
-                objective = self.objective_metric.get_objective(task)
+                objective = self._objective_metric.get_objective(task)
                 completed_jobs[task.id] = (
-                    objective if objective is not None else -1,
-                    iteration_value if iteration_value is not None else -1,
+                    objective if objective is not None else (
+                            [-1] * self._objective_metric.len
+                    ),
+                    iteration_value if iteration_value is not None else (
+                            [-1] * self._objective_metric.len
+                    ),
                     params
                 )
 
@@ -1754,9 +1979,9 @@ class HyperParameterOptimizer(object):
                 self._report_remaining_budget(task_logger, counter)
 
                 if (
-                    self.optimizer.budget.compute_time.used
-                    and self.optimizer.budget.compute_time.limit
-                    and self.optimizer.budget.compute_time.used >= self.optimizer.budget.compute_time.limit
+                        self.optimizer.budget.compute_time.used
+                        and self.optimizer.budget.compute_time.limit
+                        and self.optimizer.budget.compute_time.used >= self.optimizer.budget.compute_time.limit
                 ):
                     logger.warning(
                         "Optimizer task reached compute time limit (used {:.2f} out of {:.2f})".format(
@@ -1768,7 +1993,7 @@ class HyperParameterOptimizer(object):
                 self._report_resources(task_logger, counter)
                 # collect a summary of all the jobs and their final objective values
                 cur_completed_jobs = set(self.optimizer.get_created_jobs_ids().keys()) - \
-                    {j.task_id() for j in self.optimizer.get_running_jobs()}
+                                     {j.task_id() for j in self.optimizer.get_running_jobs()}
                 self._report_completed_status(completed_jobs, cur_completed_jobs, task_logger, title)
                 self._report_completed_tasks_best_results(set(completed_jobs.keys()), task_logger, title, counter)
 
@@ -1791,9 +2016,9 @@ class HyperParameterOptimizer(object):
     def _report_completed_status(self, completed_jobs, cur_completed_jobs, task_logger, title, force=False):
         job_ids_sorted_by_objective = self.__sort_jobs_by_objective(completed_jobs)
         best_experiment = \
-            (self.objective_metric.get_normalized_objective(job_ids_sorted_by_objective[0]),
+            (self._objective_metric.get_normalized_objective(job_ids_sorted_by_objective[0]),
              job_ids_sorted_by_objective[0]) \
-            if job_ids_sorted_by_objective else (float('-inf'), None)
+                if job_ids_sorted_by_objective else ([float("-inf")], None)
         if force or cur_completed_jobs != set(completed_jobs.keys()):
             pairs = []
             labels = []
@@ -1801,13 +2026,14 @@ class HyperParameterOptimizer(object):
             created_jobs_tasks = self.optimizer.get_created_jobs_tasks()
             id_status = {j_id: j_run.status() for j_id, j_run in created_jobs_tasks.items()}
             for i, (job_id, params) in enumerate(created_jobs.items()):
-                value = self.objective_metric.get_objective(job_id)
+                value = self._objective_metric.get_objective(job_id)
                 if job_id in completed_jobs:
                     if value != completed_jobs[job_id][0]:
-                        iteration_value = self.objective_metric.get_current_raw_objective(job_id)
+                        iteration_value = self._objective_metric.get_current_raw_objective(job_id)
+                        iteration = [it_[0] if it_ else -1 for it_ in iteration_value]
                         completed_jobs[job_id] = (
                             value,
-                            iteration_value[0] if iteration_value else -1,
+                            iteration,
                             copy(dict(status=id_status.get(job_id), **params)))
                     elif completed_jobs.get(job_id):
                         completed_jobs[job_id] = (completed_jobs[job_id][0],
@@ -1815,43 +2041,98 @@ class HyperParameterOptimizer(object):
                                                   copy(dict(status=id_status.get(job_id), **params)))
                     pairs.append((i, completed_jobs[job_id][0]))
                     labels.append(str(completed_jobs[job_id][2])[1:-1])
-                elif value is not None:
+                elif value is not None and all(v is not None for v in value):
                     pairs.append((i, value))
                     labels.append(str(params)[1:-1])
-                    iteration_value = self.objective_metric.get_current_raw_objective(job_id)
+                    iteration_value = self._objective_metric.get_current_raw_objective(job_id)
+                    iteration = [it_[0] if it_ else -1 for it_ in iteration_value]
                     completed_jobs[job_id] = (
                         value,
-                        iteration_value[0] if iteration_value else -1,
+                        iteration,
                         copy(dict(status=id_status.get(job_id), **params)))
                     # callback new experiment completed
                     if self._experiment_completed_cb:
-                        normalized_value = self.objective_metric.get_normalized_objective(job_id)
-                        if normalized_value is not None and normalized_value > best_experiment[0]:
+                        normalized_value = self._objective_metric.get_normalized_objective(job_id)
+                        if self._objective_metric.len == 1 and normalized_value is not None and \
+                                normalized_value[0] > best_experiment[0][0]:
+                            best_experiment = normalized_value, job_id
+                        elif self._objective_metric.len != 1 and normalized_value is not None and \
+                                all(n is not None for n in normalized_value) and (best_experiment[0] == float("-inf") or
+                                                                                  MultiObjective._dominates(
+                                                                                      normalized_value,
+                                                                                      best_experiment[0])):  # noqa
                             best_experiment = normalized_value, job_id
                         c = completed_jobs[job_id]
                         self._experiment_completed_cb(job_id, c[0], c[1], c[2], best_experiment[1])
 
