Hyperband: Hyperband algorithm

In yanyachen/rHyperband: Hyperband - A Novel Bandit-Based Approach to Hyperparameter Optimization

Description

Hyperband algorithm for Hyperparameter Optimization

Usage

Hyperband(FUN, maximize, bounds, R, R_unit, eta = 3, verbose = FALSE)

Arguments

FUN	The function to be optimized. This Function should return a numeric value of validation performance, and the first argument of this function must indicate the resource.
maximize	When it is TRUE, it means the larger the evaluation score the better.
bounds	A named list of lower and upper bounds for each hyperparameter. The names of the list should be identical to the rest arguments of FUN.
R	Resource parameter, the maximum amount of resource that can be allocated to a single hyperparameter configuration.
R_unit	Resource unit, the minimum amount of computation where different hyperparameter configurations start to separate. The user can set unit as integer to force integer number of resources being allocated.
eta	an input that controls the proportion of configurations discarded in each round of SuccessiveHalving.
verbose	boolean, print the statistics during the process

References

Lisha Li, Kevin Jamieson, Giulia DeSalvo, Afshin Rostamizadeh, Ameet Talwalkar (2016) Hyperband: A Novel Bandit-Based Approach to Hyperparameter Optimization

Examples

# Example 1: Optimization
Test_Fun <- function(r, x) {
  exp(-(x - 2)^2) + exp(-(x - 6)^2/10) + 1/ (x^2 + 1) + r * 10e-10
}
OPT_Res <- Hyperband(Test_Fun, maximize = TRUE, bounds = list(x = c(-50, +50)),
                     R = 81L, R_unit = 10L, eta = 3, verbose = TRUE)
## Not run: 
# Example 2: Parameter Tuning
library(xgboost)
data(agaricus.train, package = 'xgboost')
dtrain <- xgb.DMatrix(agaricus.train$data,
                      label = agaricus.train$label)
XGB_CV_FUN <- function(nrounds, lambda, lambda_bias, alpha) {
  XGB_CV <- xgb.cv(params = list(booster = "gblinear", eta = 0.1,
                                 lambda = lambda, lambda_bias = lambda_bias, alpha = alpha,
                                 objective = "binary:logistic", eval_metric = "logloss"),
                   data = dtrain, nrounds = nrounds, nfold = 5, verbose = 1,
                   callbacks = list(cb.early.stop(stopping_rounds = 10,
                                                  maximize = FALSE,
                                                  metric_name = "test-logloss"),
                                    cb.cv.predict(save_models = FALSE)))
  min(XGB_CV$evaluation_log$test_logloss_mean)
}
OPT_Res <- Hyperband(XGB_CV_FUN, maximize = FALSE,
                     bounds = list(lambda = c(0, 5),lambda_bias = c(0L, 10L),alpha = c(0, 5)),
                     R = 1000L, R_unit = 1L, eta = 3, verbose = TRUE)

## End(Not run)

yanyachen/rHyperband documentation built on May 4, 2019, 2:30 p.m.