0

What kind of settings Hyperopt provides to adjust balance between exploration with exploitation ? There's something like "bandit" and "bandit_algo" in the code but no explanation.

Could someone provide any code sample.

Thanks a lot for any help!

Vivek Kumar
  • 35,217
  • 8
  • 109
  • 132
doxav
  • 978
  • 8
  • 14

2 Answers2

3

I just found hyperopt partial() a magical wrapper function for the optimizer algo. It allows to balance between different strategies and then E/E:

Partial returns the result of a randomly-chosen suggest function. For example to search by sometimes using random search, sometimes anneal, and sometimes tpe, type:

fmin(...,
algo=partial(mix.suggest,
p_suggest=[
(.1, rand.suggest),
(.2, anneal.suggest),
(.7, tpe.suggest),]),
)

Parameter "p_suggest": list of (probability, suggest) pairs. Make a suggestion from one of the suggest functions, in proportion to its corresponding probability. sum(probabilities) must be [close to] 1.0.

If you want an even sharper control of algo progression: you can use the fact that hyperopt optimizer algos are stateless and return the trial object which can be provided as an input to a new fmin to continue the process. Then you can call fmin with max_evals at 1 and handle the process in a loop, therefore you could modify "trials" and "suggest algo" between each iteration.

doxav
  • 978
  • 8
  • 14
2

For the best bet, read the papers by Bergstra et. al. 1 2 and 3. I am not 100% clear on what the bandit_algo is, except that one of the papers mentions it as an alternative method to Gaussian Process and Tree of Parzen Estimators - maybe you can use it in the same way as those two?

My guess is that if it not documented, it may not be finished yet. You can try raising an issue on Github - the devs are fairly responsive from what I have seen.

EDIT: Looking at this paper, these bandit algorithms may be the base class that the others inherit from.

Kyle Kastner
  • 1,008
  • 8
  • 7
  • Thanks. You're right: "Optimization algorithms should inherit from the BanditAlgo (or TheanoBanditAlgo)". Now I am looking how far I can adjust settings of an existing bandit algo to adjust E/E and even customize it to add a new branching case (I hope the only solution is not to modify the suggest() method). – doxav Jul 10 '14 at 09:32