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bayesian optimization

Bayesian Hyperparameter Optimization with tune-sklearn in PyCaret


In this post, I will show you how easy it is to use other state-of-the-art algorithms with PyCaret thanks to tune-sklearn, a drop-in replacement for scikit-learn's model selection module with cutting edge hyperparameter tuning techniques. I'll also report results from a series of benchmarks, showing how tune-sklearn is able to easily improve classification model performance. Hyperparameter optimization algorithms can vary greatly in efficiency. Random search has been a machine learning staple and for a good reason: it's easy to implement, understand and gives good results in reasonable time. However, as the name implies, it is completely random -- a lot of time can be spent on evaluating bad configurations.

A Robust Asymmetric Kernel Function for Bayesian Optimization, with Application to Image Defect Detection in Manufacturing Systems Machine Learning

Some response surface functions in complex engineering systems are usually highly nonlinear, unformed, and expensive-to-evaluate. To tackle this challenge, Bayesian optimization, which conducts sequential design via a posterior distribution over the objective function, is a critical method used to find the global optimum of black-box functions. Kernel functions play an important role in shaping the posterior distribution of the estimated function. The widely used kernel function, e.g., radial basis function (RBF), is very vulnerable and susceptible to outliers; the existence of outliers is causing its Gaussian process surrogate model to be sporadic. In this paper, we propose a robust kernel function, Asymmetric Elastic Net Radial Basis Function (AEN-RBF). Its validity as a kernel function and computational complexity are evaluated. When compared to the baseline RBF kernel, we prove theoretically that AEN-RBF can realize smaller mean squared prediction error under mild conditions. The proposed AEN-RBF kernel function can also realize faster convergence to the global optimum. We also show that the AEN-RBF kernel function is less sensitive to outliers, and hence improves the robustness of the corresponding Bayesian optimization with Gaussian processes. Through extensive evaluations carried out on synthetic and real-world optimization problems, we show that AEN-RBF outperforms existing benchmark kernel functions.

Multi-Objective Bayesian Optimization over High-Dimensional Search Spaces Machine Learning

The ability to optimize multiple competing objective functions with high sample efficiency is imperative in many applied problems across science and industry. Multi-objective Bayesian optimization (BO) achieves strong empirical performance on such problems, but even with recent methodological advances, it has been restricted to simple, low-dimensional domains. Most existing BO methods exhibit poor performance on search spaces with more than a few dozen parameters. In this work we propose MORBO, a method for multi-objective Bayesian optimization over high-dimensional search spaces. MORBO performs local Bayesian optimization within multiple trust regions simultaneously, allowing it to explore and identify diverse solutions even when the objective functions are difficult to model globally. We show that MORBO significantly advances the state-of-the-art in sample-efficiency for several high-dimensional synthetic and real-world multi-objective problems, including a vehicle design problem with 222 parameters, demonstrating that MORBO is a practical approach for challenging and important problems that were previously out of reach for BO methods.

High-dimensional Bayesian Optimization for CNN Auto Pruning with Clustering and Rollback Artificial Intelligence

Pruning has been widely used to slim convolutional neural network (CNN) models to achieve a good trade-off between accuracy and model size so that the pruned models become feasible for power-constrained devices such as mobile phones. This process can be automated to avoid the expensive hand-crafted efforts and to explore a large pruning space automatically so that the high-performance pruning policy can be achieved efficiently. Nowadays, reinforcement learning (RL) and Bayesian optimization (BO)-based auto pruners are widely used due to their solid theoretical foundation, universality, and high compressing quality. However, the RL agent suffers from long training times and high variance of results, while the BO agent is time-consuming for high-dimensional design spaces. In this work, we propose an enhanced BO agent to obtain significant acceleration for auto pruning in high-dimensional design spaces. To achieve this, a novel clustering algorithm is proposed to reduce the dimension of the design space to speedup the searching process. Then, a roll-back algorithm is proposed to recover the high-dimensional design space so that higher pruning accuracy can be obtained. We validate our proposed method on ResNet, MobileNet, and VGG models, and our experiments show that the proposed method significantly improves the accuracy of BO when pruning very deep CNN models. Moreover, our method achieves lower variance and shorter time than the RL-based counterpart.

Computationally Efficient High-Dimensional Bayesian Optimization via Variable Selection Machine Learning

Bayesian Optimization (BO) is a method for globally optimizing black-box functions. While BO has been successfully applied to many scenarios, developing effective BO algorithms that scale to functions with high-dimensional domains is still a challenge. Optimizing such functions by vanilla BO is extremely time-consuming. Alternative strategies for high-dimensional BO that are based on the idea of embedding the high-dimensional space to the one with low dimension are sensitive to the choice of the embedding dimension, which needs to be pre-specified. We develop a new computationally efficient high-dimensional BO method that exploits variable selection. Our method is able to automatically learn axis-aligned sub-spaces, i.e. spaces containing selected variables, without the demand of any pre-specified hyperparameters. We theoretically analyze the computational complexity of our algorithm and derive the regret bound. We empirically show the efficacy of our method on several synthetic and real problems.

