nips nips2013 nips2013-201 knowledge-graph by maker-knowledge-mining

201 nips-2013-Multi-Task Bayesian Optimization


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Author: Kevin Swersky, Jasper Snoek, Ryan P. Adams

Abstract: Bayesian optimization has recently been proposed as a framework for automatically tuning the hyperparameters of machine learning models and has been shown to yield state-of-the-art performance with impressive ease and efficiency. In this paper, we explore whether it is possible to transfer the knowledge gained from previous optimizations to new tasks in order to find optimal hyperparameter settings more efficiently. Our approach is based on extending multi-task Gaussian processes to the framework of Bayesian optimization. We show that this method significantly speeds up the optimization process when compared to the standard single-task approach. We further propose a straightforward extension of our algorithm in order to jointly minimize the average error across multiple tasks and demonstrate how this can be used to greatly speed up k-fold cross-validation. Lastly, we propose an adaptation of a recently developed acquisition function, entropy search, to the cost-sensitive, multi-task setting. We demonstrate the utility of this new acquisition function by leveraging a small dataset to explore hyperparameter settings for a large dataset. Our algorithm dynamically chooses which dataset to query in order to yield the most information per unit cost. 1

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Summary: the most important sentenses genereted by tfidf model

sentIndex sentText sentNum sentScore

1 edu Abstract Bayesian optimization has recently been proposed as a framework for automatically tuning the hyperparameters of machine learning models and has been shown to yield state-of-the-art performance with impressive ease and efficiency. [sent-8, score-0.262]

2 In this paper, we explore whether it is possible to transfer the knowledge gained from previous optimizations to new tasks in order to find optimal hyperparameter settings more efficiently. [sent-9, score-0.341]

3 We further propose a straightforward extension of our algorithm in order to jointly minimize the average error across multiple tasks and demonstrate how this can be used to greatly speed up k-fold cross-validation. [sent-12, score-0.173]

4 Lastly, we propose an adaptation of a recently developed acquisition function, entropy search, to the cost-sensitive, multi-task setting. [sent-13, score-0.243]

5 We demonstrate the utility of this new acquisition function by leveraging a small dataset to explore hyperparameter settings for a large dataset. [sent-14, score-0.381]

6 Our algorithm dynamically chooses which dataset to query in order to yield the most information per unit cost. [sent-15, score-0.242]

7 The difference between poor settings and good settings of hyperparameters can be the difference between a useless model and state-of-the-art performance. [sent-18, score-0.268]

8 As the space of hyperparameters grows, the task of tuning them can become daunting, as well-established techniques such as grid search either become too slow, or too coarse, leading to poor results in both performance and training time. [sent-21, score-0.431]

9 Recent work in machine learning has revisited the idea of Bayesian optimization [1, 2, 3, 4, 5, 6, 7], a framework for global optimization that provides an appealing approach to the difficult explorationexploitation tradeoff. [sent-22, score-0.25]

10 The optimization must be carried out from scratch each time a model is applied to new data. [sent-25, score-0.212]

11 This could manifest itself in many ways, including establishing the values for a grid search, or simply taking certain hyperparameters as fixed with some commonly accepted value. [sent-29, score-0.194]

12 Furthermore, for large datasets one could imagine exploring a wide range of hyperparameters on a small subset of data, and then using this knowledge to quickly find an effective setting on the full dataset with just a few function evaluations. [sent-33, score-0.198]

13 The predictive mean and covariance under a GP can be respectively expressed as: µ(x ; {xn , yn }, ✓) = K(X, x)> K(X, X) 0 0 ⌃(x, x ; {xn , yn }, ✓) = K(x, x ) 1 (y (1) m(X)), > K(X, x) K(X, X) 1 0 K(X, x ). [sent-47, score-0.29]

14 3 Bayesian Optimization for a Single Task Bayesian optimization is a general framework for the global optimization of noisy, expensive, blackbox functions [15]. [sent-67, score-0.25]

15 The strategy is based on the notion that one can use a relatively cheap probabilistic model to query as a surrogate for the financially, computationally or physically expensive function that is subject to the optimization. [sent-68, score-0.207]

16 That is, given observation pairs of the form {xn , yn }N , where xn 2 X and yn 2 R, we assume that the function f (x) is drawn from a n=1 Gaussian process prior where yn ⇠ N (f (xn ), ⌫) and ⌫ is the function observation noise variance. [sent-71, score-0.535]

17 A standard approach is to select the next point to query by finding the maximum of an acquisition function a(x ; {xn , yn }, ✓) over a bounded domain in X . [sent-72, score-0.353]