             if pairs:
-                print('Updating job performance summary plot/table')
-
-                # update scatter plot
-                task_logger.report_scatter2d(
-                    title='Optimization Objective', series=title,
-                    scatter=pairs, iteration=0, labels=labels,
-                    mode='markers', xaxis='job #', yaxis='objective')
+                print("Updating job performance summary plot/table")
+                if isinstance(title, list):
+                    for i, title_ in enumerate(title):
+                        # update scatter plot
+                        task_logger.report_scatter2d(
+                            title="Optimization Objective",
+                            series=title_,
+                            scatter=[(p[0], p[1][i]) for p in pairs],
+                            iteration=0,
+                            labels=labels,
+                            mode="markers",
+                            xaxis="job #",
+                            yaxis="objective",
+                        )
+                else:
+                    task_logger.report_scatter2d(
+                        title="Optimization Objective",
+                        series=title,
+                        scatter=pairs,
+                        iteration=0,
+                        labels=labels,
+                        mode="markers",
+                        xaxis="job #",
+                        yaxis="objective",
+                    )
 
             # update summary table
-            job_ids = list(completed_jobs.keys())
-            job_ids_sorted_by_objective = sorted(
-                job_ids, key=lambda x: completed_jobs[x][0], reverse=bool(self.objective_metric.sign >= 0))
+            job_ids_sorted_by_objective = self.__sort_jobs_by_objective(completed_jobs)
             # sort the columns except for 'objective', 'iteration'
             columns = list(sorted(set([c for k, v in completed_jobs.items() for c in v[2].keys()])))
 
-            # add the index column (task id) and the first two columns 'objective', 'iteration' then the rest
-            table_values = [['task id', 'objective', 'iteration'] + columns]
-            table_values += \
-                [([job, completed_jobs[job][0], completed_jobs[job][1]] +
-                  [completed_jobs[job][2].get(c, '') for c in columns]) for job in job_ids_sorted_by_objective]
+            concat_iterations = True
+            if self._objective_metric.len == 1:
+                # add the index column (task id) and the first two columns 'objective', 'iteration' then the rest
+                table_values = [['task id', 'objective', 'iteration'] + columns]
+                table_values += \
+                    [([job, completed_jobs[job][0][0], completed_jobs[job][1][0]] +
+                      [completed_jobs[job][2].get(c, '') for c in columns]) for job in job_ids_sorted_by_objective]
+            else:
+                table_values = ['task id']
+                for job in job_ids_sorted_by_objective:
+                    if not all(iter_ == completed_jobs[job][1][0] for iter_ in completed_jobs[job][1]):
+                        concat_iterations = False
+                        break
+                if concat_iterations:
+                    for objective in self._objective_metric.objectives:
+                        table_values.append(objective.title + "/" + objective.series)
+                    table_values.append("iteration")
+                    table_values = [table_values + columns]
+                    for job in job_ids_sorted_by_objective:
+                        entry = [job]
+                        for val in completed_jobs[job][0]:
+                            entry += [val]
+                        entry += [completed_jobs[job][1][0]]
+                        entry += [completed_jobs[job][2].get(c, '') for c in columns]
+                        table_values.append(entry)
+                else:
+                    for objective in self._objective_metric.objectives:
+                        table_values.append(objective.title + "/" + objective.series)
+                        table_values.append("iteration " + objective.title + "/" + objective.series)
+                    table_values = [table_values + columns]
+                    for job in job_ids_sorted_by_objective:
+                        entry = [job]
+                        for val, iter_ in zip(completed_jobs[job][0], completed_jobs[job][1]):
+                            entry += [val, iter_]
+                        entry += [completed_jobs[job][2].get(c, '') for c in columns]
+                        table_values.append(entry)
 
