How to Implement Bayesian Optimization from Scratch in Python


Many methods exist for function optimization, such as randomly sampling the variable search space, called random search, or systematically evaluating samples in a grid across the search space, called grid search. More principled methods are able to learn from sampling the space so that future samples are directed toward the parts of the search space that are most likely to contain the extrema. A directed approach to global optimization that uses probability is called Bayesian Optimization. Take my free 7-day email crash course now (with sample code). Click to sign-up and also get a free PDF Ebook version of the course.

Bayesian Optimization Using Monotonicity Information and Its Application in Machine Learning Hyperparameter Machine Learning

We propose an algorithm for a family of optimization problems where the objective can be decomposed as a sum of functions with monotonicity properties. The motivating problem is optimization of hyperparameters of machine learning algorithms, where we argue that the objective, validation error, can be decomposed as monotonic functions of the hyperparameters. Our proposed algorithm adapts Bayesian optimization methods to incorporate the monotonicity constraints. We illustrate the advantages of exploiting monotonicity using illustrative examples and demonstrate the improvements in optimization efficiency for some machine learning hyperparameter tuning applications.

LinXGBoost: Extension of XGBoost to Generalized Local Linear Models Machine Learning

XGBoost is often presented as the algorithm that wins every ML competition. Surprisingly, this is true even though predictions are piecewise constant. This might be justified in high dimensional input spaces, but when the number of features is low, a piecewise linear model is likely to perform better. XGBoost was extended into LinXGBoost that stores at each leaf a linear model. This extension, equivalent to piecewise regularized least-squares, is particularly attractive for regression of functions that exhibits jumps or discontinuities. Those functions are notoriously hard to regress. Our extension is compared to the vanilla XGBoost and Random Forest in experiments on both synthetic and real-world data sets.

Generalising Random Forest Parameter Optimisation to Include Stability and Cost Machine Learning

Random forests are among the most popular classification and regression methods used in industrial applications. To be effective, the parameters of random forests must be carefully tuned. This is usually done by choosing values that minimize the prediction error on a held out dataset. We argue that error reduction is only one of several metrics that must be considered when optimizing random forest parameters for commercial applications. We propose a novel metric that captures the stability of random forests predictions, which we argue is key for scenarios that require successive predictions. We motivate the need for multi-criteria optimization by showing that in practical applications, simply choosing the parameters that lead to the lowest error can introduce unnecessary costs and produce predictions that are not stable across independent runs. To optimize this multi-criteria trade-off, we present a new framework that efficiently finds a principled balance between these three considerations using Bayesian optimisation. The pitfalls of optimising forest parameters purely for error reduction are demonstrated using two publicly available real world datasets. We show that our framework leads to parameter settings that are markedly different from the values discovered by error reduction metrics.

Gentle Introduction of XGBoost Library – Mohit Sharma – Medium


In this article, you will discover XGBoost and get a gentle introduction to what it is, where it came from and how you can learn more. Bagging: It is an approach where you take random samples of data, build learning algorithms and take simple means to find bagging probabilities. Boosting: Boosting is similar, however, the selection of sample is made more intelligently. We subsequently give more and more weight to hard to classify observations. XGBoost is an optimized distributed gradient boosting library designed to be highly efficient, flexible and portable.