optimiz-rs/docs/source/algorithms/grid_search.md

# Grid Search

**Grid Search** (also called parameter sweep) is a deterministic hyperparameter optimization 
method that exhaustively evaluates all combinations of parameter values from a predefined grid. 
While simple, it provides guaranteed coverage of the search space and is ideal for 
low-dimensional problems.

This module provides a fast implementation with optional Rust acceleration for 
Cartesian product generation and parallel evaluation.

---

## Mathematical Foundations

### Problem Formulation

Given an objective function $f(\theta)$ and a discrete parameter grid:

$$
\Theta = \Theta_1 \times \Theta_2 \times \cdots \times \Theta_D
$$

where $\Theta_i = \{\theta_{i,1}, \theta_{i,2}, \ldots, \theta_{i,n_i}\}$ is the set of 
candidate values for parameter $i$.

**Objective:** Find the optimal parameters:

$$
\theta^* = \arg\min_{\theta \in \Theta} f(\theta)
$$

### Total Evaluations

The number of function evaluations grows as the **Cartesian product**:

$$
|\Theta| = \prod_{i=1}^{D} n_i
$$

where $n_i = |\Theta_i|$ is the number of values for parameter $i$.

| Parameters | Values Each | Total Evaluations |
|------------|-------------|-------------------|
| 2 | 5 | 25 |
| 3 | 5 | 125 |
| 4 | 5 | 625 |
| 5 | 5 | 3,125 |
| 3 | 10 | 1,000 |
| 5 | 10 | 100,000 |

**Warning:** Grid search suffers from the **curse of dimensionality**. Use sparingly 
for $D > 4$ or when function evaluations are expensive.

---

### Algorithm

```
Algorithm: Grid Search
──────────────────────
Input: objective f, parameter grid Θ = Θ₁ × Θ₂ × ... × Θ_D

1. Generate all combinations: C = Θ₁ × Θ₂ × ... × Θ_D

2. Initialize: best_score = ∞, best_params = None

3. For each θ in C:
   a. Evaluate: score = f(θ)
   b. If score < best_score:
      best_score = score
      best_params = θ

4. Return best_params, best_score
```

---

## When to Use Grid Search

### Good Use Cases

✅ **Few parameters** (D ≤ 3–4)

✅ **Coarse exploration** before fine-tuning

✅ **Discrete parameters** (e.g., layer counts, categoricals)

✅ **Reproducibility required** (deterministic)

✅ **Parameter interactions** need full coverage

✅ **Fast objectives** (< 1 second per evaluation)

### Poor Use Cases

❌ **Many parameters** (D > 5) — exponential explosion

❌ **Continuous parameters** — wastes evaluations between grid points

❌ **Expensive objectives** — better to use adaptive methods

❌ **High-resolution search** — consider random search or DE

---

## Python API

### Basic Usage

```python
from optimizr import grid_search

# Objective returns a scalar score (lower is better)
def objective(params):
    lr = params["lr"]
    dropout = params["dropout"]
    # Simulate validation loss
    return (lr - 0.02)**2 + (dropout - 0.1)**2

best_params, best_score = grid_search(
    objective_fn=objective,
    param_grid={
        "lr": [0.005, 0.01, 0.02, 0.05, 0.1],
        "dropout": [0.0, 0.05, 0.1, 0.2, 0.3],
    },
)

print(f"Best parameters: {best_params}")
print(f"Best score: {best_score:.6f}")
```

**Expected output:**

```
Best parameters: {'lr': 0.02, 'dropout': 0.1}
Best score: 0.000000
```

### With Verbose Logging

```python
best_params, best_score = grid_search(
    objective_fn=objective,
    param_grid=param_grid,
    verbose=True,  # print progress
)
```

**Output:**

```
[1/25] lr=0.005, dropout=0.0 → score=0.0127
[2/25] lr=0.005, dropout=0.05 → score=0.0102
...
[15/25] lr=0.02, dropout=0.1 → score=0.0000 [BEST]
...
```

### Parallel Evaluation

For independent, thread-safe objectives:

```python
best_params, best_score = grid_search(
    objective_fn=objective,
    param_grid=param_grid,
    n_jobs=4,  # parallel workers
)
```