Automatic prior selection for meta Bayesian optimization with a case study on tuning deep neural network optimizers Machine Learning

The performance of deep neural networks can be highly sensitive to the choice of a variety of meta-parameters, such as optimizer parameters and model hyperparameters. Tuning these well, however, often requires extensive and costly experimentation. Bayesian optimization (BO) is a principled approach to solve such expensive hyperparameter tuning problems efficiently. Key to the performance of BO is specifying and refining a distribution over functions, which is used to reason about the optima of the underlying function being optimized. In this work, we consider the scenario where we have data from similar functions that allows us to specify a tighter distribution a priori. Specifically, we focus on the common but potentially costly task of tuning optimizer parameters for training neural networks. Building on the meta BO method from Wang et al. (2018), we develop practical improvements that (a) boost its performance by leveraging tuning results on multiple tasks without requiring observations for the same meta-parameter points across all tasks, and (b) retain its regret bound for a special case of our method. As a result, we provide a coherent BO solution for iterative optimization of continuous optimizer parameters. To verify our approach in realistic model training setups, we collected a large multi-task hyperparameter tuning dataset by training tens of thousands of configurations of near-state-of-the-art models on popular image and text datasets, as well as a protein sequence dataset. Our results show that on average, our method is able to locate good hyperparameters at least 3 times more efficiently than the best competing methods.

Automatic Tuning of Tensorflow's CPU Backend using Gradient-Free Optimization Algorithms Artificial Intelligence

Modern deep learning (DL) applications are built using DL libraries and frameworks such as TensorFlow and PyTorch. These frameworks have complex parameters and tuning them to obtain good training and inference performance is challenging for typical users, such as DL developers and data scientists. Manual tuning requires deep knowledge of the user-controllable parameters of DL frameworks as well as the underlying hardware. It is a slow and tedious process, and it typically delivers sub-optimal solutions. In this paper, we treat the problem of tuning parameters of DL frameworks to improve training and inference performance as a black-box optimization problem. We then investigate applicability and effectiveness of Bayesian optimization (BO), genetic algorithm (GA), and Nelder-Mead simplex (NMS) to tune the parameters of TensorFlow's CPU backend. While prior work has already investigated the use of Nelder-Mead simplex for a similar problem, it does not provide insights into the applicability of other more popular algorithms. Towards that end, we provide a systematic comparative analysis of all three algorithms in tuning TensorFlow's CPU backend on a variety of DL models. Our findings reveal that Bayesian optimization performs the best on the majority of models. There are, however, cases where it does not deliver the best results.

YAHPO Gym -- Design Criteria and a new Multifidelity Benchmark for Hyperparameter Optimization Machine Learning

When developing and analyzing new hyperparameter optimization (HPO) methods, it is vital to empirically evaluate and compare them on well-curated benchmark suites. In this work, we list desirable properties and requirements for such benchmarks and propose a new set of challenging and relevant multifidelity HPO benchmark problems motivated by these requirements. For this, we revisit the concept of surrogate-based benchmarks and empirically compare them to more widely-used tabular benchmarks, showing that the latter ones may induce bias in performance estimation and ranking of HPO methods. We present a new surrogate-based benchmark suite for multifidelity HPO methods consisting of 9 benchmark collections that constitute over 700 multifidelity HPO problems in total. All our benchmarks also allow for querying of multiple optimization targets, enabling the benchmarking of multi-objective HPO. We examine and compare our benchmark suite with respect to the defined requirements and show that our benchmarks provide viable additions to existing suites.

Hyperparameter Tuning with KerasTuner and TensorFlow


Building machine learning models is an iterative process that involves optimizing the model’s performance and compute resources. The settings that you adjust during each iteration are called…

Optimal Order Simple Regret for Gaussian Process Bandits Machine Learning

Consider the sequential optimization of a continuous, possibly non-convex, and expensive to evaluate objective function $f$. The problem can be cast as a Gaussian Process (GP) bandit where $f$ lives in a reproducing kernel Hilbert space (RKHS). The state of the art analysis of several learning algorithms shows a significant gap between the lower and upper bounds on the simple regret performance. When $N$ is the number of exploration trials and $\gamma_N$ is the maximal information gain, we prove an $\tilde{\mathcal{O}}(\sqrt{\gamma_N/N})$ bound on the simple regret performance of a pure exploration algorithm that is significantly tighter than the existing bounds. We show that this bound is order optimal up to logarithmic factors for the cases where a lower bound on regret is known. To establish these results, we prove novel and sharp confidence intervals for GP models applicable to RKHS elements which may be of broader interest.