             # create links for task id in the table
             task_link_template = self._task.get_output_log_web_page() \
@@ -1867,15 +2148,42 @@ class HyperParameterOptimizer(object):
                     task_link_template.format(project=project_id, task=task_id), task_id)
 
             task_logger.report_table(
-                "summary", "job", 0, table_plot=table_values_with_links,
-                extra_layout={"title": "objective: {}".format(title)})
+                "summary",
+                "job",
+                0,
+                table_plot=table_values_with_links,
+                extra_layout={
+                    "title": "objective: {}".format(title if not isinstance(title, list) else ", ".join(title))
+                },
+            )
 
             # Build parallel Coordinates: convert to columns, and reorder accordingly
             if len(table_values) > 1:
                 table_values_columns = [[row[i] for row in table_values] for i in range(len(table_values[0]))]
-                table_values_columns = \
-                    [[table_values_columns[0][0]] + [c[:6]+'...' for c in table_values_columns[0][1:]]] + \
-                    table_values_columns[2:-1] + [[title]+table_values_columns[1][1:]]
+                if self._objective_metric.len == 1:
+                    table_values_columns = \
+                        [[table_values_columns[0][0]] + [c[:6] + '...' for c in table_values_columns[0][1:]]] + \
+                        table_values_columns[2:-1] + [[title] + table_values_columns[1][1:]]
+                else:
+                    if not concat_iterations:
+                        new_table_values_columns = []
+                        handled = []
+                        for i in range(1, 2 * len(self._objective_metric.objectives), 2):
+                            handled.append(i)
+                            new_table_values_columns.append(table_values_columns[i])
+                        prefix = []
+                        for i in range(len(table_values_columns)):
+                            if i in handled or table_values_columns[i][0] == "status":
+                                continue
+                            prefix.append(table_values_columns[i])
+                        table_values_columns = prefix + new_table_values_columns
+                    else:
+                        table_values_columns = ([table_values_columns[0]] +
+                                                table_values_columns[len(self._objective_metric.objectives) + 1:-1] +
+                                                table_values_columns[1:len(self._objective_metric.objectives) + 1]
+                                                )
+                    for i in range(len(table_values_columns[0]) - 1):
+                        table_values_columns[0][i + 1] = table_values_columns[0][i + 1][:6] + "..."
                 pcc_dims = []
                 for col in table_values_columns:
                     # test if all values are numbers:
@@ -1896,16 +2204,21 @@ class HyperParameterOptimizer(object):
                     pcc_dims.append(d)
                 # report parallel coordinates
                 plotly_pcc = dict(
-                    data=[dict(
-                        type='parcoords',
-                        line=dict(colorscale='Viridis',
-                                  reversescale=bool(self.objective_metric.sign >= 0),
-                                  color=table_values_columns[-1][1:]),
-                        dimensions=pcc_dims)],
-                    layout={})
-                task_logger.report_plotly(
-                    title='Parallel Coordinates', series='',
-                    iteration=0, figure=plotly_pcc)
+                    data=[
+                        dict(
+                            type="parcoords",
+                            line=dict(
+                                colorscale="Viridis",
+                                reversescale=not isinstance(self._objective_metric, MultiObjective)
+                                             and self._objective_metric.sign >= 0,
+                                color=table_values_columns[-1][1:],
+                            ),
+                            dimensions=pcc_dims,
+                        )
+                    ],
+                    layout={},
+                )
+                task_logger.report_plotly(title="Parallel Coordinates", series="", iteration=0, figure=plotly_pcc)
 