**Note:** Objective function must be thread-safe (no shared mutable state).

---

## Grid Construction Strategies

### Linear Grid

Evenly spaced values:

```python
param_grid = {
    "lr": [0.001, 0.005, 0.01, 0.05, 0.1],  # linear
}
```

### Logarithmic Grid

For parameters spanning orders of magnitude:

```python
import numpy as np

param_grid = {
    "lr": list(np.logspace(-4, -1, 10)),  # 1e-4 to 1e-1
    "weight_decay": list(np.logspace(-5, -2, 8)),
}
```

### Mixed Types

```python
param_grid = {
    "lr": [0.001, 0.01, 0.1],           # continuous
    "batch_size": [16, 32, 64, 128],    # integer
    "optimizer": ["adam", "sgd", "rmsprop"],  # categorical
    "use_bn": [True, False],            # boolean
}
```

---

## Practical Example: Neural Network Tuning

```python
import numpy as np
from optimizr import grid_search

def train_and_evaluate(params):
    """
    Train a neural network with given hyperparameters
    and return validation loss.
    """
    lr = params["lr"]
    dropout = params["dropout"]
    hidden_size = params["hidden_size"]
    
    # Simulated training (replace with real training loop)
    # In practice: build model, train, return val_loss
    
    # Synthetic loss surface for demonstration
    loss = (
        (lr - 0.01)**2 / 0.001 +
        (dropout - 0.15)**2 / 0.01 +
        (hidden_size - 128)**2 / 10000
    )
    return loss + np.random.normal(0, 0.001)  # add noise

param_grid = {
    "lr": [0.001, 0.005, 0.01, 0.02, 0.05],
    "dropout": [0.0, 0.1, 0.2, 0.3],
    "hidden_size": [64, 128, 256],
}

print(f"Total combinations: {5 * 4 * 3} = 60")

best_params, best_score = grid_search(
    objective_fn=train_and_evaluate,
    param_grid=param_grid,
    verbose=True,
)

print(f"\nBest configuration:")
print(f"  Learning rate: {best_params['lr']}")
print(f"  Dropout: {best_params['dropout']}")
print(f"  Hidden size: {best_params['hidden_size']}")
print(f"  Validation loss: {best_score:.4f}")
```

**Expected output:**

```
Total combinations: 60
[1/60] lr=0.001, dropout=0.0, hidden_size=64 → score=0.1892
...
[32/60] lr=0.01, dropout=0.2, hidden_size=128 → score=0.0027 [BEST]
...

Best configuration:
  Learning rate: 0.01
  Dropout: 0.2
  Hidden size: 128
  Validation loss: 0.0027
```

---

## Visualization

### Results Heatmap

```python
import matplotlib.pyplot as plt
import numpy as np

# Collect all results
results = {}
for lr in param_grid["lr"]:
    for dropout in param_grid["dropout"]:
        params = {"lr": lr, "dropout": dropout, "hidden_size": 128}
        results[(lr, dropout)] = train_and_evaluate(params)

# Create heatmap
lrs = param_grid["lr"]
dropouts = param_grid["dropout"]
Z = np.array([[results[(lr, d)] for d in dropouts] for lr in lrs])

plt.figure(figsize=(8, 6))
plt.imshow(Z, origin='lower', aspect='auto', cmap='viridis_r')
plt.colorbar(label='Loss')
plt.xticks(range(len(dropouts)), dropouts)
plt.yticks(range(len(lrs)), lrs)
plt.xlabel('Dropout')
plt.ylabel('Learning Rate')
plt.title('Grid Search: Loss Surface')
plt.savefig('grid_search_heatmap.png', dpi=150)
```
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![Generated plot](../_static/auto/algorithms__grid_search/block_08_fig_01.png)
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**Output:**

Produces a 2D heatmap showing the loss landscape across different hyperparameter combinations:
- **X-axis**: Dropout rate values
- **Y-axis**: Learning rate values
- **Color intensity**: Loss values (darker = lower loss = better performance)

This visualization helps identify optimal parameter regions and understand parameter interactions.