18 We will use the expected improvement criterion (EI) [15, 17], p aEI (x ; {xn , yn }, ✓) = ⌃(x, x ; {xn , yn }, ✓) ( (x) ( (x)) + N ( (x) ; 0, 1)) , (4) ybest µ(x ; {xn , yn }, ✓) (x) = p . [sent-75, score-0.435]

19 An alternative to heuristic acquisition functions such as EI is to consider a distribution over the minimum of the function and iteratively evaluating points that will most decrease the entropy of this distribution. [sent-78, score-0.421]

20 This entropy search strategy [18] has the appealing interpretation of decreasing the uncertainty over the location of the minimum at each optimization step. [sent-79, score-0.52]

21 Here, we formulate the entropy search problem as that of selecting the next point from a pre-specified candidate set. [sent-80, score-0.236]

22 The entropy search procedure relies on an estimate of the reduction in uncertainty over this ˜ distribution if the value y at x is revealed. [sent-82, score-0.235]

23 1 Multi-Task Bayesian Optimization Transferring Bayesian Optimization to a New Task Under the framework of multi-task GPs, performing optimization on a related task is fairly straightforward. [sent-87, score-0.265]

24 We simply restrict our future observations to the task of interest and proceed as normal. [sent-88, score-0.192]

25 Once we have enough observations on the task of interest to properly estimate Kt , then the other tasks will act as additional observations without requiring any additional function evaluations. [sent-89, score-0.317]

26 We wish to optimize the average performance over all k folds, but it may not be necessary to actually evaluate all of them in order to identify the quality of the hyperparameters under consideration. [sent-104, score-0.188]

27 The predictive mean and variance of the average objective are given by: µ(x) = ¯ k 1X µ(x, t ; {xn , yn }, ✓), k t=1 ¯ (x)2 = k k 1 XX ⌃(x, x, t, t0 ; {xn , yn }, ✓). [sent-105, score-0.368]

28 k 2 t=1 0 (8) t =1 If we are willing to spend one function evaluation on each task for every point x that we query, then the optimization of this objective can proceed using standard approaches. [sent-106, score-0.309]

29 As an extreme case, if we have two perfectly correlated tasks then spending two function evaluations per query provides no additional information, at twice the cost of a single-task optimization. [sent-108, score-0.527]

30 The more interesting case then is to try to jointly choose both x as well as the task t and spend only one function evaluation per query. [sent-109, score-0.196]

31 Conditioned on x, we then choose the task that yields the highest single-task expected improvement. [sent-113, score-0.157]

32 The problem of minimizing the average error over multiple tasks has been considered in [20], where they applied Bayesian optimization in order to tune a single model on multiple datasets. [sent-114, score-0.281]

33 3 A Principled Multi-Task Acquisition Function Rather than transferring knowledge from an already completed search on a related task to bootstrap a new one, a more desirable strategy would have the optimization routine dynamically query the related, possibly significantly cheaper task. [sent-118, score-0.795]

34 Intuitively, if two tasks are closely related, then evaluating a cheaper one can reveal information and reduce uncertainty about the location of the minimum on the more expensive task. [sent-119, score-0.506]

35 A clever strategy may, for example, perform low cost exploration of a promising location on the cheaper task before risking an evaluation of the expensive task. [sent-120, score-0.477]

36 In this section we develop an acquisition function for such a dynamic multi-task strategy which specifically takes noisy estimates of cost into account based on the entropy search strategy. [sent-121, score-0.409]

37 Although the EI criterion is intuitive and effective in the single task case, it does not directly generalize to the multi-task case. [sent-122, score-0.157]

38 However, entropy search does translate naturally to the multi-task t problem. [sent-123, score-0.197]

39 In the bottom of each figure are lines indicating the expected information gain with regard to the primary objective function. [sent-127, score-0.195]

40 The green dashed line shows the information gain about the primary objective that results from evaluating the auxiliary objective function. [sent-128, score-0.444]

41 Evaluating the primary objective gains information, but evaluating the auxiliary does not. [sent-130, score-0.35]

42 In Figure 2b we see that with two strongly correlated functions, not only do observations on either task reduce uncertainty about the other, but observations from the auxiliary task acquire information about the primary task. [sent-131, score-0.669]

43 Finally, in 2c we assume that the primary objective is three times more expensive than the auxiliary task and thus evaluating the related task gives more information gain per unit cost. [sent-132, score-0.826]

