Hyperband: A Novel Bandit-Based Approach to Hyperparameter Optimization

Performance of machine learning algorithms depends critically on identifying a good set of hyperparameters. While current methods offer efficiencies by adaptively choosing new configurations to train, an alternative strategy is to adaptively allocate resources across the selected configurations. We formulate hyperparameter optimization as a pure-exploration non-stochastic infinitely many armed bandit problem where a predefined resource like iterations, data samples, or features is allocated to randomly sampled configurations. We introduce Hyperband for this framework and analyze its theoretical properties, providing several desirable guarantees. Furthermore, we compare Hyperband with state-of-the-art methods on a suite of hyperparameter optimization problems. We observe that Hyperband provides five times to thirty times speedup over state-of-the-art Bayesian optimization algorithms on a variety of deep-learning and kernel-based learning problems.