📓 **Real-World Examples**: See [04_real_world_applications.ipynb](https://github.com/ThotDjehuty/optimiz-r/blob/main/examples/notebooks/04_real_world_applications.ipynb) for grid search applied to:
- Neural network hyperparameter tuning
- Portfolio optimization
- Trading strategy parameter selection

---

## Combining with Other Methods

### Coarse-to-Fine Search

Use grid search to identify promising regions, then refine:

```python
from optimizr import grid_search, differential_evolution

# Step 1: Coarse grid search
coarse_grid = {
    "lr": [0.001, 0.01, 0.1],
    "dropout": [0.0, 0.2, 0.4],
}

coarse_best, _ = grid_search(objective, coarse_grid)
print(f"Coarse best: {coarse_best}")

# Step 2: Fine grid around best
fine_grid = {
    "lr": np.linspace(
        coarse_best["lr"] * 0.5,
        coarse_best["lr"] * 2,
        10
    ).tolist(),
    "dropout": np.linspace(
        max(0, coarse_best["dropout"] - 0.1),
        min(0.5, coarse_best["dropout"] + 0.1),
        10
    ).tolist(),
}

final_best, final_score = grid_search(objective, fine_grid)
print(f"Final best: {final_best}, score: {final_score:.6f}")
```

### Warm-Start Differential Evolution

Use grid search results to seed DE:

```python
from optimizr import grid_search, differential_evolution

# Quick grid search for initial region
best_grid, _ = grid_search(objective, coarse_grid)

# Initialize DE population around grid search result
bounds = [
    (best_grid["lr"] * 0.1, best_grid["lr"] * 10),
    (max(0, best_grid["dropout"] - 0.2), min(0.5, best_grid["dropout"] + 0.2)),
]

final_x, final_fx = differential_evolution(
    objective_fn=lambda x: objective({"lr": x[0], "dropout": x[1]}),
    bounds=bounds,
    maxiter=100,
)
```

---

## Performance Comparison

| Method | Evaluations | Coverage | Best For |
|--------|-------------|----------|----------|
| **Grid Search** | $\prod n_i$ (exponential) | Complete | Low-D, discrete |
| Random Search | Fixed budget | Probabilistic | High-D, continuous |
| Bayesian Optimization | Adaptive | Adaptive | Expensive objectives |
| Differential Evolution | $N_P \times \text{gens}$ | Adaptive | Complex landscapes |

### When to Switch Methods

| Scenario | Recommendation |
|----------|----------------|
| D ≤ 3, fast objective | Grid search |
| D = 4–10, moderate objective | Random search + grid refinement |
| D > 10 or expensive objective | Bayesian optimization or DE |
| Noisy objective | DE or ensemble methods |

---

## Advantages & Limitations

### Advantages

✅ **Simple and deterministic** — reproducible results

✅ **Complete coverage** — won't miss global optimum in grid

✅ **No tuning required** — no algorithm-specific hyperparameters

✅ **Parallel-friendly** — each evaluation is independent

✅ **Good for discrete parameters** — natural fit

### Limitations

❌ **Exponential scaling** — infeasible for many parameters

❌ **Wasteful for continuous spaces** — evaluates between optimal values

❌ **Uniform allocation** — doesn't focus on promising regions

❌ **Resolution trade-off** — coarse grids miss optima, fine grids explode

---

## Tips

### 1. Start Coarse

Begin with 3–5 values per parameter. Refine after identifying good regions.

### 2. Use Log Scales

For parameters spanning orders of magnitude (learning rates, regularization):

```python
lrs = np.logspace(-4, -1, 10)  # 1e-4 to 0.1
```

### 3. Limit Dimensions

Keep $D \leq 4$ for full grid search. Beyond that, use:
- Random search (same budget, better coverage)
- Successive halving
- Bayesian optimization

### 4. Cache Expensive Computations

If objective shares preprocessing:

```python
# Pre-compute shared data
X_train, y_train = load_and_preprocess()

def objective(params):
    # Reuse X_train, y_train
    return train_model(X_train, y_train, **params)
```

### 5. Save All Results

Store every evaluation for analysis:

```python
all_results = []

def logging_objective(params):
    score = actual_objective(params)
    all_results.append({"params": params, "score": score})
    return score

grid_search(logging_objective, param_grid)

# Analyze all results afterward
import pandas as pd
df = pd.DataFrame(all_results)
print(df.sort_values("score").head(10))
```

---

## Related Topics

- [Differential Evolution](differential_evolution.md) – Adaptive global optimization
- [MCMC](mcmc.md) – Sampling-based exploration with uncertainty
- [HMM](hmm.md) – Model selection with grid search over states