Automatic model training under restrictive time constraints
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Publication:2108929
DOI10.1007/S11222-022-10166-3zbMATH Open1502.62014arXiv2104.10746OpenAlexW3154811171MaRDI QIDQ2108929FDOQ2108929
Georgios Aivaliotis, Jan Palczewski, Lukas Cironis
Publication date: 20 December 2022
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: We develop a hyperparameter optimisation algorithm, Automated Budget Constrained Training (AutoBCT), which balances the quality of a model with the computational cost required to tune it. The relationship between hyperparameters, model quality and computational cost must be learnt and this learning is incorporated directly into the optimisation problem. At each training epoch, the algorithm decides whether to terminate or continue training, and, in the latter case, what values of hyperparameters to use. This decision weighs optimally potential improvements in the quality with the additional training time and the uncertainty about the learnt quantities. The performance of our algorithm is verified on a number of machine learning problems encompassing random forests and neural networks. Our approach is rooted in the theory of Markov decision processes with partial information and we develop a numerical method to compute the value function and an optimal strategy.
Full work available at URL: https://arxiv.org/abs/2104.10746
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