44 to pick the candidate xt that maximally reduces the entropy of Pmin for the primary task, which we take to be t = 1. [sent-133, score-0.295]

45 However, we can evaluate Py for min y t>1 and if the auxiliary task is related to the primary task, Py will change from the base distribumin tion and H(Pmin ) H(Py ) will be positive. [sent-135, score-0.414]

46 Through reducing uncertainty about f, evaluating an min observation on a related auxiliary task can reduce the entropy of Pmin on the primary task of interest. [sent-136, score-0.824]

47 However, observe that evaluating a point on a related task can never reveal more information than evaluating the same point on the task of interest. [sent-137, score-0.51]

48 Nevertheless, when cost is taken into account, the auxiliary task may convey more information per unit cost. [sent-139, score-0.375]

49 Thus we translate the objective from Equation (7) to instead reflect the information gain per unit cost of evaluating a candidate point, ◆ Z Z ✓ H[Pmin ] H[Py ] min aIG (xt ) = p(y | f) p(f | xt ) dy df, (9) ct (x) where ct (x), ct : X ! [sent-140, score-0.547]

50 R+ , is the real valued cost of evaluating task t at x. [sent-141, score-0.289]

51 Although, we don’t know this cost function in advance, we can estimate it similarly to the task functions, f (xt ), using the same multi-task GP machinery to model log ct (x). [sent-142, score-0.243]

52 Figure 2 provides a visualization of this acquisition function, using a two task example. [sent-143, score-0.283]

53 It shows how selecting a point on a related auxiliary task can reduce uncertainty about the location of the minimum on the primary task of interest (blue solid line). [sent-144, score-0.651]

54 Following [18], we pick these candidates by taking the top C points according to the EI criterion on the primary task of interest. [sent-146, score-0.258]

55 1 Empirical Analyses Addressing the Cold Start Problem Here we compare Bayesian optimization with no initial information to the case where we can leverage results from an already completed optimization on a related task. [sent-148, score-0.267]

56 In each classification experiment the target of Bayesian optimization is the error on a held out validation set. [sent-149, score-0.218]

57 As a related task we consider a shifted Branin-Hoo where the function is translated by 10% along either axis. [sent-152, score-0.211]

58 We used Bayesian optimization to find the minimum of the original function and then added the shifted function as an additional task. [sent-153, score-0.208]

59 Logistic regression We optimize four hyperparameters of logistic regression (LR) on the MNIST dataset using 10000 validation examples. [sent-154, score-0.259]

60 We assume that we have already completed 50 iterations 5 15 10 5 0 0 5 10 15 20 Function evaluations 25 30 0. [sent-155, score-0.257]

61 1 0 10 20 30 Function evaluations 40 10 20 30 Function Evaluations 40 0. [sent-162, score-0.206]

62 1 10 20 30 Function Evaluations 20 30 Function evaluations 40 50 (c) CNN on STL-10 0. [sent-171, score-0.206]

63 07 Average Cumulative Error Min Function Value 25 Min Function Value (Error Rate) Branin−Hoo from scratch Branin−Hoo from shifted Baseline 30 40 50 STL−10 from scratch STL−10 from CIFAR−10 0. [sent-178, score-0.262]

64 25 0 10 20 30 Function evaluations 40 50 (d) LR on MNIST (e) SVHN ACE (f) STL-10 ACE Figure 3: (a)-(d)Validation error per function evaluation. [sent-185, score-0.294]

65 Convolutional neural networks on pixels We applied convolutional neural networks1 (CNNs) to the Street View House Numbers (SVHN) [21] dataset and bootstrapped from a previous run of Bayesian optimization using the same model trained on CIFAR-10 [22, 6]. [sent-189, score-0.239]

66 During the optimization, we used the first fold for training, and the remaining 4000 points from the other folds for validation. [sent-202, score-0.252]

67 We then trained separate networks on each fold using the best hyperparameter settings found by Bayesian optimization. [sent-203, score-0.405]

68 The single-task method wastes many more evaluations exploring poor hyperparameter settings. [sent-214, score-0.36]

69 In the multi-task case, this exploration has already been performed and more evaluations are spent on exploitation. [sent-215, score-0.206]

70 As a baseline (the dashed black line), we took the best model from the first task and applied it directly to the task of interest. [sent-216, score-0.351]

71 In general, we have found that the best settings for one task are usually not optimal for the other. [sent-219, score-0.214]

72 95 50 100 150 Function evaluations (a) 200 Min Function Value (RMSE) Min Function Value (RMSE) Avg Crossval Error Estimated Avg Crossval Error Full Crossvalidation 1. [sent-227, score-0.206]