             # upload summary as artifact
             if force:
@@ -1937,21 +2250,20 @@ class HyperParameterOptimizer(object):
         if not completed_jobs:
             return
 
-        value_func, series_name = (max, "max") if self.objective_metric.get_objective_sign() > 0 else \
-            (min, "min")
-        latest_completed, obj_values = self._get_latest_completed_task_value(completed_jobs, series_name)
-        if latest_completed:
-            val = value_func(obj_values)
-            task_logger.report_scalar(
-                title=title,
-                series=series_name,
-                iteration=counter,
-                value=val)
-            task_logger.report_scalar(
-                title=title,
-                series="last reported",
-                iteration=counter,
-                value=latest_completed)
+        objectives = self._objective_metric.objectives
+        if not isinstance(title, list):
+            title = [title]
+        for objective, title_ in zip(objectives, title):
+            value_func, series_name = (max, "max") if objective.get_objective_sign() > 0 else (min, "min")
+            latest_completed, obj_values = self._get_latest_completed_task_value(
+                completed_jobs, series_name, objective.title, objective.series
+            )
+            if latest_completed:
+                val = value_func(obj_values)
+                task_logger.report_scalar(title=title_, series=series_name, iteration=counter, value=val)
+                task_logger.report_scalar(
+                    title=title_, series="last reported", iteration=counter, value=latest_completed
+                )
 
     def _report_resources(self, task_logger, iteration):
         # type: (Logger, int) -> ()
@@ -1990,7 +2302,7 @@ class HyperParameterOptimizer(object):
                 title="resources", series=series,
                 iteration=iteration, value=val)
 
-    def _get_latest_completed_task_value(self, cur_completed_jobs, series_name):
+    def _get_latest_completed_task_value(self, cur_completed_jobs, series_name, title, series):
         # type: (Set[str], str) -> (float, List[float])
         completed_value = None
         latest_completed = None
@@ -2003,16 +2315,15 @@ class HyperParameterOptimizer(object):
                 continue
             completed_time = datetime_from_isoformat(response.response_data["task"]["completed"].partition("+")[0])
             completed_time = completed_time.timestamp()
-            completed_values = self._get_last_value(response)
+            completed_values = self._get_last_value(response, title, series)
             obj_values.append(completed_values['max_value'] if series_name == "max" else completed_values['min_value'])
             if not latest_completed or completed_time > latest_completed:
                 latest_completed = completed_time
                 completed_value = completed_values['value']
         return completed_value, obj_values
 
-    def _get_last_value(self, response):
-        metrics, title, series, values = ClearmlJob.get_metric_req_params(self.objective_metric.title,
-                                                                          self.objective_metric.series)
+    def _get_last_value(self, response, title, series):
+        metrics, title, series, values = ClearmlJob.get_metric_req_params(title, series)
         last_values = response.response_data["task"]['last_metrics'][title][series]
         return last_values
 
@@ -2061,6 +2372,14 @@ class HyperParameterOptimizer(object):
     def __sort_jobs_by_objective(self, completed_jobs):
         if not completed_jobs:
             return []
-        job_ids_sorted_by_objective = list(sorted(
-            completed_jobs.keys(), key=lambda x: completed_jobs[x][0], reverse=bool(self.objective_metric.sign >= 0)))
-        return job_ids_sorted_by_objective
+        if self._objective_metric.len != 1:
+            # noinspection PyProtectedMember
+            return self._objective_metric._sort_jobs_by_domination(completed_jobs)
+        else:
+            return list(
+                sorted(
+                    completed_jobs.keys(),
+                    key=lambda x: completed_jobs[x][0],
+                    reverse=bool(self._objective_metric.objectives[0].sign >= 0),
+                )
+            )

clearml/automation/optuna/optuna.py

@@ -1,7 +1,7 @@
 from time import sleep
 from typing import Any, Optional, Sequence
 
