2020/05/04 by Qingyun Wu, Chi Wang, Wu, Qingyun +3
Computer Science · Decision Sciences · Mathematics · #Advanced Bandit Algorithms Research #FOS: Computer and information sciences #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Machine Learning and Data Classification #Metaheuristic Optimization Algorithms Research #cs.LG #stat.ML
paper · pdf · doi:10.48550/arxiv.2005.01571
29 pages (including supplementary appendix)
openalex publication_date 2020/05/04 · arxiv created 2020/12/22 · arxiv updated 2020/12/24 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
The increasing demand for democratizing machine learning algorithms calls for hyperparameter optimization (HPO) solutions at low cost. Many machine learning algorithms have hyperparameters which can cause a large variation in the training cost. But this effect is largely ignored in existing HPO methods, which are incapable to properly control cost during the optimization process. To address this problem, we develop a new cost-frugal HPO solution. The core of our solution is a simple but new randomized direct-search method, for which we prove a convergence rate of O((√(d))/(√(K))) and an O(dε-2)-approximation guarantee on the total cost. We provide strong empirical results in comparison with state-of-the-art HPO methods on large AutoML benchmarks.