73 92 20 40 60 80 Function evaluations 100 Figure 4: (a) PMF crossvalidation error per function evaluation on Movielens-100k. [sent-233, score-0.294]

74 (b) Lowest error observed for each fold per function evaluation for a single run. [sent-234, score-0.282]

75 (b) partitioned among folds that the errors for each fold will be highly correlated. [sent-235, score-0.252]

76 With a good GP model, we can very likely obtain a high quality estimate by evaluating just one fold per setting. [sent-237, score-0.331]

77 We demonstrate this procedure on the task of training probabilistic matrix factorization (PMF) models for recommender systems [28]. [sent-240, score-0.157]

78 In Figure 4(a) we show the best error obtained after a given number of function evaluations as measured by the number of folds queried, averaged over 50 optimization runs. [sent-243, score-0.421]

79 In Figure 4(b), we show the best observed error after a given number of function evaluations on a randomly selected run. [sent-247, score-0.255]

80 For a particular fold, the error cannot improve unless that fold is directly queried. [sent-248, score-0.243]

81 The algorithm makes nontrivial decisions in terms of which fold to query, steadily reducing the average error. [sent-249, score-0.228]

82 3 Using Small Datasets to Quickly Optimize for Large Datasets As a final empirical analysis, we evaluate the dynamic multi-task entropy search strategy developed in Section 3. [sent-251, score-0.249]

83 We treat the cost, ct (x), of a function evaluation as being the real running time of training and evaluating the machine learning algorithm with hyperparameter settings x on task t. [sent-253, score-0.518]

84 In both tasks we compare using our multi-task entropy search strategy (MTBO) to optimizing the task of interest independently (STBO). [sent-255, score-0.546]

85 1 (Figure 3(d)) using the same experimental protocol, but rather than assuming that there is a completed optimization of the USPS data, the Bayesian optimization routine can instead dynamically query USPS as needed. [sent-257, score-0.426]

86 Figures 5(b) and 5(c) show that MTBO reaches better values significantly faster by spending more function evaluations on the related, but relatively cheaper task. [sent-260, score-0.359]

87 Finally we evaluate the very expensive problem of optimizing the hyperparameters of online Latent Dirichlet Allocation [30] on a large corpus of 200,000 documents. [sent-261, score-0.277]

88 [6] demonstrated that on this problem, Bayesian optimization could find better hyperparameters in significantly less time than the grid search conducted by the authors. [sent-263, score-0.382]

89 We repeat this experiment here using the exact same grid as [6] and [30] but provide an auxiliary task involving a subset of 50,000 documents and 25 topics on the same grid. [sent-264, score-0.304]

90 We performed our multi-task Bayesian optimization restricted to the same grid and compare to the results of the standard Bayesian optimization of [6] (the GP EI MCMC algorithm). [sent-268, score-0.256]

91 In Figure 5d, we see that our MTBO strategy finds the minimum in approximately 6 days of computation while the STBO strategy takes 10 days. [sent-269, score-0.218]

92 Our algorithm saves almost 4 days of computation by being able to dynamically explore the cheaper alternative task. [sent-270, score-0.261]

93 We see in 5(f) that particularly early in the optimization, the algorithm explores the cheaper task to gather information about the expensive one. [sent-271, score-0.346]

94 5 Conclusion As datasets grow larger, and models become more expensive, it has become necessary to develop new search strategies in order to find optimal hyperparameter settings as quickly as possible. [sent-280, score-0.291]

95 There is a plethora of information that can be carried over from related tasks, and taking advantage of this can result in substantial cost-savings by allowing the search to focus on regions of the hyperparameter space that are already known to be promising. [sent-283, score-0.234]

96 Our fast cross-validation procedure obviates the need to evaluate each fold per hyperparameter query and therefore eliminates redundant and costly function evaluations. [sent-289, score-0.469]

97 The next application we considered employed a cost-sensitive version of the entropy search acquisition function in order to utilize a cheap auxiliary task in the minimization of an expensive primary task. [sent-290, score-0.761]

98 Our algorithm dynamically chooses which task to evaluate, and we showed that it can substantially reduce the amount of time required to find good hyperparameter settings. [sent-291, score-0.388]

99 This provides another avenue for utilizing one task to bootstrap another. [sent-295, score-0.229]

100 Making a science of model search: hyperparameter optimization in hundreds of dimensions for vision architectures. [sent-326, score-0.262]


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