-from ..optimization import Objective, SearchStrategy
+from ..optimization import Objective, SearchStrategy, MultiObjective
 from ..parameters import (DiscreteParameterRange, Parameter, UniformIntegerParameterRange, UniformParameterRange,
                           LogUniformParameterRange)
 from ...task import Task
@@ -55,21 +55,29 @@ class OptunaObjective(object):
             if not is_pending:
                 # noinspection PyProtectedMember
                 iteration_value = self.optimizer._objective_metric.get_current_raw_objective(current_job)
+                if not iteration_value:
+                    if not self.optimizer.monitor_job(current_job):
+                        break
+                    continue
 
                 # make sure we skip None objective values
-                if iteration_value and iteration_value[1] is not None:
-                    # update budget
-                    trial.report(value=iteration_value[1], step=iteration_value[0])
+                if not any(val is None or val[1] is None for val in iteration_value):
+                    iteration = max(iv[0] for iv in iteration_value)
+                    # trial pruning based on intermediate values not supported when using multi-objective
+                    # noinspection PyProtectedMember
+                    if self.optimizer._objective_metric.len == 1:
+                        # update budget
+                        trial.report(value=iteration_value[0][1], step=iteration)
 
-                    # Handle pruning based on the intermediate value.
-                    if trial.should_prune() and (
-                            not self.min_iteration_per_job or
-                            iteration_value[0] >= self.min_iteration_per_job):
-                        current_job.abort()
-                        raise optuna.TrialPruned()
+                        # Handle pruning based on the intermediate value.
+                        if trial.should_prune() and (
+                                not self.min_iteration_per_job or
+                                iteration >= self.min_iteration_per_job):
+                            current_job.abort()
+                            raise optuna.TrialPruned()
 
                     # check if we exceeded this job budget
-                    if self.max_iteration_per_job and iteration_value[0] >= self.max_iteration_per_job:
+                    if self.max_iteration_per_job and iteration >= self.max_iteration_per_job:
                         current_job.abort()
                         break
 
@@ -79,6 +87,10 @@ class OptunaObjective(object):
 
         # noinspection PyProtectedMember
         objective_metric = self.optimizer._objective_metric.get_objective(current_job)
+        # noinspection PyProtectedMember
+        if self.optimizer._objective_metric.len == 1:
+            objective_metric = objective_metric[0]
+            iteration_value = iteration_value[0]
         print('OptunaObjective result metric={}, iteration {}'.format(objective_metric, iteration_value))
         # noinspection PyProtectedMember
         self.optimizer._current_jobs.remove(current_job)
@@ -157,13 +169,22 @@ class OptimizerOptuna(SearchStrategy):
             This function returns only after optimization is completed or :meth:`stop` was called.
 
         """
-        self._study = optuna.create_study(
-            direction="minimize" if self._objective_metric.get_objective_sign() < 0 else "maximize",
-            load_if_exists=False,
-            sampler=self._optuna_sampler,
-            pruner=self._optuna_pruner,
-            study_name=self._optimizer_task.id if self._optimizer_task else None,
-        )
+        if self._objective_metric.len != 1:
+            self._study = optuna.create_study(
+                directions=["minimize" if sign_ < 0 else "maximize" for sign_ in self._objective_metric.get_objective_sign()],
+                load_if_exists=False,
+                sampler=self._optuna_sampler,
+                pruner=self._optuna_pruner,
+                study_name=self._optimizer_task.id if self._optimizer_task else None,
+            )
+        else:
+            self._study = optuna.create_study(
+                direction="minimize" if self._objective_metric.get_objective_sign()[0] < 0 else "maximize",
+                load_if_exists=False,
+                sampler=self._optuna_sampler,
+                pruner=self._optuna_pruner,
+                study_name=self._optimizer_task.id if self._optimizer_task else None,
+            )
         config_space = self._convert_hyper_parameters_to_optuna()
         self._objective = OptunaObjective(
             base_task_id=self._base_task_id,