Black-Box Optimization in Machine Learning with Trust Region Based Derivative Free Algorithm
Machine Learning
2017-03-22 v1
Abstract
In this work, we utilize a Trust Region based Derivative Free Optimization (DFO-TR) method to directly maximize the Area Under Receiver Operating Characteristic Curve (AUC), which is a nonsmooth, noisy function. We show that AUC is a smooth function, in expectation, if the distributions of the positive and negative data points obey a jointly normal distribution. The practical performance of this algorithm is compared to three prominent Bayesian optimization methods and random search. The presented numerical results show that DFO-TR surpasses Bayesian optimization and random search on various black-box optimization problem, such as maximizing AUC and hyperparameter tuning.
Keywords
Cite
@article{arxiv.1703.06925,
title = {Black-Box Optimization in Machine Learning with Trust Region Based Derivative Free Algorithm},
author = {Hiva Ghanbari and Katya Scheinberg},
journal= {arXiv preprint arXiv:1703.06925},
year = {2017}
}