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Targeted Hyperparameter Optimization with Lexicographic Preferences Over Multiple Objectives
Shaokun Zhang · Feiran Jia · Chi Wang · Qingyun Wu
MH1-2-3-4 #86
Keywords: [ Automatic Machine learning ] [ Hyperparameter tuning ] [ Lexicographic preference ] [ General Machine Learning ]
Motivated by various practical applications, we propose a novel and general formulation of targeted multi-objective hyperparameter optimization. Our formulation allows a clear specification of an automatable optimization goal using lexicographic preference over multiple objectives. We then propose a randomized directed search method named LexiFlow to solve this problem. We demonstrate the strong empirical performance of the proposed algorithm in multiple hyperparameter optimization tasks.