The use of machine learning algorithms frequently involves careful tuning of learning parameters and model hyperparameters. Unfortunately, this tuning is often a "black art" requiring expert experience, rules of thumb, or sometimes bruteforce search. There is therefore great appeal for automatic approaches that can optimize the performance of any given learning algorithm to the problem at hand. In this work, we consider this problem through the framework of Bayesian optimization, in which a learning algorithm's generalization performance is modeled as a sample from a Gaussian process (GP). We show that certain choices for the nature of the GP, such as the type of kernel and the treatment of its hyperparameters, can play a crucial role in obtaining a good optimizer that can achieve expertlevel performance. We describe new algorithms that take into account the variable cost (duration) of learning algorithm experiments and that can leverage the presence of multiple cores for parallel experimentation. We show that these proposed algorithms improve on previous automatic procedures and can reach or surpass human expert-level optimization for many algorithms including latent Dirichlet allocation, structured SVMs and convolutional neural networks.

The use of machine learning algorithms frequently involves careful tuning of learning parameters and model hyperparameters. Unfortunately, this tuning is often a "black art" requiring expert experience, rules of thumb, or sometimes brute-force search. There is therefore great appeal for automatic approaches that can optimize the performance of any given learning algorithm to the problem at hand. In this work, we consider this problem through the framework of Bayesian optimization, in which a learning algorithm's generalization performance is modeled as a sample from a Gaussian process (GP). We show that certain choices for the nature of the GP, such as the type of kernel and the treatment of its hyperparameters, can play a crucial role in obtaining a good optimizer that can achieve expert-level performance.

This paper presents a new optimization methods that combines Bayesian optimization applied locally with concepts from MADS to provide nonlocal exploration. The main idea of the paper is to find an algorithm that is suitable for the range of functions that are slightly expensive, but not enough to require the sample efficiency of standard Bayesian optimization. The authors applied this method for maximum likelihood computations within the range of a 1 second. A standard critique to Bayesian optimization methods is that they are very expensive due to the fact that they rely on a surrogate model, like a Gaussian process that has a O(n 3) cost. The method presented in this paper (BADS) also rely on a GP.

Neural Information Processing Systems http://nips.cc/

The use of machine learning algorithms frequently involves careful tuning of learning parameters and model hyperparameters. Unfortunately, this tuning is often a "black art" requiring expert experience, rules of thumb, or sometimes brute-force search. There is therefore great appeal for automatic approaches that can optimize the performance of any given learning algorithm to the problem at hand. In this work, we consider this problem through the framework of Bayesian optimization, in which a learning algorithm's generalization performance is modeled as a sample from a Gaussian process (GP). We show that certain choices for the nature of the GP, such as the type of kernel and the treatment of its hyperparameters, can play a crucial role in obtaining a good optimizer that can achieve expert-level performance.

Computational models in fields such as computational neuroscience are often evaluated via stochastic simulation or numerical approximation. Fitting these models implies a difficult optimization problem over complex, possibly noisy parameter landscapes. Bayesian optimization (BO) has been successfully applied to solving expensive black-box problems in engineering and machine learning. Here we explore whether BO can be applied as a general tool for model fitting. First, we present a novel hybrid BO algorithm, Bayesian adaptive direct search (BADS), that achieves competitive performance with an affordable computational overhead for the running time of typical models.

We propose a practical Bayesian optimization method, of which the surrogate function is Gaussian process regression with threshold-guided marginal likelihood maximization. Because Bayesian optimization consumes much time in finding optimal free parameters of Gaussian process regression, mitigating a time complexity of this step is critical to speed up Bayesian optimization. For this reason, we propose a simple, but straightforward Bayesian optimization method, assuming a reasonable condition, which is observed in many practical examples. Our experimental results confirm that our method is effective to reduce the execution time. All implementations are available in our repository.

Inference in the presence of outliers is an important field of research as outliers are ubiquitous and may arise across a variety of problems and domains. Bayesian optimization is method that heavily relies on probabilistic inference. This allows outstanding sample efficiency because the probabilistic machinery provides a memory of the whole optimization process. However, that virtue becomes a disadvantage when the memory is populated with outliers, inducing bias in the estimation. In this paper, we present an empirical evaluation of Bayesian optimization methods in the presence of outliers. The empirical evidence shows that Bayesian optimization with robust regression often produces suboptimal results. We then propose a new algorithm which combines robust regression (a Gaussian process with Student-t likelihood) with outlier diagnostics to classify data points as outliers or inliers. By using an scheduler for the classification of outliers, our method is more efficient and has better convergence over the standard robust regression. Furthermore, we show that even in controlled situations with no expected outliers, our method is able to produce better results.

We propose a novel Bayesian Optimization approach for black-box functions with an environmental variable whose value determines the tradeoff between evaluation cost and the fidelity of the evaluations. Further, we use a novel approach to sampling support points, allowing faster construction of the acquisition function. This allows us to achieve optimization with lower overheads than previous approaches and is implemented for a more general class of problem. We show this approach to be effective on synthetic and real world benchmark problems.

The use of machine learning algorithms frequently involves careful tuning of learning parameters and model hyperparameters. Unfortunately, this tuning is often a “black art” requiring expert experience, rules of thumb, or sometimes brute-force search. There is therefore great appeal for automatic approaches that can optimize the performance of any given learning algorithm to the problem at hand. In this work, we consider this problem through the framework of Bayesian optimization, in which a learning algorithm’s generalization performance is modeled as a sample from a Gaussian process (GP). We show that certain choices for the nature of the GP, such as the type of kernel and the treatment of its hyperparameters, can play a crucial role in obtaining a good optimizer that can achieve expert-level performance. We describe new algorithms that take into account the variable cost (duration) of learning algorithm experiments and that can leverage the presence of multiple cores for parallel experimentation. We show that these proposed algorithms improve on previous automatic procedures and can reach or surpass human expert-level optimization for many algorithms including Latent Dirichlet Allocation, Structured SVMs and convolutional neural networks.