Hyperparameter Search With GPyOpt: Part 1 – Scikit-learn Classification and Ensembling - Machine Learning Applied

GPyOpt is a Python open-source library for Bayesian Optimization developed by the Machine Learning group of the University of Sheffield. It is based on GPy, a Python framework for Gaussian process modelling. In this article, we demonstrate how to use this package to do hyperparameter search for a classification problem with Scikit-learn. Below are code fragments showing how to integrate the package with Scikit-learn. We begin by specifying if the problem is one of minimization or maximization.